Asymmetric Returns and the Economic Content of Accruals and Investment

• 成果类型: Article
• 署名作者: Del Viva, Luca; Kothari, S. P.; Lambertides, Neophytos; Trigeorgis, Lenos
• 署名单位: Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); U.S. Securities & Exchange Commission (SEC); Cyprus University of Technology; University of Cyprus
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3676
• 发表日期: 2021
• 页码: 3921-3942
• 关键词: investment and accruals; nonlinear equity value; asymmetric returns; Idiosyncratic skewness

摘要

This study contributes to our understanding of what accruals capture and how they relate to the distribution of future returns. It examines the past and future growth components of accruals and shows that, whereas past growth is negatively associated with idiosyncratic skewness, future growth is positively associated with it. In addition, although both past and future growth are negatively associated with future returns, the association is more pronounced for past growth when volatility is lower, but for future growth when volatility is higher. The study also shows that the association between the future growth component and future returns reverses in the long run, whereas the association between past growth and future returns does not.