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首页> 外文期刊>Journal of accounting, auditing & finance >Persistent Patterns in Stock Returns, Stock Volumes, and Accounting Data in the U.S. Capital Markets
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Persistent Patterns in Stock Returns, Stock Volumes, and Accounting Data in the U.S. Capital Markets

机译：美国资本市场中股票收益率，股票数量和会计数据的持续模式

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摘要

Benford's Law gives the expected frequencies of the digits in tabulated data. The expected frequencies show a large bias toward the low digits. An analysis of the Center for Research in Security Prices (CRSP) data shows that the daily returns have a near-perfect fit to Benford's Law. The daily volumes also have a close fit to Benford's Law but there are deviations due to round lot trading and the fact that some of the data are rounded to the nearest hundred. An analysis of Compustat data also shows a close fit to Benford's Law with some explainable deviations. The expected returns and the abnormal returns used in event studies over an extended period showed that these numbers also conformed to Benford's Law. Recent studies have divided a population into subsets and then tested the subsets for conformity to Benford's Law. The conclusions are that the subsets with the weakest fit to Benford were fraudulent The problems with this approach are discussed, and these include statistical considerations, issues with using Compustat data, other plausible explanations for a lack of conformity, and the fact that there is no clear link between a change in the leading digit of a number and the materiality of the dollar value of the change.
机译：本福德定律给出了表格数据中数字的预期频率。预期的频率向低位数字显示出很大的偏差。对证券价格研究中心（CRSP）数据的分析表明，日收益率与本福德定律非常接近。每日交易量也非常接近本福德定律，但由于整手交易以及一些数据四舍五入到最接近的百位数这一事实而存在偏差。对Compustat数据的分析还显示出与本福德定律的高度吻合，但存在一些可以解释的偏差。长时间的事件研究中使用的预期收益和异常收益表明，这些数字也符合本福德定律。最近的研究已将总体分为子集，然后测试了子集是否符合本福德定律。结论是，与本福德最不匹配的子集是欺诈性的。讨论了此方法的问题，其中包括统计考虑因素，使用Compustat数据的问题，其他缺乏一致性的合理解释，以及没有证据的事实。数字前导位数的更改与更改的美元价值的重要性之间的明确联系。

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