THE RELATIONSHIP BETWEEN THE QUALITY OF ACCOUNTING INFORMATION AND THE REALIZED RETURNS EXCLUDED FROM CASH FLOW SHOCKS

Basing on the approach of earnings response coefficient, the Realized return has been analyzed and decomposed into two elements of cash flow shocks and the returns excluded from cash flow shocks. The research hypotheses were studied with the regression model by using hybrid data and based on the pooled model during the years 2001 and 2012, and the sample included 78 companies and 1044 observations. The results indicated that there wasn't a significant relationship between the accrual quality and the excess return. Also, the relationship between the accrual quality and the return excluded from the cash flow shocks indicated insignificance.