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  • Is the accrual anomaly robust to firm-level analysis?

    Author(s)
    Strydom, Maria
    Skully, Michael
    Veeraraghavan, Madhu
    Griffith University Author(s)
    Veeraraghavan, Madhu
    Year published
    2014
    Metadata
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    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 ...
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    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.
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    Journal Title
    International Review of Financial Analysis
    Volume
    34
    DOI
    https://doi.org/10.1016/j.irfa.2014.06.001
    Subject
    Banking, Finance and Investment not elsewhere classified
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Law
    Publication URI
    http://hdl.handle.net/10072/172404
    Collection
    • Journal articles

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