Do Investors Fully Understand the Seasonality in Accruals?
研究发现企业应计项目存在季节性规律，且与未来股票收益相关，表明投资者未能充分利用应计项目季节性的历史信息来定价。
ABSTRACT Seasonal fluctuations in a firm’s business activities can affect its balance sheet and give rise to seasonally predictable accruals. We find that seasonal patterns in accruals are associated with future stock returns. Specifically, we find that firms with historically lower (higher) accruals in a given fiscal quarter have higher (lower) stock returns in the months when those accruals are expected to be announced. Our results suggest that investors do not fully understand and price historical information on accruals seasonality. Additional analyses suggest that the emergence of this accruals seasonality anomaly is concentrated in the post-2001 period and driven by the effects of unsophisticated arbitrage against the accruals anomaly. JEL Classifications: G10; G12; G14.