Marknadens värdering av redovisningskvalitet

Sammanfattning: The purpose of this thesis was to investigate whether accounting quality is a priced factor by investors. The event studied is the release of year-end result and the release of the annual report. To assess accounting quality a sample of 30 companies listed on the Stockholm Stock Exchange during 2003 to 2007 are studied. We assess accounting quality by the absolute size of discretionary accruals using the modified Jones model developed by Dechow et al. (1995). Firms are divided into two groups, depending on the accounting quality obtained from cross-sectional OLS regressions. The relationship between accounting quality and excess return is assessed by examining whether the earnings response coefficient (ERC) is significantly different between the groups. ERC is estimated using a pooled OLS regression. Three different sizes for time-windows are used, one that captures both the release of the year-end result and annual report (100 day-window), one that is symmetrically extended by five days around the release of the financial reports (11 day-window) and one that is symmetrically extended by one day (3 day-window). The major findings in this thesis are that no positive relation between accounting quality assessed with the modified Jones model can be confirmed; excess returns around the release of the annual report is not significant. A negative relation is significant in the short window around the release of the year-end result.