Abstract

http://ssrn.com/abstract=782726
 
 

References (62)



 
 

Citations (19)



 


 



Is the Accrual Anomaly a Global Anomaly?


Ryan LaFond


BlackRock

August 11, 2005

MIT Sloan Research Paper No. 4555-05

Abstract:     
This paper investigates the subsequent return implications of accruals within a sample of large, developed, international equity markets and assesses whether similar institutional features account for the accrual anomaly across countries. I investigate the returns implications of accruals in 17 countries over the 1989 to 2003 time period. In general, the results of country-specific analysis indicate that the accrual anomaly is a global phenomenon. After decomposing total accruals, I find, in general, that accrual mispricing is largest for working capital accruals, specifically current asset accruals. However, the results of further analysis suggest that there is no dominant factor that explains the accrual anomaly internationally. Overall, the results indicate that the accrual anomaly is present in international markets yet the factor(s) driving the accrual anomaly appear to vary across markets.

Number of Pages in PDF File: 59

JEL Classification: M41, G14, M43, M47

working papers series


Download This Paper

Date posted: August 18, 2005  

Suggested Citation

LaFond, Ryan, Is the Accrual Anomaly a Global Anomaly? (August 11, 2005). MIT Sloan Research Paper No. 4555-05. Available at SSRN: http://ssrn.com/abstract=782726 or http://dx.doi.org/10.2139/ssrn.782726

Contact Information

Ryan LaFond (Contact Author)
BlackRock ( email )
400 Howard Street
San Francisco, CA 94105
United States
Feedback to SSRN


Paper statistics
Abstract Views: 3,138
Downloads: 1,010
Download Rank: 11,082
References:  62
Citations:  19
People who downloaded this paper also downloaded:
1. The Accrual Anomaly
By Patricia Dechow, Natalya Khimich, ...

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.359 seconds