Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs

• 成果类型: Article; Proceedings Paper
• 署名作者: Mashruwala, Christina; Rajgopal, Shivaram; Shevlin, Terry
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2006.04.004
• 发表日期: 2006
• 关键词: earnings management; CONTRARIAN INVESTMENT; FULLY REFLECT; stock-prices; MARKET; performance; equilibrium; persistence; returns; QUALITY

摘要

We show that the accrual anomaly documented by Sloan (1996) [Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71: 289-315] is concentrated in firms with high idiosyncratic stock return volatility making it risky for risk-averse arbitrageurs to take positions in stocks with extreme accruals. Moreover, the accrual anomaly is found in low-price and low-volume stocks, suggesting that transaction costs impose further barriers to exploiting accrual mispricing. (c) 2006 Elsevier B.V. All rights reserved.