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Korean Journal of Financial Studies 2009;38(1):77-105.
Published online March 31, 2009.
Accrual Anomaly and Arbitrage Trading Opportunity
Bong Chan Kho, Jin Woo Kim
발생액 이상현상과 차익거래기회에 관한 연구
고봉찬, 김진우
Abstract
This paper examines whether the accrual anomaly, initially proposed by Sloan(1996), can be caused by market microstructural obstacles such as arbitrage risks and transaction costs that risk-averse investors confront in implementing arbitrage transactions. Empirical results of this paper confirm the presence of the accrual anomaly in the Korean stock market over the period from 1987 to 2006. We find that the accrual hedge portfolio constructed by buying the lowest accrual stocks and selling the highest accrual stocks earns 14%~17% abnormal returns p.a., on average. We also find the accrual anomaly is concentrated in the sample stocks with high arbitrage risks and high transaction costs. For example, the accrual hedge portfolio constructed from the sample stocks with high idiosyncratic volatility earns the highest abnormal returns about 23%~28% p.a., and the accrual hedge portfolio constructed from those with low stock prices (or high transaction costs) earns the highest abnormal returns about 21%~24% p.a. However, in the case of other proxies for the transaction costs, such as trading amount, market capitalization, or Amihud`s (2002) illiquidity measures, we cannot find the evidence that the accrual anomaly is concentrated in stocks with high transaction costs. This indicates that the transaction costs affect the accrual anomaly less systematically than the arbitrage risks. These results of this paper imply that the accrual anomaly can be largely attributable to market microstructural obstacles which limit the arbitrage opportunities, but not entirely attributable to market inefficiency.
Key Words: 거래비용,발생액 이상현상,시장미시구조,시장효율성,차익거래위험,Accrual Anomaly,Arbitrage Risk,Market Efficiency,Market Microstructure,Transaction Costs
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