Value-Glamour and Accruals Mispricing: One Anomaly or Two?

49 Pages Posted: 15 Jun 2002  

Hemang Desai

Southern Methodist University - Cox School of Business

Shivaram Rajgopal

Columbia Business School

Mohan Venkatachalam

Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: June 2002

Abstract

We investigate whether the accruals anomaly documented by Sloan (1996) in the accounting literature is distinct from the value-glamour anomaly documented in the finance literature. We find that the accruals strategy earns abnormal returns incremental to past sales growth, book-to-market and earnings-to-price proxies of value-glamour. However, after controlling for the cash flow-to-price ratio, we do not observe any relation between accruals and future abnormal returns. Hence, it appears that the mispricing attributed to accruals is a manifestation of mispricing related to the cash flow-to-price proxy of the value-glamour phenomenon.

JEL Classification: G14, M41

Suggested Citation

Desai, Hemang and Rajgopal, Shivaram and Venkatachalam, Mohan, Value-Glamour and Accruals Mispricing: One Anomaly or Two? (June 2002). Available at SSRN: https://ssrn.com/abstract=315049 or http://dx.doi.org/10.2139/ssrn.315049

Hemang Desai

Southern Methodist University - Cox School of Business ( email )

Cox School of Business
6212 Bishop Blvd.
Dallas, TX 75275-0333
United States
214-768-3185 (Phone)
214-768-4099 (Fax)

Shivaram Rajgopal (Contact Author)

Columbia Business School ( email )

3022 Broadway
New York, NY 10027
United States

Mohan Venkatachalam

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7859 (Phone)
919-660-7971 (Fax)

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