Accrual Anomaly and Idiosyncratic Risk: International Evidence

The International Journal of Business and Finance Research, v. 7 (4) p. 63-75

14 Pages Posted: 5 Sep 2013

See all articles by Steven Fan

Steven Fan

University of Wisconsin - Whitewater

Linda Yu

University of Wisconsin - Whitewater

Date Written: 2013

Abstract

In this study, we show that accrual abnormal returns are positively correlated to idiosyncratic risk in international equity markets. In addition, we find that idiosyncratic risk has less impact on accrual abnormal returns for developed countries than emerging countries. Our results are robust to different model selections, such as portfolio approach and regression analysis, across countries. Our results support the mispricing explanation of accrual anomaly around the world.

Keywords: Accrual Anomaly, Idiosyncratic Risk, International Equity Market, Limits of Arbitrage

JEL Classification: G12, G15

Suggested Citation

Fan, Steven and Yu, Linda, Accrual Anomaly and Idiosyncratic Risk: International Evidence (2013). The International Journal of Business and Finance Research, v. 7 (4) p. 63-75, Available at SSRN: https://ssrn.com/abstract=2239955

Steven Fan (Contact Author)

University of Wisconsin - Whitewater ( email )

800 W. Main
Whitewater, WI 53190
United States

Linda Yu

University of Wisconsin - Whitewater ( email )

800 W. Main
Whitewater, WI 53190
United States

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