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dc.contributor.advisorS.P. Kothari.en_US
dc.contributor.authorNoh, Suzieen_US
dc.contributor.otherSloan School of Management. Master of Finance Program.en_US
dc.date.accessioned2014-09-19T21:47:19Z
dc.date.available2014-09-19T21:47:19Z
dc.date.copyright2014en_US
dc.date.issued2014en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/90228
dc.descriptionThesis: M. Fin., Massachusetts Institute of Technology, Sloan School of Management, Master of Finance Program, 2014.en_US
dc.descriptionCataloged from PDF version of thesis.en_US
dc.descriptionIncludes bibliographical references (pages 56-59).en_US
dc.description.abstractUsing two popular accounting-based models for earnings manipulation (i.e., the Beneish M-Score and the Dechow F-Score) and the financial data of public companies from 2004 to 2012, 1 find that the M-Score (F-Score) predicts less (more) earnings overstatements during the recent financial crisis in 2007-2008 than other sample years. However, a detailed investigation at the industry level reveals that this does not hold in all industries. I further show that the potential misstating firms flagged by the M-Score tend to under-perform the market both at the aggregate and the industry level, and some of those flagged by the F-Score under-perform at the industry level. Finally, by running Fama-French three-factor regressions at the aggregate level, I provide evidence that the firms flagged by the MScore generally yield negative risk-adjusted stock returns. The evidence suggests public availability of financial statements alone does not ensure that all the elements of financial statements are fully integrated into prices in a timely manner. Overall, this study provides substantial support for the use of quantitative accounting analysis in equity trading.en_US
dc.description.statementofresponsibilityby Suzie Noh.en_US
dc.format.extent59 pagesen_US
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsM.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582en_US
dc.subjectSloan School of Management. Master of Finance Program.en_US
dc.titleAn exploration of two accounting-based models for earnings misstatements and their implications for stock returnsen_US
dc.typeThesisen_US
dc.description.degreeM. Fin.en_US
dc.contributor.departmentSloan School of Management. Master of Finance Program.en_US
dc.contributor.departmentSloan School of Management
dc.identifier.oclc890375294en_US


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