Accounting Anomalies, Risk, and Return
通过模型说明会计数字如何反映正常回报，并实证检验了多个会计异象变量（如应计项目、资产增长）预测未来盈余和增长的方向与预测回报的方向一致，表明这些异象回报可能与理性定价一致。
ABSTRACT This paper investigates whether so-called anomalous returns predicted by accounting numbers reflect normal returns for risk or abnormal returns. It does so via a model showing how accounting numbers inform about normal returns if pricing were rational. The model equates expected returns to expectations of earnings and earnings growth, so that any variable that forecasts earnings and earnings growth also indicates the required return if the market prices those outcomes as risky. The empirical results confirm that many accounting anomaly variables (such as accruals, asset growth, and investment) forecast forward earnings and growth, and in the same direction in which they forecast returns. While the lack of an agreed-upon asset pricing model for required returns rules out definitive conclusions, the paper provides both a framework and supporting empirical results indicating that the observed “anomalous” returns associated with accounting numbers are consistent with rational pricing.