Is accruals quality a priced risk factor?

• 成果类型: Article
• 署名作者: Core, John E.; Guay, Wayne R.; Verdi, Rodrigo
• 署名单位: University of Pennsylvania; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2007.08.001
• 发表日期: 2008
• 关键词: cross-section; INFORMATION; earnings; cost; returns; equity; biases; beta

摘要

In a recent and influential empirical paper, Francis, LaFond, Olsson, and Schipper (FLOS) [2005. The market pricing of accruals quality. Journal of Accounting and Economics 39, 295-327] conclude that accruals quality (AQ) is a priced risk factor. We explain that FLOS' regressions examining a contemporaneous relation between excess returns and factor returns do not test the hypothesis that AQ is a priced risk factor. We conduct appropriate asset-pricing tests for determining whether a potential risk factor explains expected returns. and find no evidence that AQ is a priced risk factor. (C) 2008 Elsevier B.V. All rights reserved.