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All Journal MABIS: Manajemen dan Bisnis
Deddy Marciano
Department of Management, Faculty of Business & Economics, Universitas Surabaya
Economics, Econometrics & Finance Social Sciences

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When do investors price accrual information? Revisiting the accrual anomaly in Indonesia and Singapore Yanuar Dananjaya; Henry Soedarko; Deddy Marciano
Manajemen dan Bisnis Vol 25, No 3 (2026): November 2026 (Online First)
Publisher : Department of Management - Faculty of Business and Economics. Universitas Surabaya.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24123/mabis.v25i3.1277

Abstract

Traditional accrual anomaly research posits that investors often overlook the accrual component of earnings, leading to a negative correlation between current-period accruals and future stock returns. However, recent studies suggest this relationship has diminished. This research investigates whether total accruals correlate more with current-period stock returns than with those one year ahead, and whether this relationship varies between Indonesia and Singapore. We analyze panel data from Industrial Goods manufacturing firms listed in these countries from 2015 to 2024, using fixed-effects regression with a country interaction term and relevant control variables. Our findings reveal that total accruals do not significantly impact one-year-ahead stock returns but are significantly and negatively linked to current-period stock returns. The interaction between accruals and country is not significant, indicating no statistical difference in accrual pricing between the two markets. These results are consistent across both halves of the sample period, suggesting that accrual information may be integrated into stock prices sooner than the traditional accrual anomaly framework predicts.
Co-Authors Henry Soedarko Yanuar Dananjaya