The Pricing of Accruals Quality: January versus the Rest of the Year

• 成果类型: Article
• 署名作者: Mashruwala, Christina A.; Mashruwala, Shamin D.
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-10035
• 发表日期: 2011
• 页码: 1349-1381
• 关键词: OF-THE-YEAR; cross-sectional variation; return seasonality; stock returns; CONTRARIAN INVESTMENT; information asymmetry; Disclosure quality; market seasonality; earnings quality; INTERNAL CONTROL

摘要

As an alternative way to shed light on the debate over whether accruals quality is a priced risk factor, we examine the effect of seasonality on the pricing of the modified Dechow and Dichev (2002) accruals quality measure (AQ). We find that (1) high AQ stocks outperform low AQ stocks only in January; (2) during the rest of the calendar year, high AQ firms underperform low AQ firms such that there is no AQ premium on an annual basis; (3) about half of the January AQ premium occurs during the first five trading days of January; (4) a January AQ premium is observed in almost every year of our sample period; and (5) the January AQ premium reflects, at least partly, the stock price effects of tax loss selling around the turn of the year. Taken together, these findings are difficult to reconcile with a risk interpretation of accruals quality.