Do Mutual Funds Profit from the Accruals Anomaly?
利用基金持股和回报数据，考察主动管理型股票共同基金是否利用应计异象进行交易并获利。发现少数基金虽持仓低应计股票，但扣除交易成本后仍获得显著超额收益。
ABSTRACT Using data on both fund stockholdings and fund returns, we examine whether actively managed equity mutual funds trade on and profit from the accruals anomaly. We find that few, if any, mutual funds trade on the anomaly. The top 10% of mutual funds that have the highest portfolio weights in low‐accruals stocks have a greater, but still relatively small, exposure to low‐accruals stocks. Nonetheless, these funds make significant profit net of actual transaction costs, exhibiting an average Fama‐French three‐factor alpha of 2.83% per year. We also find that these funds are smaller, less diversified, and exhibit higher fund return volatility and higher fund flow volatility.