Distress Risk, Investor Sophistication, and Accrual Anomaly
研究发现应计组合的困境风险呈U型分布，极端应计股票缺乏替代品阻碍套利，困境风险高的公司应计策略利润更高，且该效应未被其他特征解释，支持套利限制解释。
I document a U-shaped pattern of distress risk across accrual portfolios. The lack of close substitutes in the extreme accrual stocks is likely to create barriers to arbitrage away the accrual mispricing. I find that the profits of the accrual trading strategies are mostly concentrated in firms with high default probability. The effect of distress risk on accrual anomaly is not subsumed by previously documented cross-sectional characteristics, and also holds in various market states and subsamples. Furthermore, I show that firms with high distress risk not only exhibit lower institutional ownership but also have higher institutional concentration. These findings provide a possible justification for why the accrual strategy is more profitable for firms with higher distress risk, and suggest that the distress-based accrual strategy can be explained by the limits-to-arbitrage story.