Accounting Anomalies, Risk, and Return

• 成果类型: Article
• 署名作者: Penman, Stephen H.; Zhu, Julie Lei
• 署名单位: Columbia University; Boston University; Shanghai Jiao Tong University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-50799
• 发表日期: 2014
• 页码: 1835-1866
• 关键词: financial statement analysis; price-earnings ratios; SECURITY RETURNS; cross-section; COMMON-STOCKS; ASSET GROWTH; INVESTMENT; accruals; profitability; seasonalities

摘要

This paper investigates whether so-called anomalous returns predicted by accounting numbers reflect normal returns for risk or abnormal returns. It does so via a model showing how accounting numbers inform about normal returns if pricing were rational. The model equates expected returns to expectations of earnings and earnings growth, so that any variable that forecasts earnings and earnings growth also indicates the required return if the market prices those outcomes as risky. The empirical results confirm that many accounting anomaly variables (such as accruals, asset growth, and investment) forecast forward earnings and growth, and in the same direction in which they forecast returns. While the lack of an agreed-upon asset pricing model for required returns rules out definitive conclusions, the paper provides both a framework and supporting empirical results indicating that the observed anomalous returns associated with accounting numbers are consistent with rational pricing.