Accrual Anomaly and Idiosyncratic Risk: International Evidence

Steve Fan and Linda Yu

The International Journal of Business and Finance Research, 2013, vol. 7, issue 4, 63-75

Abstract: In this study, we show that accrual abnormal returns are positively correlated to idiosyncratic risk in international equity markets. In addition, we find that idiosyncratic risk has less impact on accrual abnormal returns for developed countries than emerging countries. Our results are robust to different model selections, such as portfolio approach and regression analysis, across countries. Our results support the mispricing explanation of accrual anomaly around the world.

JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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