The purpose of research is to investigate the accrual principles in Accounting that contained in the Company's Financial Statements. The accrual principle is reflected in the Balance Sheet and Income Statement. Accrual measurements in the Balance Sheet are measured using PersistenceCurrent Operating Accrual, Persistence Non-Current Operating Accrual. Idiosyncratic risk reflects the specific information about the company and it will fluctuate according to the information itself.To measure the idiosyncratic risk in this study five factors of Fama-French Model were used (Fama and French 2014). Asset Pricing Measurement uses the Dividend Disscounted Model to predict stock prices.The samples used in this study are listed below. The Manufacturing Company is selected with consideration for accrual measurement of accounts receivable, inventory, investment and liabilities. The sample was chosen by purposive random sampling method. The number of samples generated by this method is 145 companies with full reports for 2010-2015.Using the SEM AMOS Ver.24 and Sobel Test Path Analysis, the results show that Current Operating Accrual has a negative and significant relationship to the idiosyncratic risk and stock price. For non-Current Operating Accrual variables have positive and significant relation. By using Sobel Test, the test result shows that idiosyncratic risk has mediation effect in Persistence Current Operating Accrual, Non-Current Operating Accrual relationship to stock price.

/pdf/idiosyncratic-risk-in-emerging-market-sjgudapnpp.pdf

Idiosyncratic Risk in Emerging Market

The purpose of research is to investigate the accrual principles in Accounting that contained in the Company's Financial Statements. The accrual principle is reflected in the Balance Sheet and Income Statement. Accrual measurements in the Balance Sheet are measured using PersistenceCurrent Operating Accrual, Persistence Non-Current Operating Accrual. Idiosyncratic risk reflects the specific information about the company and it will fluctuate according to the information itself. To measure the idiosyncratic risk in this study five factors of Fama-French Model were used (Fama and French 2014). Asset Pricing Measurement uses the Dividend Discount Model to predict stock prices. 
The samples used in this study are listed below. The Manufacturing Company is selected with consideration for accrual measurement of accounts receivable, inventory, investment, and liabilities. The sample was chosen by purposive random sampling method. The number of samples generated by this method is 145 companies with full reports for 2010-2015. 
Using the SEM AMOS Ver.24 and Sobel Test-Path Analysis, the results show that Current Operating Accrual has a negative and significant relationship to the idiosyncratic risk and stock price. For non-current Operating Accrual, variables have a positive and significant relation. By using Sobel Test, the test result shows that idiosyncratic risk has mediation effect in Persistence Current Operating Accrual, Non-Current Operating Accrual relationship to stock price.

/pdf/idiosyncratic-risk-and-asset-pricing-138rl2p6ts.pdf

Idiosyncratic Risk And Asset Pricing

This study aims to investigate the Accrual Principles in Accounting that contained in the Company's Financial Statements. The accrual principle is reflected in the Balance Sheet and Income Statement. Accrual measurements in the Balance Sheet are measured using Persistence Current Operating Accrual, Persistence Non-Current Operating Accrual, Persistence Financial Accrual. Accruals in income statement are measured using the Accrual anomaly Modified Jones Model. Accrual measurements are used as information used by investors as in predicting idiosyncratic risk and asset pricing. The idiosyncratic risk reflects the specific information about the company and it will fluctuate according to the information itself. 
To measure the idiosyncratic risk in this study five factors of Fama-French Model (Fama & French, 2014) were used. This model is the development of three factors model (Fama & French, 1996)). The five-factor model Fama French is performed by conducting a stock return portfolio of the sample company and regressing the excess return using five factors. Asset Pricing Measurement uses the Dividend Discounted Model to predict stock prices. 
The samples used in this study are all manufacturing companies listed on the Indonesia Stock Exchange. The Manufacturing Company is selected with consideration for the accrual measurement of accounts receivable, inventory, investment and liabilities. The sample was chosen by purposive random sampling method. The number of samples generated by this method is 154 companies with full reports for 2010-2015. 
Using the SEM AMOS Ver. 24 and Sobel Test Path Analysis, the results show that Current Operating Accrual has a negative and significant relationship to idiosyncratic risk and asset pricing. The Financial Accrual variable has no relationship with idiosyncratic risk and asset pricing. For variable Non-Current Operating Accrual and Accrual Anomaly have positive and significant relation. By using Sobel Test, the test result shows that idiosyncratic risk has mediation effect in Persistence Current Operating Accrual, Non-Current Operating Accrual and Accrual Anomaly relationship to Asset Pricing. This indicates that investors in Indonesia capital market are trading investors considering idiosyncratic risk in decision making.

Idiosyncratic Risk and Asset Pricing: Study at Companies Listed on Indonesia Stock Exchange

This paper first examines the effects of value relevance of earnings and incremental value relevance of cash flows on net external financing, net equity financing and net debt financing. The investors, in general, suffer beta risk and idiosyncratic risk of a firm. The former is the main determinant of risk premium, and the latter can be controlled by the manager. If the firm has better control of idiosyncratic risk, it implies the manager has larger influence on stock returns. Under control accruals, value relevance of earnings and incremental value relevance of cash flows, we also examine the effects of net external, net debt and net equity financings on idiosyncratic risk. To test whether the external financing policy of a firm is consistent with over-investment hypothesis, this study investigate the effects of net external, net debt and net equity financings on future stock returns under controlling for value relevance of earnings and cash flows. This paper further analyzes the relation between current idiosyncratic risk and future stock returns following financing activities. We find that external financing activities are positively related to value relevance of earnings but are unrelated to incremental value relevance of operating cash flows, and external financing is unrelated to value relevance of operating cash flows but is positively related to incremental value relevance of earnings. Moreover, debt financing is unrelated to value relevance of cash flows but is positively correlated to incremental value relevance of earnings, and equity financing is unrelated to value or incremental value relevance of earnings but is positively correlated to value relevance and incremental value relevance of cash flows. We also find that both value relevance of earnings and cash flows are positively correlated to idiosyncratic risk, and current idiosyncratic risk and equity financing are negatively correlated to future returns after controlling value relevance of earnings and cash flows.

Teng Shih Wang

Papers

Value Relevance, Idiosyncratic Risk, and External Financing Activities

Effects of financial flexibility value and accounting conservatism on investment: evidence from mispricing