The Accrual Anomaly: Risk or Mispricing?

References

• Ali A., Chen X., Yao T., Yu T. Do mutual funds profit from the accruals anomaly? J. Accounting Res. (2008) 46(1):1–26Crossref, Google Scholar
• Barber B., Odean T. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. (2008) 21(2):785–818Crossref, Google Scholar
• Barber B., Odean T., Zheng L. Out of sight, out of mind: The effects of expenses on mutual fund flows. J. Bus. (2005) 78(6):2095–2119Crossref, Google Scholar
• Barber B., Odean T., Zhu N. Systematic noise. J. Financial Markets (2009) 12(4):547–569Crossref, Google Scholar
• Bradshaw M., Richardson S., Sloan R. Do analysts and auditors use information in accruals? J. Accounting Res. (2000) 39(1):45–74Crossref, Google Scholar
• Campbell J., Vuolteenaho T. Bad beta, good beta. Amer. Econom. Rev. (2004) 94(5):1249–1276Crossref, Google Scholar
• Carhart M. On persistence in mutual fund performance. J. Finance (1997) 52(1):57–82Crossref, Google Scholar
• Chan K., Chan L. K. C., Jegadeesh N., Lakonishok J. Earnings quality and stock returns. J. Bus. (2006) 79(3):1041–1082Crossref, Google Scholar
• Core J. E., Guay W. R., Verdi R. S. Is accruals quality a priced risk factor? J. Accounting Econom. (2008) 46(1):2–22Crossref, Google Scholar
• Daniel K. Discussion of: “Testing behavioral finance theories using trends and sequences in financial performance,” (by Wesley Chan, Richard Frankel, and S. P. Kothari). J. Accounting Econom. (2004) 38(1):51–64Crossref, Google Scholar
• Daniel K., Titman S. Evidence on the characteristics of cross-sectional variation in common stock returns. J. Finance (1997) 52(1):1–33Crossref, Google Scholar
• Daniel K., Hirshleifer D., Subrahmanyam A. Investor psychology and tests of factor pricing models. (2005) . Working paper, Ohio State University, ColumbusCrossref, Google Scholar
• Daniel K., Titman S., Wei J. Cross-sectional variation in common stock returns in Japan. J. Finance (2001) 56(2):743–766Crossref, Google Scholar
• Davis J., Fama E. F., French K. R. Characteristics, covariances, and average returns: 1929–1997. J. Finance (2000) 55(1):389–406Crossref, Google Scholar
• Dechow P., Richardson S., Sloan R. The persistence and pricing of the cash component of earnings. J. Accounting Res. (2008) 46(3):537–566Crossref, Google Scholar
• DellaVigna S., Pollet J. Investor inattention and Friday earnings announcements. J. Finance (2009) 64(2):709–749Crossref, Google Scholar
• Desai H., Rajgopal S., Venkatachalam M. Value-glamour and accruals mispricing: One anomaly or two? Accounting Rev. (2004) 79(2):355–385Crossref, Google Scholar
• Fama E. F., French K. R. The cross-section of expected stock returns. J. Finance (1992) 47(2):427–465Crossref, Google Scholar
• Fama E. F., French K. R. Common risk factors in the returns on stocks and bonds. J. Financial Econom. (1993) 33(1):3–56Crossref, Google Scholar
• Fama E. F., French K. R. Multifactor explanations of asset pricing anomalies. J. Finance (1996) 51(2):55–84Crossref, Google Scholar
• Fama E. F., French K. R. Dissecting anomalies. J. Finance (2008) 63(4):1653–1678Crossref, Google Scholar
• Fama E. F., MacBeth J. Risk, return and equilibrium: Empirical tests. J. Political Econom. (1973) 81(3):607–636Crossref, Google Scholar
• Fedyk T., Singer Z., Sougiannis T. Does the accrual anomaly end when abnormal accruals reverse? (2010) . Working paper, McGill University, MontrealGoogle Scholar
• Gibbons M. R., Ross S. A., Shanken J. A test of the efficiency of a given portfolio. Econometrica (1989) 57(5):1121–1152Crossref, Google Scholar
• Gong G., Louis H., Sun A. X. Earnings management and firm performance following open-market repurchases. J. Finance (2008) 63(2):947–986Crossref, Google Scholar
• Green J., Hand J., Soliman M. Going, going, gone? The demise of the accruals anomaly. (2009) . Working paper, University of North Carolina at Chapel Hill, Chapel HillCrossref, Google Scholar
• Grundy B. D., Martin J. S. Understanding the nature of the risks and the source of the rewards to momentum investing. Rev. Financial Stud. (2001) 14(1):29–78Crossref, Google Scholar
• Hansen L. P., Jagannathan R. Implications of security market data for models of dynamic economies. J. Political Econom. (1991) 99(2):225–262Crossref, Google Scholar
• Hirshleifer D., Lim S., Teoh S. H. Driven to distraction: Extraneous events and underreaction to earnings news. J. Finance (2009) 64(5):2289–2325Crossref, Google Scholar
• Hirshleifer D., Teoh S. H., Yu J. Short arbitrage, return asymmetry, and the accrual anomaly. Rev. Financial Stud. (2011) 24(7):2429–2461Crossref, Google Scholar
• Hirshleifer D., Hou K., Teoh S. H., Zhang Y. Do investors overvalue firms with bloated balance sheets? J. Accounting Econom. (2004) 38(1):297–331Crossref, Google Scholar
• Hou K., Moskowitz T. J. Market frictions, price delay, and the cross section of expected returns. Rev. Financial Stud. (2005) 18(3):981–1020Crossref, Google Scholar
• Khan M. Are accruals mispriced? Evidence from tests of an intertemporal capital asset pricing model. J. Accounting Econom. (2008) 45(1):55–77Crossref, Google Scholar
• Kothari S., Loutskina E., Nikolaev V. Agency theory of overvalued equity as an explanation for the accrual anomaly. (2006) . Working paper, Massachusetts Institute of Technology, CambridgeCrossref, Google Scholar
• Kumar A., Lee C. Retail investor sentiment and return comovements. J. Finance (2006) 61(5):2451–2486Crossref, Google Scholar
• Lamont O., Polk C., Saa-Requejo J. Financial constraints and stock returns. Rev. Financial Stud. (2001) 14(2):529–554Crossref, Google Scholar
• Li D., Zhang L. Does q-theory with investment frictions explain anomalies in the cross section of returns? J. Financial Econom. (2010) 98(2):297–314Crossref, Google Scholar
• MacKinlay A. C. Multifactor models do not explain deviations from the CAPM. J. Financial Econom. (1995) 38(1):3–28Crossref, Google Scholar
• Mashruwala C., Rajgopal S., Shevlin T. Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs. J. Accounting Econom. (2006) 42(1–2):3–33Crossref, Google Scholar
• Mehra R., Prescott E. C. The equity premium: A puzzle. J. Monetary Econom. (1985) 15(2):145–161Crossref, Google Scholar
• Mohanram P., Rajgopal S. Is information risk (PIN) priced? J. Accounting Econom. (2009) 47(3):226–243Crossref, Google Scholar
• Moskowitz T. An analysis of covariance risk and pricing anomalies. Rev. Financial Stud. (2003) 16(2):417–457Crossref, Google Scholar
• Pastor L., Stambaugh R. F. Liquidity risk and expected stock returns. J. Political Econom. (2003) 111(3):642–685Crossref, Google Scholar
• Pincus M., Rajgopal S., Venkatachalam M. The accruals anomaly: International evidence. Accounting Rev. (2007) 82(1):169–203Crossref, Google Scholar
• Richardson S., Sloan R., Soliman M., Tuna I. Accrual reliability, earnings persistence and stock prices. J. Accounting Econom. (2005) 39(3):437–485Crossref, Google Scholar
• Shleifer A., Vishny R. W. The limits of arbitrage. J. Finance (1997) 52(1):35–55Crossref, Google Scholar
• Sloan R. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. (1996) 71(3):289–315Google Scholar
• Stein J. Sophisticated investors and market efficiency. J. Finance (2009) 64(4):1517–1548Crossref, Google Scholar
• Teoh S., Wong T. Why new issue and high-accrual firms underperform: The role of analysts' credulity. Rev. Financial Stud. (2002) 15(3):869–900Crossref, Google Scholar
• Teoh S. H., Zhang Y. Data truncation bias, loss firms, and accounting anomalies. Accounting Rev. (2011) 86(4):1445–1475Crossref, Google Scholar
• Teoh S., Welch I., Wong T. Earnings management and the long run market performance of the initial public offering. J. Finance (1998a) 53(6):1935–1974Crossref, Google Scholar
• Teoh S., Welch I., Wong T. Earnings management and the underperformance of seasoned equity offerings. J. Financial Econom. (1998b) 50(1):63–99Crossref, Google Scholar
• Wu J., Zhang L., Zhang X. The q-theory approach to understanding the accrual anomaly. J. Accounting Res. (2009) 48(1):177–223Crossref, Google Scholar
• Xiong Wei. Convergence trading with wealth effects. J. Financial Econom. (2001) 62(2):247–292Crossref, Google Scholar