Do Investors Fully Understand the Seasonality in Accruals?

• 成果类型: Article; Early Access
• 署名作者: Choy, Siu Kai; Lobo, Gerald J.; Tan, Yongxian
• 署名单位: University of London; King's College London; University of Houston System; University of Houston; Curtin University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2021-0891
• 发表日期: 2025
• 关键词: market anomalies; Cash flows; earnings; INFORMATION; analysts; RISK

摘要

Seasonal fluctuations in a firm's business activities can affect its balance sheet and give rise to seasonally predictable accruals. We find that seasonal patterns in accruals are associated with future stock returns. Specifically, we find that firms with historically lower (higher) accruals in a given fiscal quarter have higher (lower) stock returns in the months when those accruals are expected to be announced. Our results suggest that investors do not fully understand and price historical information on accruals seasonality. Additional analyses suggest that the emergence of this accruals seasonality anomaly is concentrated in the post-2001 period and driven by the effects of unsophisticated arbitrage against the accruals anomaly.