Is the accrual anomaly robust to firm-level analysis?

Maria Strydom, Michael Thomas Skully, Madhu Veeraraghavan

    Research output: Contribution to journalArticleResearchpeer-review

    2 Citations (Scopus)

    Abstract

    This study investigates whether firm-level accrual mispricing exists and if such mispricing is persistent. Our results show both under and overpricing of accruals that persevere. Specifically, we show that a trading strategy going a dollar long (short) in underpriced (overpriced) accrual firms yields significant abnormal returns in most years investigated. We examine whether firm characteristics such as size, analyst following and real activities management can explain why some firms are mispriced and others not. Our findings show that firm-level mispricing differs from that documented at the country-level. Whilst the country-level anomaly seems to have diminished; the firm-level accrual anomaly remains.
    Original languageEnglish
    Pages (from-to)157 - 165
    Number of pages9
    JournalInternational Review of Financial Analysis
    Volume34
    DOIs
    Publication statusPublished - 2014

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