Testing the accruals anomaly based on the speed of price adjustment
通过分析价格对应计信息的调整速度，检验应计异象的性质，发现低套利限制股票在申报日附近应计溢价更大，支持错误定价假说。
In this study, we investigate the nature of the accruals anomaly by analyzing the speed of price adjustment to accruals information. Consistent with the mispricing hypothesis, we find that a relatively larger proportion of accruals premium is distributed near the filing dates among low limits-to-arbitrage stocks and during periods of increased arbitrage activity. We also discuss our findings in the context of q-theory.