The Accrual Anomaly: Risk or Mispricing?

• 成果类型: Article
• 署名作者: Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong
• 署名单位: University of California System; University of California Irvine; University System of Ohio; Ohio State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1100.1289
• 发表日期: 2012
• 页码: 320-335
• 关键词: capital markets; accruals; market efficiency; behavioral finance; limited attention

摘要

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 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings suggest that investors misvalue the accrual characteristic and cast doubt on the rational risk explanation.