Page 17 - Informasi_Anomali_Akrual_dalam_Pembentuk
P. 17

Jurnal Akuntansi dan Bisnis

                                                                    Vol.10, No. 1, Februari 2010: 25-42

               Desai, H., Rajgopal, S., Venkatachalam, M. 2002.  Gaunt, C. 2004. Size and Book to Market Effects
                       Value-glamour  and  accrual  mispricing.      and  the  Fama-French  three  factor  Asset
                       Duke University, working paper.               Pricing  Model:  Evidence  from  the
                                                                     Australian Stock-market. Accounting and
               Dichev,  I.  1998.  Is  the  Risk  of  Bankruptcy  a
                       Systematic Risk? Journal of Finance 53-       Finance, 44, 27-44.
                       3, 1131- 1147.                         Hirshleifer, D., K. Hou, S. Teoh, dan Y. Zhang.
                                                                     2004. Do investors overvalue firms with
               Faff, R. 2001. An Examination of the Fama and
                                                                     bloated  balance  sheets?,  Journal  of
                       French   three-factor   model   using
                                                                     Accounting and Economics 38, 297-331.
                       commercially     available    factors.
                       Australian  Journal  of  Management,  26,  Hirshleifer, D., Kewei, H. K., Teoh, S. H. 2005.
                       1-17.                                         Aggregate  Accruals  and  Stock  Market
                                                                     Returns. Fisher college of business, Ohio
               Fama, Eugene F. 1998. Determining the Number          state, working paper.
                       of Priced State Variables in the ICAPM.
                       The   Journal   of   Financial   and  Hirshleifer, D., Kewei, H. K., Teoh, S. H. 2006.
                       Quantitative  Analysis,  Vol.  33,  No.  2.   The accrual anomaly: risk or mispricing?
                       (Jun.), pp. 217-231.                          Fisher  college  of  business,  Ohio  state,
                                                                     working paper.
               Fama, Eugene F, dan Kenneth R. French. 1992.
                       The  cross  section  of  expected  returns.  Hribar,  P.  2000.  The  market  pricing  of
                       Journal of Finance, Vol. XLVII, No. 2.        component    of    accruals.   Cornell
                                                                     University, working paper.
               Fama, Eugene F., dan Kenneth R. French. 1993.
                       Common  risk  factors  in  the  returns  on  Khan,  M.  2005.  Are  accruals  really  mispriced?
                       stocks  and  bonds.  Journal  of  Financial   Evidence  from  tests  of  an  intertemporal
                       Economics 33, 3-56.                           capital  asset  pricing  model,  Working
                                                                     paper, MIT.
               Fama, Eugene F., dan Kenneth R. French. 1995.
                       Size  and  Book-to-Market  Factors  in  Kothari,  S.  2001.  Capital  markets  research  in
                       Earnings  and  Returns.  Journal  of          accounting.  Journal  of  Accounting  and
                       Finance, Vol. L, No.1.                        Economics 31, 105-231.
               Fama, Eugene F., dan Kenneth R. French, 1996.  Kraft, A., Leone, A., Wasley, C. 2001. On the use
                       Multifactor explanations of asset pricing     of   Mishkin’s   rational   expectations
                       anomalies.  Journal  of  Finance,  Vol.  51,   approach  to  testing  efficient-markets
                       No.1, 55-84.                                  hypotheses  in  accounting  research.
                                                                     Working paper, University of Rochester.
               Fama, Eugene F., dan Kenneth R. French. 1998.
                       Value  versus  Growth:  The  International  Lamont, O., C. Polk, dan  J. Saa-Requejo. 2001.
                       Evidence.  Journal  of  Finance,  Vol.  53,   Financial  constraints  and  stock  returns.
                       No. 6.                                        Review of Financial Studies 14, 529-554.
               Fama, E. F., and K. R. French. 2000. Forecasting  Lev, B. dan D. Nissim. 2004. The persistence of
                       profitability  and  earnings.  Journal  of    the  accruals  anomaly.  forthcoming
                       Business, 73, 161-175.                        Contemporary Accounting Research.

               Fairfield,  P.,  Whisenant,  S.,  Yohn,  T.  2001  Maroney,  N  dan  A.  Protopapadakis.  2002.  The
                       Accrued    earnings   and     growth:         Book-to-Market  and  Size  Effects  in  a
                       Implications for earnings persistence and     General  Asset  Pricing  Model:  Evidence
                       market     mispricing.    Georgetown          from Seven National Markets. European
                       University, working paper.                    Finance Review 6, 189-221.
               Frankel,  R.  dan  C.  Lee,  1998,  Accounting  Merton,  R.  C.  1973.  An  intertemporal  capital
                       valuation,  market  expectation,  and  the    asset  pricing  model.  Econometrica  41,
                       book-tomarket   effect,   Journal   of        867-887.
                       Accounting and Economics 25, 283–321.


                                                           39
   12   13   14   15   16   17   18   19   20   21   22