Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances
Scott A. Richardson
AQR Capital Management, LLC; London Business School
Peter D. Wysocki
University of Miami - School of Business Administration
A. Irem Tuna
London Business School
September 15, 2010
We survey recent research in accounting anomalies and fundamental analysis. We use forecasting of future earnings and returns as our organizing framework and suggest a roadmap for research aiming to document the forecasting benefits of accounting information. We combine this with opinions from the academic and practitioner communities to critically evaluate key clusters of papers about accounting anomalies and fundamental analysis disseminated over the last decade. Finally, we provide a new analysis on how an ex ante and ex post treatment of risk and transaction costs affects the accrual and PEAD anomalies, and offer suggestions for future research.
Number of Pages in PDF File: 142
Keywords: Accruals, Anomalies, Forecasting, Fundamental Analysis, Market
JEL Classification: G12, G14, M41
Date posted: February 16, 2011
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