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Communication Dans Un Congrès Année : 2017

Investor Sentiment and Accruals Anomaly

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Résumé

This paper examines whether investors’ sentiment affectsaccruals anomaly across 15 European countries. In line with recent evidence for the U.S., we find that sentiment causes accruals mispricing across European countries. The effect is pronounced for stocks whose valuations are highly subjective and difficultto arbitrage. Our results also reveal evidence in favor of managers' opportunistic disclosure behavior. The accruals reported are higher in high sentiment periods as compared with low sentiment periods. Our cross-country analysisprovidesevidence that sentiment influences accruals anomaly in countries with weaker outside shareholder rights, lower legal enforcement, lower equity market development, higher allowance of accrual accounting and in countries where herd-like behavior and overreaction behavior are strong. These countries that present significant accruals mispricing in high sentiment periods also display high level of accruals management, suggesting that accruals management is an important source of accruals mispricing for individual investors.
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Dates et versions

hal-03101763 , version 1 (07-01-2021)

Identifiants

  • HAL Id : hal-03101763 , version 1

Citer

Francisca Beer, Badreddine Hamdi. Investor Sentiment and Accruals Anomaly: European Evidence. Sixth European Academic Research Conference on Global Business, Economics,Finance and Social Sciences, Jul 2017, Rome, Italy. ⟨hal-03101763⟩
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