Abstract

https://ssrn.com/abstract=315049
 
 

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


Hemang Desai


Southern Methodist University - Cox School of Business

Shivaram Rajgopal


Columbia Business School

Mohan Venkatachalam


Duke University - Fuqua School of Business

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.

Number of Pages in PDF File: 49

JEL Classification: G14, M41


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Date posted: June 15, 2002  

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

Contact Information

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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