ǹȞȐȜȣıȘ IJȦȞ ĮʌȠIJİȜİıȝȐIJȦȞ

ȈIJȘȞ İȞȩIJȘIJĮ ĮȣIJȒ ȖȓȞİIJĮȚ ʌĮȡȠȣıȓĮıȘ IJȦȞ ĮʌȠIJİȜİıȝȐIJȦȞ IJȦȞ ʌĮȜȚȞįȡȠȝȒıİȦȞ. īȚĮ ȞĮ įȚĮʌȚıIJȫıȠȣȝİ țĮIJȐ ʌȩıȠ ȠȚ ȝİIJĮȕȜȘIJȑȢ IJȦȞ ȣʌȠįİȚȖȝȐIJȦȞ İʌȘȡİȐȗȠȣȞ IJȘȞ İȟĮȡIJȘȝȑȞȘ, ȩʌȠȣ ıIJȘȞ ʌȡȠțİȚȝȑȞȘ ʌİȡȓʌIJȦıȘ İȓȞĮȚ ȠȚ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ, țȠȚIJȐȗȠȣȝİ IJȚȢ IJȚȝȑȢ ʌȠȣ ʌĮȓȡȞİȚ IJȠ p-value țĮȚ IJȠ t-statistic İȞȫ ȖȚĮ IJȘ ıȣȞȠȜȚțȒ İʌİȟȘȖȘȝĮIJȚțȒ ȚțĮȞȩIJȘIJĮ IJȠȣ ȝȠȞIJȑȜȠȣ IJȘȞ IJȚȝȒ R² (ĮȞ ıIJȠ ȣʌȩįİȚȖȝĮ ȣʌȐȡȤİȚ ȝȓĮ ĮȞİȟȐȡIJȘIJȘ ȝİIJĮȕȜȘIJȒ) Ȓ IJȘȞ IJȚȝȒ adjusted-R² (ĮȞ ıIJȠ ȣʌȩįİȚȖȝĮ ȣʌȐȡȤȠȣȞ ʌĮȡĮʌȐȞȦ Įʌȩ įȪȠ ĮȞİȟȐȡIJȘIJİȢ ȝİIJĮȕȜȘIJȑȢ).

īȚĮ ȞĮ İȓȞĮȚ ȝȚĮ ȝİIJĮȕȜȘIJȒ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȒ șĮ ʌȡȑʌİȚ p-value < 0,1.

ȈȣȖțİțȡȚȝȑȞĮ, ȖȚĮ IJȚȝȑȢ 0,05<p-value<0,1 Ș ȝİIJĮȕȜȘIJȒ șİȦȡİȓIJĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȒ ıİ İʌȓʌİįȠ ıȘȝĮȞIJȚțȩIJȘIJĮȢ Į=10%. ǵIJĮȞ 0,01< p-value<0,5 IJȩIJİ İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȒ ȖȚĮ İʌȓʌİįȠ ıȘȝĮȞIJȚțȩIJȘIJĮȢ Į=5% İȞȫ ȩIJĮȞ p-value<0,01 İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȒ ıİ İʌȓʌİįȠ Į=1%. ǹȞIJȚıIJȠȓȤȦȢ, țȠȚIJȐȗȠȣȝİ țĮȚ IJȘȞ IJȚȝȒ ʌȠȣ ʌĮȓȡȞİȚ Ș t-statistic. ȂʌȠȡȠȪȝİ ȞĮ ʌȠȪȝİ ȩIJȚ ȖȚĮ ȞĮ ĮʌȠȡȡȓȥȠȣȝİ IJȘȞ ȝȘįİȞȚțȒ ȣʌȩșİıȘ (Ǿ0: ȕ=0) șĮ ʌȡȑʌİȚ |t|”1,96.

ȆȑȡĮȞ IJȘȢ İțIJȓȝȘıȘȢ IJȦȞ ıȣȞIJİȜİıIJȫȞ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ, İȓȞĮȚ ĮʌĮȡĮȓIJȘIJȠ ȞĮ įȚİȡİȣȞȒıȠȣȝİ țĮȚ țĮIJȐ ʌȩıȠ Ș İțIJȚȝȘșİȓıĮ ȖȡĮȝȝȒ ʌĮȜȚȞįȡȩȝȘıȘȢ İijĮȡȝȩȗİIJĮȚ ȚțĮȞȠʌȠȚȘIJȚțȐ ıIJȚȢ ʌĮȡĮIJȘȡȒıİȚȢ IJȦȞ ȝİIJĮȕȜȘIJȫȞ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ. DzȞĮ ȝȑIJȡȠ ʌȠȣ ȝİIJȡȐ IJȘȞ İȡȝȘȞİȣIJȚțȒ ȚțĮȞȩIJȘIJĮ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ İȓȞĮȚ Ƞ ıȣȞIJİȜİıIJȒȢ ʌȡȠıįȚȠȡȚıȝȠȪ (coefficient of determination) R². ȅ ıȣȞIJİȜİıIJȒȢ ĮȣIJȩȢ ijĮȞİȡȫȞİȚ IJȠ ȕĮșȝȩ ȝİ IJȠȞ ȠʌȠȓȠ ȝȑıȦ IJȘȢ ȖȡĮȝȝȒ ʌĮȜȚȞįȡȩȝȘıȘȢ İȡȝȘȞİȪȠȞIJĮȚ ȠȚ IJȚȝȑȢ IJȘȢ İȟĮȡIJȘȝȑȞȘȢ ȝİIJĮȕȜȘIJȒȢ Įʌȩ IJȚȢ IJȚȝȑȢ IJȦȞ ĮȞİȟȐȡIJȘIJȦȞ. ȅ ıȣȞIJİȜİıIJȒȢ R² ȜĮȝȕȐȞİȚ IJȚȝȑȢ ȝİIJĮȟȪ ȝȘįȑȞ țĮȚ ȑȞĮ, įȘȜĮįȒ 0” R²”1. ǵIJĮȞ Ƞ ıȣȞIJİȜİıIJȒȢ ȜĮȝȕȐȞİȚ IJȘ ȝȑȖȚıIJȘ IJȚȝȒ IJȠȣ ıȘȝĮȓȞİȚ ȩIJȚ ȣʌȐȡȤİȚ ʌȜȒȡȘȢ ȖȡĮȝȝȚțȒ ıȤȑıȘ ȝİIJĮȟȪ IJȦȞ ȝİIJĮȕȜȘIJȫȞ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ. ǹȞIJȓșİIJĮ, İȐȞ R²=0 ıȘȝĮȓȞİȚ ȩIJȚ įİȞ ȣʌȐȡȤİȚ ȖȡĮȝȝȚțȒ ıȤȑıȘ ȝİIJĮȟȪ IJȘȢ İȟĮȡIJȘȝȑȞȘȢ țĮȚ IJȦȞ ĮȞİȟȐȡIJȘIJȦȞ ȝİIJĮȕȜȘIJȫȞ. ǵʌȠIJİ, ȩıȠ ʌȚȠ ȣȥȘȜȒ Ș IJȚȝȒ IJȠȣ ıȣȞIJİȜİıIJȒ ʌȡȠıįȚȠȡȚıȝȠȪ, IJȩıȠ țĮȜȪIJİȡĮ İȡȝȘȞİȪİIJĮȚ Ș ȝİIJĮȕȜȘIJȩIJȘIJĮ IJȘȢ İȟĮȡIJȘȝȑȞȘȢ Įʌǯ IJȚȢ ĮȞİȟȐȡIJȘIJİȢ. ȆĮȡȩȜĮ ĮȣIJȐ, Ƞ ıȣȞIJİȜİıIJȒȢ ʌȡȠıįȚȠȡȚıȝȠȪ ʌĮȡĮȝȑȞİȚ ĮȟȚȩʌȚıIJȠ ȝȑIJȡȠ IJȘȢ İȡȝȘȞİȣIJȚțȒȢ ȚțĮȞȩIJȘIJĮȢ ȩIJĮȞ ȑȤȠȣȝİ ȝȓĮ ĮȞİȟȐȡIJȘIJȘ ȝİIJĮȕȜȘIJȒ. ȈIJȘȞ ʌİȡȓʌIJȦıȘ ʌȠȣ ıIJȠ ȣʌȩįİȚȖȝĮ İȚıȐȖȠȞIJĮȚ İʌȚʌȜȑȠȞ ȝİIJĮȕȜȘIJȑȢ, Ƞ ıȣȞIJİȜİıIJȒȢ R² șĮ ĮȣȟȐȞİȚ İȟǯ ȠȡȚıȝȠȪ, ĮȞİȟȐȡIJȘIJĮ ĮȞ ȠȚ

İʌȚʌȜȑȠȞ ȝİIJĮȕȜȘIJȑȢ İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȑȢ. DzIJıȚ ʌȚȠ ĮȟȚȩʌȚıIJȠ ȝȑIJȡȠ İȓȞĮȚ Ƞ ıȣȞIJİȜİıIJȒȢ adjusted-R² Ƞ ȠʌȠȓȠȢ İȓȞĮȚ Ƞ «įȚȠȡșȦȝȑȞȠȢ» ıȣȞIJİȜİıIJȒȢ ʌȡȠıįȚȠȡȚıȝȠȪ ȦȢ ʌȡȠȢ IJȠȣȢ ȕĮșȝȠȪȢ İȜİȣșİȡȓĮȢ.

ȆĮȡĮțȐIJȦ ʌĮȡĮșȑIJȦ IJȠȞ ȆȓȞĮțĮ 3. ȝİ IJĮ ĮʌȠIJİȜȑıȝĮIJĮ IJȘȢ ʌĮȜȚȞįȡȩȝȘıȘȢ Įʌȩ IJȠ ȣʌȩįİȚȖȝĮ (1).

ȆȓȞĮțĮȢ 3. ǹʌȠIJİȜȑıȝĮIJĮ ȆĮȜȚȞįȡȩȝȘıȘȢ (1)

Dependent Variable: Returns Method: Least Squares Included observations: 599

White Heteroskedasticity-Consistent Standard Errors & Covariance

Returns=Į +ȕ*Accruals

Coefficient Std. Error t-Statistic Prob.

Į 0.042475 0.015743 2.697988 0.0072

ȕ -0.380485 0.166223 -2.289002 0.0224

R-squared 0.010013 Mean dependent var 0.031437

Adjusted R-squared 0.008355 S.D. dependent var 0.346276

S.E. of regression 0.344827 Akaike info criterion 0.711784

Sum squared resid 70.98660 Schwarz criterion 0.726460

Log likelihood -211.1794 Durbin-Watson stat 2.074501

ǹʌȩ IJȠȞ ʌĮȡĮʌȐȞȦ ʌȓȞĮțĮ ijĮȓȞİIJĮȚ ȩIJȚ IJĮ Accruals İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȐ ıİ įȚȐıIJȘȝĮ İȝʌȚıIJȠıȪȞȘȢ (1-Į)=95% ĮijȠȪ p-value=0,0224. ȉȠ ʌȡȩıȘȝȠ IJȠȣ ıȣȞIJİȜİıIJȒ İȓȞĮȚ ĮȡȞȘIJȚțȩ IJȠ ȠʌȠȓȠ ıȣȝijȦȞİȓ ȝİ IJȘȞ ıȤİIJȚțȒ ĮȡșȡȠȖȡĮijȓĮ, ȩʌȦȢ IJȠȣ Sloan (1996), ȩʌȠȣ ȕȐıİȚ IJȦȞ ĮʌȠIJİȜİıȝȐIJȦȞ IJĮ accruals İʌȘȡİȐȗȠȣȞ IJȚȢ ȝİȜȜȠȞIJȚțȑȢ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ ĮȡȞȘIJȚțȐ. ǹȣȟȘȝȑȞĮ accruals ĮȞĮȝȑȞİIJĮȚ ȞĮ İʌȘȡİȐıȠȣȞ IJȚȢ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ ȠȚ ȠʌȠȓİȢ ȝİȜȜȠȞIJȚțȐ șĮ İȓȞĮȚ ȤĮȝȘȜȩIJİȡİȢ Įʌȩ IJȚȢ ĮȡȤȚțȑȢ ʌȡȠıįȠțȓİȢ IJȦȞ İʌİȞįȣIJȫȞ. ȆĮȡȩȜȠ ʌȠȣ ĮʌȠįİȚțȞȪİIJĮȚ Ș ĮȡȞȘIJȚțȒ ıȤȑıȘ ȝİȜȜȠȞIJȚțȫȞ ȝİIJȠȤȚțȫȞ ĮʌȠįȩıİȦȞ țĮȚ accruals, IJĮ ʌĮȡĮʌȐȞȦ ĮʌȠIJİȜȑıȝĮIJĮ įİȞ ȝʌȠȡȠȪȞ ȞĮ ʌȠȣȞ IJȓʌȠIJĮ ȖȚĮ IJȘȞ İȟȒȖȘıȘ IJȠȣ ijĮȚȞȠȝȑȞȠȣ. ǼȞ ȠȜȓȖȠȚȢ, įİȞ ȝʌȠȡȠȪȝİ ȞĮ țĮIJĮȜȒȟȠȣȝİ ĮȞ, ȩʌȦȢ ȣʌȠıIJȘȡȓȗİȚ țĮȚ Ƞ Sloan (1996), Ș ĮȡȞȘIJȚțȒ

ıȤȑıȘ ȠijİȓȜİIJĮȚ ıİ «ĮįȣȞĮȝȓĮ» IJȘȢ ĮʌȠIJİȜİıȝĮIJȚțȒȢ ĮȖȠȡȐȢ, ĮȞ ȕȑȕĮȚĮ ĮȣIJȒ ȣijȓıIJĮIJĮȚ.

ǵıȠȞ ĮijȠȡȐ IJȘȞ İȡȝȘȞİȣIJȚțȒ ȚțĮȞȩIJȘIJĮ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ, Ƞ ıȣȞIJİȜİıIJȒȢ ʌȡȠıįȚȠȡȚıȝȠȪ R² ʌĮȡĮȝȑȞİȚ ȤĮȝȘȜȩȢ, 1%, ʌȡȐȖȝĮ ʌȠȣ ıȘȝĮȓȞİȚ ȩIJȚ Ș įȚĮțȪȝĮȞıȘ

IJȦȞ ȝİȜȜȠȞIJȚțȫȞ ĮʌȠįȩıİȦȞ įİȞ İȟĮȡIJȐIJĮȚ ȝȩȞȠ Įʌȩ IJĮ accruals. Ǿ ȤĮȝȘȜȒ IJȚȝȒ IJȠȣ ıȣȞIJİȜİıIJȒ ʌȡȠıįȚȠȡȚıȝȠȪ ʌȚșĮȞȩIJĮIJĮ ȠijİȓȜİIJĮȚ ıIJȘȞ ʌĮȡȐȜİȚȥȘ ȐȜȜȦȞ țȡȓıȚȝȦȞ ȝİIJĮȕȜȘIJȫȞ ȠȚ ȠʌȠȓİȢ İʌȘȡİȐȗȠȣȞ IJȚȢ țȚȞȒıİȚȢ IJȦȞ ȝİIJȠȤȚțȫȞ ĮʌȠįȩıİȦȞ.

ȈIJȠȞ İʌȩȝİȞȠ ʌȓȞĮțĮ, ȆȓȞĮțĮȢ 4., İȚıȐȖȠȣȝİ ȝȓĮ İʌȚʌȜȑȠȞ ȝİIJĮȕȜȘIJȒ, IJĮ țȑȡįȘ (EBIT) țĮȚ ʌȡȠıʌĮșȠȪȝİ ȞĮ įȚİȡİȣȞȒıȠȣȝİ țĮIJȐ ʌȩıȠ Ș İʌİȟȘȖȘȝĮIJȚțȒ ȚțĮȞȩIJȘIJĮ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ ȕİȜIJȚȫȞİIJĮȚ.

ȆȓȞĮțĮȢ 4. ǹʌȠIJİȜȑıȝĮIJĮ ʌĮȜȚȞįȡȩȝȘıȘȢ (2)

ǹʌȩ IJĮ ʌĮȡĮʌȐȞȦ ĮʌȠIJİȜȑıȝĮIJĮ, ȕȜȑʌȠȣȝİ ȩIJȚ IJĮ Accruals ȩʌȦȢ țĮȚ IJĮ EBIT İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȐ ȝİ IJȚȝȑȢ p-value 0,0002 țĮȚ ȖȚĮ IJȚȢ įȪȠ ȝİIJĮȕȜȘIJȑȢ ıİ įȚȐıIJȘȝĮ İȝʌȚıIJȠıȪȞȘȢ (1-Į)=99%. ȉĮ Accruals ȑȤȠȣȞ, ȩʌȦȢ țĮȚ ıIJȠ ȣʌȩįİȚȖȝĮ (1), ĮȡȞȘIJȚțȩ ıȣȞIJİȜİıIJȒ, İȞȫ IJĮ ǼǺǿȉ șİIJȚțȩ. ȅ Sloan (1996) ȑȤİȚ ĮʌȠįİȓȟİȚ ȩIJȚ Ș Dependent Variable: Returns

Method: Least Squares Included observations: 591

White Heteroskedasticity-Consistent Standard Errors & Covariance Returns=Į +ȕ*Accruals+Ȗ*ǼǺǿȉ

Coefficient Std. Error t-Statistic Prob.

Į 0.006548 0.017926 0.365281 0.7150

ȕ -0.674204 0.182212 -3.700105 0.0002

Ȗ 0.783195 0.211844 3.697041 0.0002

R-squared 0.031051 Mean dependent var 0.032621

Adjusted R-squared 0.027756 S.D. dependent var 0.346767

S.E. of regression 0.341921 Akaike info criterion 0.696587

Sum squared resid 68.74292 Schwarz criterion 0.718830

Log likelihood -202.8415 Durbin-Watson stat 2.028691

ȝİȜȜȠȞIJȚțȒ țİȡįȠijȠȡȓĮ İȟĮȡIJȐIJĮȚ Įʌȩ IJĮ țȑȡįȘ ʌȠȣ įȘȝȠıȚİȪİȚ ıȒȝİȡĮ Ș İIJĮȚȡȓĮ. Ǿ ʌĮȡĮIJȒȡȘıȘ ĮȣIJȒ ıİ ıȣȞįȣĮıȝȩ ȝİ IJȠ ȖİȖȠȞȩȢ ȩIJȚ Ș țİȡįȠijȠȡȓĮ ĮʌȠIJİȜİȓ ıȒȝĮ ȖȚĮ IJȚȢ İʌİȞįȣIJȚțȑȢ țȚȞȒıİȚȢ İȡȝȘȞİȪİȚ IJȘ șİIJȚțȒ ıȤȑıȘ IJȦȞ țİȡįȫȞ ȝİ IJȚȢ ȝİȜȜȠȞIJȚțȑȢ ĮʌȠįȩıİȚȢ. ǼʌȓıȘȢ, Ƞ ıȣȞIJİȜİıIJȒȢ ʌȡȠıįȚȠȡȚıȝȠȪ adjusted-R²ĮȣȟȐȞİȚ Įʌȩ 0,835%

ıIJȠ ȣʌȩįİȚȖȝĮ (1) ıİ 2,77% ıIJȠ ȣʌȩįİȚȖȝĮ (2). ȍıIJȩıȠ ʌĮȡĮȝȑȞİȚ ıİ ȤĮȝȘȜȐ İʌȓʌİįĮ ʌȡȐȖȝĮ ʌȠȣ ıȘȝĮȓȞİȚ ȩIJȚ IJȠ ȝȠȞIJȑȜȠ įİȞ İȡȝȘȞİȪİȚ ʌȜȒȡȦȢ IJȚȢ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ. ȆĮȡȩȜĮ ĮȣIJȐ, Ș İȚıĮȖȦȖȒ IJȦȞ țİȡįȫȞ ĮȣȟȐȞİȚ IJȘȞ İȡȝȘȞİȣIJȚțȒ ȚțĮȞȩIJȘIJĮ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ. ǼʌȓıȘȢ, ʌĮȡĮIJȘȡȠȪȝİ ȩIJȚ ȝİ IJȘȞ İȚıĮȖȦȖȒ IJȦȞ țİȡįȫȞ, Ƞ ıȣȞIJİȜİıIJȒȢ IJȦȞ Accruals ȝİȚȫȞİȚ Įʌȩ –0,38 ıIJȠ ȣʌȩįİȚȖȝĮ (1) ıİ -0,6742 ıIJȠ ȣʌȩįİȚȖȝĮ (2). țĮșȫȢ ıIJȠ ĮȡȤȚțȩ ȣʌȩįİȚȖȝĮ IJĮ Accruals İȞıȦȝȐIJȦȞĮȞ ʌȠıȠıIJȩ ʌȜȘȡȠijȩȡȘıȘȢ ʌȠȣ İȞȑȤİIJĮȚ ıIJĮ țȑȡįȘ. DzIJıȚ Ș İʌȓįȡĮıȘ ıIJȚȢ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ İʌȚȝİȡȓȗİIJĮȚ ıIJȠȣȢ įȪȠ ʌĮȡȐȖȠȞIJİȢ IJȘȢ ȖȡĮȝȝȒȢ ʌĮȜȚȞįȡȩȝȘıȘȢ. ǼȞȫ Ș İʌȓįȡĮıȘ IJȦȞ Accruals ȝİȚȫȞİIJĮȚ, įİȞ «ĮʌȠȡȡȠijȐIJĮȚ» ʌȜȒȡȦȢ Įʌȩ IJȘȞ İʌȚʌȜȑȠȞ ȝİIJĮȕȜȘIJȒ IJȠ ȠʌȠȓȠ įİȓȤȞİȚ IJȠ ȝȑȖİșȠȢ IJȘȢ İʌȚȡȡȠȒȢ ʌȠȣ ȑȤȠȣȞ ıIJȘȞ ʌȡȩȕȜİȥȘ IJȦȞ ȝİȜȜȠȞIJȚțȫȞ ȝİIJȠȤȚțȫȞ ĮʌȠįȩıİȦȞ.

ȉȑȜȠȢ, ıIJȠȞ ȆȓȞĮțĮ 5. ʌĮȡȠȣıȚȐȗȠȞIJĮȚ IJĮ ĮʌȠIJİȜȑıȝĮIJĮ IJȘȢ ʌĮȜȚȞįȡȩȝȘıȘȢ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ (3).

ȆȓȞĮțĮȢ 5. ǹʌȠIJİȜȑıȝĮIJĮ ȆĮȜȚȞįȡȩȝȘıȘȢ (3)

Dependent Variable: Returns Method: Least Squares Included observations: 564

White Heteroskedasticity-Consistent Standard Errors & Covariance Returns=Į+ȕ*Accruals+Ȗ*Size+į*(BV/MV)

Coefficient Std. Error t-Statistic Prob.

Į -0.009268 0.091109 -0.101728 0.9190

ȕ -0.277244 0.175586 -1.578961 0.1149

Ȗ 0.006183 0.008453 0.731387 0.4648

į 0.044386 0.019640 2.259987 0.0242

R-squared 0.016629 Mean dependent var 0.033447

Adjusted R-squared 0.011360 S.D. dependent var 0.345601

S.E. of regression 0.343632 Akaike info criterion 0.708577

Sum squared resid 66.12649 Schwarz criterion 0.739322

Log likelihood -195.8186 Durbin-Watson stat 1.979947

ȉĮ ĮʌȠIJİȜȑıȝĮIJĮ Įʌȩ IJȘȞ ʌĮȜȚȞįȡȩȝȘıȘ IJȠȣ IJȡȓIJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ, İȓȞĮȚ ĮȡțİIJȐ įȚĮijȠȡİIJȚțȐ Įʌȩ IJĮ ʌȡȠȘȖȠȪȝİȞĮ. ȈȪȝijȦȞĮ ȝİ IJȠȣȢ Fama and French (1992), ȠȚ ȠʌȠȓȠȚ ȝİȜİIJȠȪȞ ȝİIJĮȕȜȘIJȑȢ ʌȠȣ İʌȘȡİȐȗȠȣȞ IJȚȢ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ, ȝİIJĮȕȜȘIJȑȢ ȩʌȦȢ IJȠ ȝȑȖİșȠȢ IJȘȢ İIJĮȚȡȓĮȢ ʌȠȣ ȝİIJȡȐIJĮȚ ȝİ IJȘȞ țİijĮȜĮȚȠʌȠȓȘıȘ ĮȜȜȐ țĮȚ Ƞ ȜȩȖȠȢ ǿȀ/ȀİijĮȜĮȚȠʌȠȓȘıȘ ĮʌȠIJİȜȠȪȞ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȐ ȝİȖȑșȘ.

ǼȞIJȠȪIJȠȚȢ, ıIJȘȞ ʌĮȡȠȪıĮ ȑȡİȣȞĮ IJȠ ȝȩȞȠ ȝȑȖİșȠȢ ʌȠȣ ʌĮȡȠȣıȚȐȗİIJĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȩ İȓȞĮȚ Ƞ ȜȩȖȠȢ BV/MV. ȈȣȖțİțȡȚȝȑȞĮ, ıIJȠ ȝȠȞIJȑȜȠ IJȦȞ Fama and French (1992) ʌȡȩıșİıĮ IJȘȞ İʌȚʌȜȑȠȞ ȝİIJĮȕȜȘIJȒ Accruals ȫıIJİ ȞĮ įȚĮʌȚıIJȫıȦ ĮȞ ȕİȜIJȚȫȞİIJĮȚ IJȠ ʌȜȘȡȠijȠȡȚĮțȩ ʌİȡȚİȤȩȝİȞȠ IJȠȣ ȣʌȠįİȓȖȝĮIJȠȢ. ǹʌȩ IJȚȢ IJȚȝȑȢ ʌȠȣ ȜĮȝȕȐȞȠȣȞ IJĮ p-values ȕȜȑʌȠȣȝİ ȩIJȚ ȠȚ ıȣȞIJİȜİıIJȑȢ IJȦȞ ȝİIJĮȕȜȘIJȫȞ Size țĮȚ Accruals ȟİʌİȡȞȠȪȞ IJȠ ȩȡȚȠ IJȠȣ 0,1 țĮȚ ȑIJıȚ ȤĮȡĮțIJȘȡȓȗȠȞIJĮȚ ȝȘ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȑȢ. ȅ ȜȩȖȠȢ BV/MV ȩȝȦȢ İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȩȢ ıİ įȚȐıIJȘȝĮ İȝʌȚıIJȠıȪȞȘȢ 95% ȝİ p-value=0,0242. ȅ įȚȠȡșȦȝȑȞȠȢ ıȣȞIJİȜİıIJȒȢ ʌȡȠıįȚȠȡȚıȝȠȪ, adjusted-R² İȓȞĮȚ 1,136% ʌȠȣ ıȘȝĮȓȞİȚ ȩIJȚ ȠȚ ȝİIJĮȕȜȘIJȑȢ įİȞ İȟȘȖȠȪȞ ıİ ȚțĮȞȠʌȠȚȘIJȚțȩ İʌȓʌİįȠ IJȚȢ ȝİȜȜȠȞIJȚțȑȢ ȝİIJȠȤȚțȑȢ ĮʌȠįȩıİȚȢ.

ǼȞȫ IJĮ Accruals İȓȞĮȚ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȐ ıIJĮ ȣʌȠįİȓȖȝĮIJĮ (1) țĮȚ (2), İįȫ İȓȞĮȚ ȝȘ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȐ. ǼʌȓıȘȢ, Ș ȝİIJĮȕȜȘIJȒ Size ʌȠȣ įȘȜȫȞİȚ IJȠ ȝȑȖİșȠȢ İȓȞĮȚ ȝȘ ıIJĮIJȚıIJȚțȐ ıȘȝĮȞIJȚțȒ. Ǿ ʌȜȘȡȠijȠȡȚĮțȒ ȚțĮȞȩIJȘIJĮ IJȠȣ ȜȩȖȠȣ BV/MV

«ĮʌȠȡȡȠijȐ» IJȠ ʌȜȘȡȠijȠȡȚĮțȩ ʌİȡȚİȤȩȝİȞȠ IJȦȞ Accruals țĮȚ IJȠȣ Size. īȚĮ IJȘȞ İʌİȟȒȖȘıȘ IJȦȞ ʌĮȡĮʌȐȞȦ ĮʌȠIJİȜİıȝȐIJȦȞ șĮ ʌȡȑʌİȚ ȞĮ ȜȐȕȠȣȝİ ȣʌȩȥȘ IJȘȞ ȣȥȘȜȒ ıȣıȤȑIJȚıȘ IJȦȞ ȝİIJĮȕȜȘIJȫȞ Size țĮȚ BV/MV ĮȜȜȐ țĮȚ IJȘȞ ĮȡȞȘIJȚțȒ ıȣıȤȑIJȚıȘ IJȘȢ ȝİIJĮȕȜȘIJȒȢ Accruals ȝİ ĮȣIJȑȢ IJȦȞ Size țĮȚ BV/MV.