A Simple Model Relating Accruals to Risk, and its Implications for the Accrual Anomaly
构建了一个模型，将系统性风险与均值回归的应计项目联系起来，解释了应计异象中CAPM异常收益为正、持有期延长后衰减等模式，并通过模拟表明风险测量偏差可复现先前结果。
Abstract: This paper models systematic risk as a function of mean‐reverting accruals. When the true abnormal returns are zero, but the true betas are empirically unobserved, the model predicts the anomalous pattern of empirical results on the accrual anomaly: (i) CAPM abnormal returns to an accrual hedge portfolio are positive on average, (ii) are positive in almost all years, (iii) decay as the holding period is extended beyond one year, and (iv) the Mishkin (1983) test of market efficiency is rejected. Using simulations, small and plausible degrees of risk mismeasurement also reproduce the magnitudes of prior results on the accrual anomaly.