Is the accrual anomaly robust to firm-level analysis?

Maria Strydom, Michael Skully and Madhu Veeraraghavan

International Review of Financial Analysis, 2014, vol. 34, issue C, 157-165

Abstract: This study investigates whether firm-level accrual mispricing exists and if such mispricing is persistent. Our results show both under and overpricing of accruals that persevere. Specifically, we show that a trading strategy going a dollar long (short) in underpriced (overpriced) accrual firms yields significant abnormal returns in most years investigated. We examine whether firm characteristics such as size, analyst following and real activities management can explain why some firms are mispriced and others not. Our findings show that firm-level mispricing differs from that documented at the country-level. Whilst the country-level anomaly seems to have diminished; the firm-level accrual anomaly remains.

Keywords: Accrual anomaly; Mispricing; Firm-level (search for similar items in EconPapers)
JEL-codes: G12 G14 G38 M41 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:34:y:2014:i:c:p:157-165

DOI: 10.1016/j.irfa.2014.06.001

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