Is the Accrual Anomaly Robust to Firm-Level Analysis?

Strydom, Maria and Skully, Michael and Veeraraghavan, Madhu (2014) Is the Accrual Anomaly Robust to Firm-Level Analysis? International Review of Financial Analysis, 34. pp. 157-165.

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This study investigates whether firm-level accrual mispricing exists and if such mispricing is persistent. Our results show both under and overpricing of accruals that persevere. Specifically, we show that a trading strategy going a dollar long (short) in underpriced (overpriced) accrual firms yields significant abnormal returns in most years investigated. We examine whether firm characteristics such as size, analyst following and real activities management can explain why some firms are mispriced and others not. Our findings show that firm-level mispricing differs from that documented at the country-level. Whilst the country-level anomaly seems to have diminished; the firm-level accrual anomaly remain

Item Type: Article
Uncontrolled Keywords: Accrual Anomaly; Mispricing; Firm-level
Subjects: Finance
Finance > Capital Markets/Stock Marketing
Divisions: Finance and Strategy
Depositing User: Mr. Ramesh Kamath
Date Deposited: 11 Sep 2018 17:16
Last Modified: 14 Feb 2019 06:38

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