Are accruals mispriced? Evidence from tests of an intertemporal capital asset pricing model

• 成果类型: Article; Proceedings Paper
• 署名作者: Khan, Mozaffar
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2007.07.001
• 发表日期: 2008
• 关键词: CROSS-SECTIONAL TEST; Book-to-market; stock returns; variance decomposition; risk-factors; earnings; anomalies; GROWTH; INFORMATION; persistence

摘要

This paper proposes a risk-based explanation for the accrual anomaly. Risk is measured using a four-factor model motivated by the Intertemporal Capital Asset Pricing Model. Tests of the model Suggest that a considerable portion of the cross-sectional variation in average returns to high and low accrual firms is explained by risk. The four-factor model also performs better than some other widely used models in pricing a number of different hedge portfolios. (c) 2007 Elsevier B.V. All rights reserved.