Non-discretionary accruals estimation models and announcement-drift

2012 Fiscal Year Final Research Report

• Project/Area Number: 22730355
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Accounting
• Research Institution: Okayama University
• Principal Investigator: NAKAGAWA Toyotaka 岡山大学, 大学院・社会文化科学研究科, 准教授 (70403467)
• Project Period (FY): 2010 – 2012
• Keywords: 決算発表後ドリフト / 非裁量的発生項目 / 発生項目アノマリー / 価値関連性

Research Abstract

In this study, I review the literatures related to post-announcement drift, the accruals anomaly, non-discretionary accruals estimation, and value-relevance, so that the following hypothesis is developed. The hypothesis is that the stock prices move as though post-earnings-announcement drift increased, when the earnings data including extreme positive and negative discretionary accruals (especially, when they are calculated by using “cash flow model”) are used as the samples for analysis.