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Relationship between Accrual Anomaly and Stock Return: The Case of Vietnam

The Journal of Asian Finance, 2019, Economics and Business , 6(4), , pp.19-26 [Peer Reviewed Journal]

ISSN: 2288-4637 ;EISSN: 2288-4645 ;DOI: 10.13106/jafeb.2019.vol6.no4.19

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  • Title:
    Relationship between Accrual Anomaly and Stock Return: The Case of Vietnam
  • Author: DANG, Hung Ngoc ; TRAN, Dung Manh
  • Subjects: 경제학
  • Is Part Of: The Journal of Asian Finance, 2019, Economics and Business , 6(4), , pp.19-26
  • Description: The study investigates the impact of accrual anomaly on stock return ratio of listed firms in Vietnam. Data were collected from listed firms for the period from 2008 to 2018. To learn about the causes of accrual anomaly in returns and future rate of returns on the Vietnamese stock market, this research is based on accrual analysis of Richardson, Sloan, Soliman, and Tuna (2006) on growth and effective components. We employ GLS regression model for examining the impact of accrual anomaly on stock return ratio and T-test for checking the difference between the lowest and the highest portfolio. The results show that accounting distortion is the main factor impacting the stock return, not growth determinant. Both two determinants of accounting distortion and growth contribute the explanation of the impact of accrual anomaly on profit and future stock return ratio. Experimental evidence confirms an abnormal existence of accrual in the Vietnam stock market. Aggregate accrual is negatively correlated with future operating profit and future stock return. However, after considering the factors contributing to the impact of future profitability and return on stock returns, the study results show that accounting distortion can account for low sustainability of income that is not growth.
  • Publisher: 한국유통과학회
  • Language: English
  • Identifier: ISSN: 2288-4637
    EISSN: 2288-4645
    DOI: 10.13106/jafeb.2019.vol6.no4.19
  • Source: Alma/SFX Local Collection
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