Download This PaperTesting the accruals anomaly based on the speed of price adjustment
52 Pages Posted: 3 Oct 2019 Last revised: 19 Oct 2021
Date Written: August 15, 2021
Abstract
In this study, we investigate the nature of the accruals anomaly by analyzing the speed of price adjustment to accruals information. Consistent with the mispricing hypothesis, we find that a relatively larger proportion of accruals premium is distributed near the filing dates among low limits-to-arbitrage stocks and during periods of increased arbitrage activity. We also discuss our findings in the context of q-theory.
Keywords: Accruals anomaly; Market efficiency; Limits to arbitrage; Mispricing; Q-theory of investment
JEL Classification: G02; G10; G12; G14
Suggested Citation: Suggested Citation
Choy, Siu Kai and Lobo, Gerald J. and Tan, Yongxian, Testing the accruals anomaly based on the speed of price adjustment (August 15, 2021). Available at SSRN: https://ssrn.com/abstract=3458197 or http://dx.doi.org/10.2139/ssrn.3458197
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