The Pricing of Accruals Quality: January versus the Rest of the Year
研究应计质量是否被定价为风险因素，发现高应计质量股票仅在1月跑赢低应计质量股票，全年无溢价，且1月溢价部分源于税收损失抛售，不支持风险解释。
ABSTRACT As an alternative way to shed light on the debate over whether accruals quality is a priced risk factor, we examine the effect of seasonality on the pricing of the modified Dechow and Dichev (2002) accruals quality measure (AQ). We find that (1) high AQ stocks outperform low AQ stocks only in January; (2) during the rest of the calendar year, high AQ firms underperform low AQ firms such that there is no AQ premium on an annual basis; (3) about half of the January AQ premium occurs during the first five trading days of January; (4) a January AQ premium is observed in almost every year of our sample period; and (5) the January AQ premium reflects, at least partly, the stock price effects of tax loss selling around the turn of the year. Taken together, these findings are difficult to reconcile with a risk interpretation of accruals quality.