TY - JOUR
T1 - Effects of institutional factors on the accruals anomaly in Latin America
AU - Cordeiro Moreira, Jeíce Catrine
AU - Lima, Gerlando A.S.F.
AU - Góis, Alan Diógenes
N1 - Publisher Copyright:
© 2019
PY - 2019/9
Y1 - 2019/9
N2 - This paper investigates the effect of the accruals anomaly on the stock returns in Argentina, Brazil, Chile, Mexico, and Peru. We observe whether the institutional aspects of government quality and rule preference culture affect the abnormal returns from accruals. For this purpose, we applied the Mishkin test proposed by Sloan (1996). We regress the future abnormal return on accruals, size, earnings per share, and market to book for all countries, for each country, and for institutional factors (government quality and rule preference culture) in a period between 2004 and 2016. The results confirm the presence of abnormal returns in Latin American capital market, particularly in Brazil and Peru, and also in countries with low government quality and low rule preference culture. These institutional factors help to explain the accrual anomaly; therefore, investors in Brazil and Peru do not fully comprehend that greater subjectivity in accruals and make flawed pricing decisions.
AB - This paper investigates the effect of the accruals anomaly on the stock returns in Argentina, Brazil, Chile, Mexico, and Peru. We observe whether the institutional aspects of government quality and rule preference culture affect the abnormal returns from accruals. For this purpose, we applied the Mishkin test proposed by Sloan (1996). We regress the future abnormal return on accruals, size, earnings per share, and market to book for all countries, for each country, and for institutional factors (government quality and rule preference culture) in a period between 2004 and 2016. The results confirm the presence of abnormal returns in Latin American capital market, particularly in Brazil and Peru, and also in countries with low government quality and low rule preference culture. These institutional factors help to explain the accrual anomaly; therefore, investors in Brazil and Peru do not fully comprehend that greater subjectivity in accruals and make flawed pricing decisions.
KW - Abnormal returns
KW - Accruals anomaly
KW - Institutional factors
KW - Latin America
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U2 - 10.1016/j.intaccaudtax.2019.100269
DO - 10.1016/j.intaccaudtax.2019.100269
M3 - Article
AN - SCOPUS:85070502058
SN - 1061-9518
VL - 36
JO - Journal of International Accounting, Auditing and Taxation
JF - Journal of International Accounting, Auditing and Taxation
M1 - 100269
ER -