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J. Zhang, “Two Essays on Empirical Asset Pricing: 1. Forecasted Earnings per Share and the Cross Section of Expected Returns and 2. The Limits to Arbitrage and the Fundamental Value-to-Price Trading Strategies. Doctoral dissertation in Finance, Hong Kong University of Science and Technology, 2006.

has been cited by the following article:

• TITLE: Accruals, Persistence of Profits and Stock Returns in Brazilian Public Companies

  AUTHORS: Renata Turola Takamatsu, Luiz Paulo Lopes Fávero

  KEYWORDS: Accounting Accruals; Persistence of Profits, Stock Returns, Brazil, Panel Data

  JOURNAL NAME: Modern Economy, Vol.4 No.2, February 26, 2013

  ABSTRACT: The central aim in this research was to assess investors’ accounting information interpretation skills. Therefore, it was assessed how different profit components would affect the future profitability of publicly traded Brazilian companies. Through a sample of all Brazilian public companies listed in Bovespa from 1995 to 2010, the research results demonstrated that current accruals were incapable of explaining future abnormal return behavior in the firms analyzed. In addition, no significant abnormal returns were reached in an accruals-based investment strategy, indicating that investors would be capable of interpreting and pricing accounting data.