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THE ACCRUAL ANOMALY: RISK OR MISPRICING? (2006)
| Citations: | 5 - 2 self |
BibTeX
@MISC{Hirshleifer06theaccrual,
author = {David Hirshleifer and Kewei Hou and Siew Hong Teoh and Jel Classification M},
title = {THE ACCRUAL ANOMALY: RISK OR MISPRICING?},
year = {2006}
}
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Abstract
We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.15, higher than that of the market factor or the HML factor of Fama and French (1993). In time series regressions, a model that includes the Fama-French factors and the additional accrual factor captures the accrual anomaly in average returns. However, further time series and cross-sectional tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings favor a behavioral explanation for the accrual anomaly.
Keyphrases
accrual anomaly considerable return comovement market factor behavioral explanation average return additional accrual factor time series common factor cross-sectional test fama-french factor hml factor accrual-based factor-mimicking portfolio accrual characteristic accrual factor time series regression sharpe ratio
