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CCER讨论稿:Evaluating the Accrual Anomaly with the Decomposition Method

发布日期:2018-03-24 03:07    来源:北京大学国家发展研究院

E2018010                                2018-03-24

Zhuo Huang  Dawei Lin   Zhimin Qiu

National School of Development, Peking University

Abstract

Using the decomposition method proposed by Hou and Loh (2016), we evaluate several current explanations for the accrual anomaly. The results of multivariate analysis show that cash-based operating profitability (CbOP) best explains the accrual
anomaly, with an explanatory power of about 50%. Risk-based explanations account for approximately 90% of the accrual anomaly, whereas the contributions of explanations based on arbitrage costs are quite limited, and the unexplained residual
fraction is negligible. Our findings suggest that the existing indicators explain most of the accrual anomaly and the risk-based explanations are preferable.
 

JEL classification: G12; G14; M41
Keywords: Accruals; Anomalies; Asset pricing; Market efficiency; Arbitrage costs

讨论稿下载  E2018010

[1] Zhuo Huang (corresponding author) is Associate Professor at the National School of Development, Peking University, Beijing, China. E-mail: zhuohuang@nsd.pku.edu.cn. This research is supported by the National Natural Science Foundation of China (71671004, 71301027).