The Accrual Anomaly: Accrual Originations, Accrual Reversals, and Resolution of Uncertainty
结合应计项目必然反转的基本属性和投资者低估噪声信号方差的行为偏差，解释了为何只有产生中的应计项目被错误定价，而反转中的则否，并据此改进了基于应计项目的交易策略。
ABSTRACT We combine a fundamental property of accruals and a behavioral phenomenon to provide an explanation for the accrual anomaly. The fundamental property is accruals that originate must subsequently reverse. The behavioral phenomenon is individuals tend to underestimate the variance of noisy signals in various domains of decision making. We argue that originating accruals represents a noisier signal than reversing accruals because the uncertainty of whether originating accruals will eventually convert into cash is high, while there is no uncertainty regarding reversing accruals. If investors underestimate the variance of originating accruals but understand reversing accruals, then originating accruals will be mispriced while reversing accruals will not. To test this prediction, we first develop and empirically validate a novel method for ex ante detecting accrual originations and their reversals. Then we document that investors face increased uncertainty when accruals originate and decreased uncertainty when accruals reverse, and we provide evidence that only originating accruals are mispriced. We further demonstrate that our findings can be useful for improving the accrual‐based trading strategy by ex ante detecting and removing accrual reversals from extreme accrual portfolios. Overall, we provide a behavioral explanation for the accrual anomaly that is consistent with the mispricing of originating accruals only.