Arbitrage Risk、transaction cost、investor sophistication and accrual anomaly- Taiwan stock market the electronic sector

• Main Authors: Wang,Ching-Chi, 王晶琪
• Other Authors: Hua, Chi-Yun
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/32308644390704801447

碩士 === 輔仁大學 === 會計學系碩士班 === 95 === Sloan(1996)and several follow up papers show that the stock market cannot true reflect the implications of accruals for future earnings. This research used Taiwan stock market the electronic sector as the sample, from 2003 to 2005, to find arbitrage risk correlate with accrual anomaly. I found our evidence consistent with the hypothesis that accruals indeed can affect the abnormal return in the market. The conclusion also showed the interaction of ACC and ARBRISK is negative and significant. Because stocks with extreme accruals do not have close substitutes, the accruals strategy cat not arbitraged away. The results showed that idiosyncratic volatility has incremental explanatory power beyond the transaction costs and investor sophistication in explaining the accrual anomaly. The arbitrage risk associated with the volatility of arbitrage returns deters arbitrage activity and might be an important reason for the existence of the accrual related mispricing. The interaction of ACC and investor sophistication is positive and significant. If the arbitrageurs could see through the implications of accruals for future earnings, they would find it costly and risky to eliminate such mispricing.