Thesis (M.S.)--Chulalongkorn University, 2013

This paper examines each type of investors and their reactions to discretionary accruals in the Stock Exchange of Thailand. When the earnings are announced, large investors like institutions react to discretionary accruals in the right direction by selling when the discretionary accrual information level is high. This action occurs only when the earnings beats analyst forecast. The result is consistent with that of Battalio et al. (2012) who claim that in the event that earnings are greater than analyst forecast, large trades which are thought as institutions, tend to react negatively to accruals while small trades which are thought as individuals cannot detect accrual information. However, I do not find the relationship to discretionary accruals for individual and proprietary investors. This probably happens because they are not aware of discretionary accrual information. Additionally, I also find that institutions follow analyst forecasts rather than using time series analysis. This is because institutions are sophisticated traders hence, they use more sophisticated information for instance, analyst forecasts consensus rather than time series analysis. Moreover, Individuals and proprietary trades do not follow both analyst forecast and times series analysis. These investors probably use other sources of information to make an investment decision.