Data Snooping and the Global Accrual Anomaly

Posted: 18 Sep 2012

See all articles by Harald Lohre

Harald Lohre

Invesco; Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School

Markus Leippold

University of Zurich - Department of Banking and Finance; University of Zurich - Faculty of Economics, Business Administration and Information Technology

Multiple version iconThere are 2 versions of this paper

Date Written: September 17, 2012

Abstract

Naively testing for accruals mispricing in 26 equity markets – one market at a time – we find statistical evidence of anomalous returns in some countries. However, some of these findings might well be spurious because of data snooping biases that arise when simultaneously testing several hypotheses. While the accrual anomaly is not deemed to be robust in some countries when properly accounting for multiple testing, we find the international momentum effect to by and large pass the battery of multiple testing procedures. Moreover, we find the few robust accrual anomalies vanishing in recent times, indicating that investors have been exploiting the mispricing.

Keywords: accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

JEL Classification: C12, G14, M41

Suggested Citation

Lohre, Harald and Leippold, Markus, Data Snooping and the Global Accrual Anomaly (September 17, 2012). Applied Financial Economics, Vol. 22, No. 7, 2012. Available at SSRN: https://ssrn.com/abstract=2147723

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School

Bailrigg
Lancaster LA1 4YX
United Kingdom

HOME PAGE: http://www.lancaster.ac.uk/lums/research/research-centres/financial-econometrics/

Markus Leippold

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland

University of Zurich - Faculty of Economics, Business Administration and Information Technology ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland

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