There are Two Very Different Accruals Anomalies

29 Pages Posted: 17 Sep 2018

See all articles by Andrew L. Detzel

Andrew L. Detzel

University of Denver - Daniels College of Business

Philipp D. Schaberl

University of Northern Colorado - Monfort College of Business

Jack Strauss

University of Denver - Daniels College of Business

Multiple version iconThere are 2 versions of this paper

Date Written: September 2018

Abstract

We document that several well‐known asset‐pricing implications of accruals differ for investment and non‐investment‐related components. Exposure to an investment‐accruals factor explains the cross‐section of returns better than accruals themselves, and sentiment negatively predicts this factor's returns. The opposite results hold for non‐investment accruals. Cash profitability only subsumes long‐term non‐investment accruals in the cross‐section of returns and economy‐wide investment accruals negatively predict stock‐market returns while other accruals do not. These results challenge existing accruals‐anomaly theories and resolve mixed evidence by showing the anomaly is two separate phenomena: a risk‐based investment accruals premium and a mispricing of non‐investment accruals.

Keywords: accruals anomaly, profitability, real investment, cross‐section of stock returns

Suggested Citation

Detzel, Andrew L. and Schaberl, Philipp D. and Strauss, Jack, There are Two Very Different Accruals Anomalies (September 2018). European Financial Management, Vol. 24, Issue 4, pp. 581-609, 2018, Available at SSRN: https://ssrn.com/abstract=3248608 or http://dx.doi.org/10.1111/eufm.12162

Andrew L. Detzel (Contact Author)

University of Denver - Daniels College of Business ( email )

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HOME PAGE: http://portfolio.du.edu/adetzel

Philipp D. Schaberl

University of Northern Colorado - Monfort College of Business ( email )

Kepner Hall
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Greeley, CO 80639
United States

Jack Strauss

University of Denver - Daniels College of Business ( email )

2101 S. University Blvd.
Denver, CO 80208
United States

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