Understanding the Accrual Anomaly
dc.contributor.author | Zhang, Lu | |
dc.contributor | Wu, Jin Ginger | |
dc.contributor | Zhang, X. Frank | |
dc.date.accessioned | 2007-10-10T15:13:30Z | |
dc.date.available | 2007-10-10T15:13:30Z | |
dc.date.issued | 2008-01 | |
dc.identifier | 1100 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/56244 | |
dc.description.abstract | Interpreting accruals as working capital investment, we hypothesize that firms optimally adjust their capital investment in response to discount rate changes. Consistent with the discount-rate hypothesis, we document that (i) the predictive power of accruals for future returns increases with the correlations of accruals with past and current stock returns; (ii) controlling for invest- ment substantially reduces the magnitude of the accrual anomaly; (iii) the ex-ante expected returns of various accrual strategies have been stable at around 5% per annum over the past 35 years; (iv) the accounting reliability of various accrual components is inversely related to their cross-correlations with investment-to-assets; and finally (v) high accrual firms have similar cor- porate governance and entrenchment indexes as low accrual firms, suggesting that the accrual anomaly is unlikely to be driven by investor overreaction to over-investment. | en_US |
dc.format.extent | 353264 bytes | |
dc.format.mimetype | application/pdf | |
dc.subject | The accruals anomaly | en_US |
dc.subject | total accruals | en_US |
dc.subject | discretionary accruals | en_US |
dc.subject | net operating assets | en_US |
dc.subject | investment-based asset pricing | en_US |
dc.subject | capital investment | en_US |
dc.subject | time-varying expected returns | en_US |
dc.subject.classification | Finance | en_US |
dc.title | Understanding the Accrual Anomaly | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.contributor.affiliationum | Ross School of Business | en_US |
dc.contributor.affiliationother | University of Georgia | en_US |
dc.contributor.affiliationother | Yale School of Management | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/56244/4/1100_zhang_12_07.pdf | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/56244/1/1100-Zhang.pdf | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/56244/6/1100-zhang_2008.pdf | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/56244/8/1100-zhang_7_2008.pdf | |
dc.owningcollname | Business, Stephen M. Ross School of - Working Papers Series |
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