Going, Going, Gone? The Apparent Demise of the Accruals Anomaly

• 成果类型: Article
• 署名作者: Green, Jeremiah; Hand, John R. M.; Soliman, Mark T.
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1320
• 发表日期: 2011
• 页码: 797-816
• 关键词: accruals anomaly; market efficiency; Hedge funds

摘要

Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3) 289-315) accruals anomaly appear to have decayed in U. S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role.