Risk versus Anomaly: A New Methodology Applied to Accruals
提出一种新方法区分应计项目与回报负相关是源于风险还是异象，通过逻辑回归发现低应计项目增加大涨概率但降低大跌概率，支持应计异象的存在。
ABSTRACT Research suggesting the existence of the accrual anomaly runs into the issue that risk serves as a competing explanation for abnormal returns. This paper proposes a novel approach to distinguish between risk and anomaly explanations for the negative association between accruals and returns. The intuition is that high-risk stocks should experience relatively high and low returns more often than low-risk stocks. Thus, a variable that has the opposite correlations with high returns than with low returns is unlikely to capture risk, which points toward an anomaly. The paper implements this perspective via two logistic regressions predicting relatively high and low returns. Controlling for standard risk measures, we document that low accruals increase the probability of large positive returns, but reduce the likelihood of large negative returns. This finding is inconsistent with the prediction that accruals reflect risk and supports the hypothesis that the accrual “anomaly” is indeed an anomaly.