Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/22959
Title: | Asymmetric returns and the economic content of accruals and investment | Authors: | Del Viva, Luca Kothari, S. P. Lambertides, Neophytos Trigeorgis, Lenos |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Keywords: | Asymmetric returns;Idiosyncratic skewness;Investment and accruals;Nonlinear equity value | Issue Date: | Jun-2021 | Source: | Management Science, 2021. vol. 67, no. 6, pp. 3921 - 3942 | Volume: | 67 | Issue: | 6 | Start page: | 3921 | End page: | 3942 | Journal: | Management Science | Abstract: | This study contributes to our understanding of what accruals capture and how they relate to the distribution of future returns. It examines the past and future growth components of accruals and shows that, whereas past growth is negatively associated with idiosyncratic skewness, future growth is positively associated with it. In addition, although both past and future growth are negatively associated with future returns, the association is more pronounced for past growth when volatility is lower, but for future growth when volatility is higher. The study also shows that the association between the future growth component and future returns reverses in the long run, whereas the association between past growth and future returns does not. | URI: | https://hdl.handle.net/20.500.14279/22959 | ISSN: | 15265501 | DOI: | 10.1287/mnsc.2020.3676 | Rights: | © INFORMS | Type: | Article | Affiliation : | Ramon Llull University U.S. Securities and Exchange Commission Massachusetts Institute of Technology Cyprus University of Technology University of Cyprus |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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