Are Book-Tax Differences Mispriced?

• 成果类型: Article
• 署名作者: Hepfer, Bradford F.
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2020-0181
• 发表日期: 2023
• 页码: 285-306
• 关键词: future earnings; taxable income; DELISTING BIAS; cross-section; COMMON-STOCKS; SHORT-SELLERS; Cash flows; INFORMATION; accruals; anomalies

摘要

I examine whether book-tax differences (BTDs) are mispriced. I predict that BTD mispricing is the operating cash flows-to-price (CFO/P) anomaly in disguise. Using both time-series asset pricing tests and cross-sectional returns tests, I provide consistent evidence that returns to trading on BTDs are explained by CFO/P. Rather than being an independent anomaly, the findings indicate that any evidence of BTD mispricing is subsumed by the broader CFO/P anomaly. These findings stand in contrast to many studies that infer BTDs possess unique information for future earnings reflected in stock prices with a delay.JEL Classifications: G12; G14; M41.