Download This PaperValue-Glamour and Accruals Mispricing: One Anomaly or Two?
49 Pages Posted: 15 Jun 2002
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Value-Glamour and Accruals Mispricing: One Anomaly or Two?
Date Written: June 2002
Abstract
We investigate whether the accruals anomaly documented by Sloan (1996) in the accounting literature is distinct from the value-glamour anomaly documented in the finance literature. We find that the accruals strategy earns abnormal returns incremental to past sales growth, book-to-market and earnings-to-price proxies of value-glamour. However, after controlling for the cash flow-to-price ratio, we do not observe any relation between accruals and future abnormal returns. Hence, it appears that the mispricing attributed to accruals is a manifestation of mispricing related to the cash flow-to-price proxy of the value-glamour phenomenon.
JEL Classification: G14, M41
Suggested Citation: Suggested Citation
Shivaram Rajgopal (Contact Author)
Columbia University - Columbia Business School, Accounting, Business Law & Taxation ( email )
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Mohan Venkatachalam
Duke University - Fuqua School of Business ( email )
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