Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances

142 Pages Posted: 16 Feb 2011  

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

Date Written: September 15, 2010

Abstract

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.

Keywords: Accruals, Anomalies, Forecasting, Fundamental Analysis, Market

JEL Classification: G12, G14, M41

Suggested Citation

Richardson, Scott A. and Wysocki, Peter D. and Tuna, A. Irem, Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances (September 15, 2010). Available at SSRN: https://ssrn.com/abstract=1762124 or http://dx.doi.org/10.2139/ssrn.1762124

Scott Anthony Richardson (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Peter D. Wysocki

University of Miami - School of Business Administration ( email )

Department of Accounting - K/E 308
5250 University Drive
Coral Gables, FL 33146-6531
United States
305-284-8618 (Phone)

Ayse Irem Tuna

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

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