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
Date Written: 2013
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: Suggested Citation