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The accrual anomaly / David Hirshleifer in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 320-335 Titre : The accrual anomaly : Risk or mispricing? Type de document : texte imprimé Auteurs : David Hirshleifer, Auteur ; Kewei Hou, Auteur ; Siew Hong Teoh, Auteur Année de publication : 2012 Article en page(s) : pp. 320-335 Note générale : Management Langues : Anglais (eng) Mots-clés : Capital  markets  Accruals  Market  efficiency  Behavioral  finance  Limited  attention Résumé : We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings suggest that investors misvalue the accrual characteristic and cast doubt on the rational risk explanation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/320.abstract [article] The accrual anomaly : Risk or mispricing? [texte imprimé] / David Hirshleifer, Auteur ; Kewei Hou, Auteur ; Siew Hong Teoh, Auteur . - 2012 . - pp. 320-335. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 320-335 Mots-clés : Capital  markets  Accruals  Market  efficiency  Behavioral  finance  Limited  attention Résumé : We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings suggest that investors misvalue the accrual characteristic and cast doubt on the rational risk explanation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/320.abstract