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Article
Publication date: 12 July 2018

Felix Canitz, Christian Fieberg, Kerstin Lopatta, Thorsten Poddig and Thomas Walker

This paper aims to hunt for the driving force behind the accrual anomaly and revisit the risk versus mispricing debate.

Abstract

Purpose

This paper aims to hunt for the driving force behind the accrual anomaly and revisit the risk versus mispricing debate.

Design/methodology/approach

In sorts of stock returns on abnormal and normal accruals, the authors find that abnormal accruals are the driving force behind the accrual anomaly. The authors then construct characteristic-balanced portfolios from dependent sorts of stock returns on the abnormal accrual characteristic and a related factor-mimicking portfolio to test whether the accrual anomaly is due to risk or mispricing (Daniel and Titman, 1997; Davis et al., 2000).

Findings

Similar to Hirshleifer et al. (2012), the authors find that the accrual anomaly is due to mispricing and that the measure of accruals used in Hirshleifer et al.’s study (2012) is a very broad measure of accruals. The authors therefore recommend the use of abnormal accruals in future research.

Originality/value

The results suggest that there are limits to arbitrage or behavioral biases with regard to the trading of low-accrual firms. Showing that the accrual effect is driven by the level of abnormal accruals, the findings of this study strongly challenge the rational risk explanation proposed by the extant literature.

Details

The Journal of Risk Finance, vol. 19 no. 3
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 21 November 2016

Kerstin Lopatta, Felix Canitz and Christian Fieberg

García Lara et al. (2011) argue that there is a conservatism-related priced risk factor in US stock returns. To put this to the test, the authors aim to analyze whether…

Abstract

Purpose

García Lara et al. (2011) argue that there is a conservatism-related priced risk factor in US stock returns. To put this to the test, the authors aim to analyze whether the conditional conservatism effect comes from the loading on a conditional conservatism-related factor-mimicking portfolio (systematic risk) or the conservatism characteristic itself.

Design/methodology/approach

The authors form characteristic-balanced portfolios from dependent sorts of stocks on the firm’s degree of conservatism and the firm’s loading on the conservatism-related factor-mimicking portfolio as proposed by Daniel and Titman (1997) and Davis et al. (2000).

Findings

The tests indicate that it is the conditional conservatism characteristic rather than the factor loading that explains the cross-sectional differences in average stock returns. Consequently, they do not find evidence for a conservatism-related priced risk factor.

Originality/value

This finding suggests that investors misvalue the conservatism characteristic and casts doubt on the rational risk explanation as proposed by García Lara et al. (2011).

Details

The Journal of Risk Finance, vol. 17 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

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Article
Publication date: 15 May 2017

Felix Canitz, Panagiotis Ballis-Papanastasiou, Christian Fieberg, Kerstin Lopatta, Armin Varmaz and Thomas Walker

The purpose of this paper is to review and evaluate the methods commonly used in accounting literature to correct for cointegrated data and data that are neither…

Abstract

Purpose

The purpose of this paper is to review and evaluate the methods commonly used in accounting literature to correct for cointegrated data and data that are neither stationary nor cointegrated.

Design/methodology/approach

The authors conducted Monte Carlo simulations according to Baltagi et al. (2011), Petersen (2009) and Gow et al. (2010), to analyze how regression results are affected by the possible nonstationarity of the variables of interest.

Findings

The results of this study suggest that biases in regression estimates can be reduced and valid inferences can be obtained by using robust standard errors clustered by firm, clustered by firm and time or Fama–MacBeth t-statistics based on the mean and standard errors of the cross section of coefficients from time-series regressions.

Originality/value

The findings of this study are suited to guide future researchers regarding which estimation methods are the most reliable given the possible nonstationarity of the variables of interest.

Details

The Journal of Risk Finance, vol. 18 no. 3
Type: Research Article
ISSN: 1526-5943

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Book part
Publication date: 22 November 2016

John Levi Martin

To determine where, when, how, and wherefore European social theory hit upon the formula of “the True, the Good, and the Beautiful,” and how its structural position as a…

Abstract

Purpose

To determine where, when, how, and wherefore European social theory hit upon the formula of “the True, the Good, and the Beautiful,” and how its structural position as a skeleton for the theory of action has changed.

Methodology/approach

Genealogy, library research, and unusually good fortune were used to trace back the origin of what was to become a ubiquitous phrase, and to reconstruct the debates that made deploying the term seem important to writers.

Findings

The triad, although sometimes used accidentally in the renaissance, assumed a key structural place with a rise of Neo-Platonism in the eighteenth century associated with a new interest in providing a serious analysis of taste. It was a focus on taste that allowed the Beautiful to assume a position that was structurally homologous to those of the True and the Good, long understood as potential parallels. Although the first efforts were ones that attempted to emphasize the unification of the human spirit, the triad, once formulated, was attractive to faculties theorists more interested in decomposing the soul. They seized upon the triad as corresponding to an emerging sense of a tripartition of the soul. Finally, the members of the triad became re-understood as values, now as orthogonal dimensions.

Originality/value

This seems to be the first time the story of the development of the triad – one of the most ubiquitous architectonics in social thought – has been told.

Details

Reconstructing Social Theory, History and Practice
Type: Book
ISBN: 978-1-78635-469-3

Keywords

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