The Accrual Anomaly: Risk or Mispricing?
研究发现应计项目能预测股票收益，但收益来自应计特征本身而非风险因子载荷，支持错误定价解释而非理性风险解释。
We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings suggest that investors misvalue the accrual characteristic and cast doubt on the rational risk explanation. This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.