The effect of quality of authority accrual on stock risk

Document Type : Original Article

Authors

1 Assistant professor of neither payeme nor university

2 Assistant professor of Ferdowsi University

3 Master of accounting, payame nor university

4 M.A. student of accounting, payeme nor university

10.22034/iaar.2013.104508

Abstract

After the capital asset model pricing (CAPM) faced with challenges, three-factor model of Fama and French (1993) can explain the efficiency of return’s dissonance. Some of the scholars mentioned the quality factor of accruals as a determinant of yield. Furthermore, they claim accruals to quality is a risk factor (it can affect future returns).On the other hand, some scholars like Core and et al (2008) indicated that quality of accruals is not determining of price. In this research, Quality of accruals as a risk factor and its correlation with future stock returns will be evaluated. For this aim, data from 59 companies selected from the companies listed in Tehran Stock Exchange was used. The quality of accruals was calculated by analyzing regression in during 2006, and 2009 and Stock returns were extracted by financial statement of company between 2007 and 2010. Results of the research show, factor of accrual’s quality cannot provide a significant risk premium in the companies listed in Tehran Stock Exchange. Therefore, in this market factor of risk cannot determine the price, and also it does not explain variability of future returns.

Keywords

Accounting and Auditing Research
Volume 5, Issue 20
January 2014
Pages 72-89

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