Journal of Accounting and Economics Vol. 45 No. 1 2008
Are accruals mispriced? Evidence from tests of an Intertemporal Capital Asset Pricing Model
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.
- DOI
- 10.1016/j.jacceco.2007.07.001
- Volume
- 45
- Issue
- 1
- Pages
- 55-77
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref