Going, Going, Gone? The Apparent Demise of the Accruals Anomaly
Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71 (3) 289-315) accruals anomaly appear to have de...
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| Veröffentlicht in: | Management science 2011-05, Vol.57 (5), p.797-816 |
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| creator | Green, Jeremiah Hand, John R. M. Soliman, Mark T. |
| description | Consistent with public statements made by sophisticated practitioners, we document that the hedge returns to Sloan's (Sloan, R. G. 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings?
Accounting Rev.
71
(3) 289-315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role.
This paper was accepted by Stefan Reichelstein, accounting. |
| doi_str_mv | 10.1287/mnsc.1110.1320 |
| format | Article |
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Accounting Rev.
71
(3) 289-315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role.
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Accounting Rev.
71
(3) 289-315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role.
This paper was accepted by Stefan Reichelstein, accounting.</description><subject>Abnormal returns</subject><subject>Accounting</subject><subject>Accounting methods</subject><subject>Accruals</subject><subject>accruals anomaly</subject><subject>Applied sciences</subject><subject>Asset management</subject><subject>Capital management</subject><subject>Cash flow</subject><subject>Earnings</subject><subject>Empirical research</subject><subject>Exact sciences and technology</subject><subject>Financial markets</subject><subject>Financial portfolios</subject><subject>Firm modelling</subject><subject>Forecasts and trends</subject><subject>Hedge funds</subject><subject>Hedging</subject><subject>Industrial efficiency</subject><subject>Investment analysis</subject><subject>Investments</subject><subject>Investors</subject><subject>Management science</subject><subject>market efficiency</subject><subject>Operational research and scientific management</subject><subject>Operational research. Management science</subject><subject>Portfolio management</subject><subject>Portfolio theory</subject><subject>Profits</subject><subject>Securities markets</subject><subject>Stock exchanges</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Time series</subject><subject>Transaction costs</subject><subject>U.S.A</subject><issn>0025-1909</issn><issn>1526-5501</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><sourceid>N95</sourceid><recordid>eNqFktGL1DAQxosouJ6--iYURXy5rpm0aZKnYzn1VA58OZ9Dmk53s7RpTVph_3sT99hTWZAymWTym4_0Y7LsJZA1UMHfDy6YNUA6lpQ8ylbAaF0wRuBxtiKEsgIkkU-zZyHsCSFc8HqVXd2M1m0v81NyeJXf7TDfTJP26Ob8Aw42YD52-ZzKxvhF9yHfuHHQ_eF59qSLR3xxny-y758-3l1_Lm6_3Xy53twWpqZiLhg0HMqmLhEklY3kQhLaAMFOdlo2FSvbjlBoDTSt1qYRRCCJG2FMWWGry4vs3VF38uOPBcOs4qsM9r12OC5BCc5FRauaRPL1P-R-XLyLj1Oi5oJWkifozRHa6h6Vdd04e22SpNpQJqACyatIFWeoLTr0uo9OdTaW_-LXZ_j4tdFDc7bh8o-GZgnWYYhLsNvdHLZ6CeGsvvFjCB47NXk7aH9QQFSaAZVmQKUZUGkGYsPXY4PHCc2Jtm4Y_W_0pyo143E5xKAEICabajGmGFxyJaBWu3mIYm_vjdXB6L7z2hkbTqK0AiZKqCP36sjtwzz6h_t4y3gFD64mg_wQ_vcTvwBHw97-</recordid><startdate>20110501</startdate><enddate>20110501</enddate><creator>Green, Jeremiah</creator><creator>Hand, John R. 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Management science</topic><topic>Portfolio management</topic><topic>Portfolio theory</topic><topic>Profits</topic><topic>Securities markets</topic><topic>Stock exchanges</topic><topic>Stock prices</topic><topic>Studies</topic><topic>Time series</topic><topic>Transaction costs</topic><topic>U.S.A</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Green, Jeremiah</creatorcontrib><creatorcontrib>Hand, John R. 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Accounting Rev.
71
(3) 289-315) accruals anomaly appear to have decayed in U.S. stock markets to the point that they are, on average, no longer reliably positive. We explore some potential reasons why this has happened. Our empirical analyses suggest that the anomaly's demise stems in part from an increase in the amount of capital invested by hedge funds into exploiting it, as measured by hedge fund assets under management and trading volume in extreme accrual firms. A decline in the size of the accrual mispricing signal, as measured by the magnitude of extreme decile accruals and the relative persistence of cash flows and accruals, may also play a (weaker) role.
This paper was accepted by Stefan Reichelstein, accounting.</abstract><cop>Hanover, MD</cop><pub>INFORMS</pub><doi>10.1287/mnsc.1110.1320</doi><tpages>20</tpages></addata></record> |
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| subjects | Abnormal returns Accounting Accounting methods Accruals accruals anomaly Applied sciences Asset management Capital management Cash flow Earnings Empirical research Exact sciences and technology Financial markets Financial portfolios Firm modelling Forecasts and trends Hedge funds Hedging Industrial efficiency Investment analysis Investments Investors Management science market efficiency Operational research and scientific management Operational research. Management science Portfolio management Portfolio theory Profits Securities markets Stock exchanges Stock prices Studies Time series Transaction costs U.S.A |
| title | Going, Going, Gone? The Apparent Demise of the Accruals Anomaly |
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