Decomposing the accrual premium: The evidence from two markets
研究了应计溢价在债务和权益市场中的分解，发现短期应计溢价主要存在于小公司股票市场，长期应计溢价则普遍显著且可预测，与投资相关解释一致。
Abstract We decompose the accrual premium and study its components in the debt and equity markets. We show that the importance of each accrual component depends on the sample and the type of market considered. The short‐term accruals component is primarily observed in equity markets, among small and young companies, which is consistent with mispricing arguments. The long‐term accruals premium is consistently positive and significant in different samples and markets. This component reflects growth in capital expenditures, and it is counter‐cyclical and predictable, which is in line with investment‐based explanations. Finally, the financial accruals component does not generate predictability.