This study examined the role of positive and negative discretionary accrual management in the stock price impact. A sample of 66 firms listed in Tehran Stock Exchange was selected for a ten-year period (2008-2017). Accrual management was found to lead to significant changes in stock prices, and uninformed investors incur trading costs caused by the stock price impact. The results showed two key...

Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871-1986), a vector-autoregressive forecast of the present value of future dividends is, for each year, roughly a weighted average of moving-average arnings and current real price, with between two thirds and three fourths of the weight on the earnings measure...

We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite) and sign, also provide noise-robust versions the ABD test (Andersen et al., 2007b) semivariance measures. find that infinite (finite) jumps improve forecasts at shorter (longer) horizons; but contribution signed is limited. As expected, deliver substantial forecast improvements higher sampling ...

This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating relation considers information about a systematic link between the stock market indices, containing a...