Data Snooping and the Global Accrual Anomaly
Posted: 18 Sep 2012
Date Written: September 17, 2012
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
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