ABSTRACT As an alternative way to shed light on the debate over whether accruals quality is a priced risk factor, we examine the effect of seasonality on the pricing of the modified Dechow and Dichev (2002) accruals quality measure (AQ). We find that (1) high AQ stocks outperform low AQ stocks only in January; (2) during the rest of the calendar year, high AQ firms underperform low AQ firms such that there is no AQ premium on an annual basis; (3) about half of the January AQ premium occurs during the first five trading days of January; (4) a January AQ premium is observed in almost every year of our sample period; and (5) the January AQ premium reflects, at least partly, the stock price effects of tax loss selling around the turn of the year. Taken together, these findings are difficult to reconcile with a risk interpretation of accruals quality.

ABSTRACT We investigate whether multiemployer defined-benefit pension plan (MEPP) underfunding is priced by shareholders and creditors. Prior to the FASB's new MEPP standard (effective December 2011), when the disclosures on such plans were sparse, we find evidence (some evidence) that our estimate of a firm's share of MEPP underfunding is credit (value) relevant. We also find some evidence that a proxy for the funded status of a firm's MEPPs is incrementally value relevant over and above the firm's cash contributions, but no evidence that it is credit relevant. Furthermore, an estimate of MEPP underfunding that incorporates the additional disclosures required under the new MEPP standard is value and credit relevant, both individually and incrementally, over and above our old estimate. Overall, our findings suggest that shareholders and creditors view MEPP underfunding as a debt-like obligation and that the additional MEPP disclosures under the new standard are useful to market participants.