Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model

Mozaffar Khan

Journal of Accounting and Economics, 2008, vol. 45, issue 1, pages 55-77

Abstract: This paper proposes a risk-based explanation for the accrual anomaly. Risk is measured using a four-factor model motivated by the Intertemporal Capital Asset Pricing Model. Tests of the model suggest that a considerable portion of the cross-sectional variation in average returns to high and low accrual firms is explained by risk. The four-factor model also performs better than some other widely used models in pricing a number of different hedge portfolios.

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:eee:jaecon:v:45:y:2008:i:1:p:55-77

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