Examination of the Mispricing of Abnormal Accruals on the Tehran Stock Exchange from 1381 to 1389

This paper examines the market pricing of Jones (1991) model- estimated abnormal accruals (often termed «discretionary accruals» in the prior literature) by using the Xie (2001) approach to test whether stock prices rationally reflect the one-year- ahead earnings implications of these accruals. Using the Mishkin (1983) and hedge-portfolio test methods Sloan (1996) employs، we find that the market overestimates the persistence of abnormal accruals، and consequently overprices these accruals. These results also suggest that the overpricing of total accruals that Sloan (1996) documents is due largely to abnormal accruals.