دانلود رایگان مقاله انگلیسی کیفیت اقلام تعهدی، فصلی بودن بازده سهام و هزینه سرمایه سهام: شواهد بین المللی - وایلی 2018

ABSTRACT

Mashruwala and Mashruwala (2011) argue that inconsistent earlier findings regarding whether accruals quality (AQ) is priced in equity markets (Core et al. 2008; Kim and Qi 2010) may be explained by seasonality in returns deriving from tax-loss selling. Finding no evidence of annual AQ premia for U.S. firms, Mashruwala and Mashruwala report that significant monthly premia concentrate in January, with the remainder of the year demonstrating negative or insignificant returns to AQ, and attribute this strong seasonality to tax-loss selling by investors, rather than information risk. However, the end of the tax year for U.S. investors coincides with the calendar year and the financial year for the majority of firms, which may suggest alternative explanations for seasonal variation in returns. We extend Mashruwala and Mashruwala’s study, using an international sample including countries where incentives for tax-loss selling exist, but in which the standard tax and financial years differ (Japan and the UK), and where the tax and financial years conclude in a month other than December (Australia), as well as employing a longer U.S. sample. We find some evidence of an AQ premium in the United States, which although dominated by January returns, remains significant annually. However, these findings are sensitive to the inclusion of low price stocks and the choice of asset pricing test. In Japan, the UK and Australia we document consistent evidence that an AQ premium exists on average throughout the year, and in samples excluding the first month of the tax year. The sensitivity of our U.S. results to the January period may reflect the conflation of numerous seasonal influences on returns, not all of which necessarily reflect mispricing.

6. Conclusion

Prior U.S. studies report mixed results regarding whether AQ affects the cost of equity capital. In particular, MM show that AQ is priced in the United States only in January and does not attract a significant average annual premium. MM argue that this seasonal pattern likely reflects a mispricing, rather than information risk effect: tax-loss selling of low-AQ firms in December depresses stock prices which subsequently recover in the new year. MM also speculate that the failure to control for seasonality may partly explain the inconsistency in earlier research into the pricing of AQ, as the extent to which the January premium unwinds through the rest of the year varies across study periods. Extending MM’s analysis to include other market economies in which tax and reporting year end dates differ (both with respect to each other and relative to the United States), and a longer U.S. sample, we find evidence that an AQ premium exists both across the full year and outside the turn of the tax year in each of the non-U.S. countries studied, and thus that the documented AQ premium is unlikely to be driven by investors’ tax-loss selling behavior or other indicators of seasonal mispricing. For the United States, we find a significant AQ premium across the year in two out of three asset pricing tests, but no AQ premium is documented once January (the first tax and financial month) is excluded from the tests. We note, however, that for samples that exclude stocks with an opening price below $5, a proxy for transaction costs, we find no annual AQ premium for U.S. firms. For this reason, we cannot discount the possibility that the premium detected in U.S. full sample tests at least partly reflect mispricing rather than risk. Further analysis using alternative proxies for transactions costs generate results consistent with our full sample tests, but several of these alternative filter rules have the potential to bias recorded returns upwards.