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Betting against real earnings management
Asian review of accounting, 2022-04, Vol.30 (2), p.233-257
[Peer Reviewed Journal]
Emerald Publishing Limited ;Emerald Publishing Limited. ;ISSN: 1321-7348 ;EISSN: 1758-8863 ;DOI: 10.1108/ARA-05-2021-0091
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Title:
Betting against real earnings management
Author:
Bansal, Manish
;
Ali, Asgar
Subjects:
Accounting
;
Earnings
;
Earnings management
;
Efficient markets
;
Expenditures
;
Financial statements
;
Hypotheses
;
Investment policy
;
Investments
;
Market potential
;
Securities markets
;
Stock exchanges
;
Tax regulations
;
Volatility
Is Part Of:
Asian review of accounting, 2022-04, Vol.30 (2), p.233-257
Description:
PurposeThe study presents the zero investment strategies based on the pricing impact of real earnings management (REM) on stock returns after taking into account the direction and endogeneity nature of REM.Design/methodology/approachThe authors use standard portfolio methodology and Fama–Macbeth cross-sectional regression to analyze the data for this study. Both upward and downward form of REM has been examined. Accrual earnings management (AEM) has been controlled while examining the association between REM and stock returns.FindingsThe findings demonstrate that the REM anomaly exists in the Indian equity market and is consistent under different market conditions and investment horizons. It is robust after controlling for cross-sectional effects and AEM. Our subsequent analysis suggests that a decile-based zero investment portfolio strategy based on REM loadings generates an annual excess return of 17.90%. The presented annual excess return is highest among quantile and mean-based investment strategies. Further, the authors find that REM sorted proposed investment strategies outperform the AEM sorted investment strategies in all spheres.Practical implicationsThe findings suggest that investors can form an arbitrage profitable investment strategy by taking a long position in the bottom 10% of negative REM stocks, and a short position in the top 10% of positive REM stocks.Originality/valueThis is the first study that examines the pricing impact of REM on stock returns and provides zero investment strategies by betting against REM.
Publisher:
Bingley: Emerald Publishing Limited
Language:
English
Identifier:
ISSN: 1321-7348
EISSN: 1758-8863
DOI: 10.1108/ARA-05-2021-0091
Source:
ProQuest Central
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