Settings Where the Accruals Anomaly Lives on

30 Pages Posted: 23 Apr 2024 Last revised: 1 May 2024

See all articles by Derek Oler

Derek Oler

Texas Tech University - Rawls College of Business

Joshua G. Coyne

University of Central Arkansas

Jayson Talakai

Utah State University - School of Accountancy

Date Written: April 28, 2024

Abstract

We examine settings where annual returns to exploiting the accruals anomaly persist and settings where those returns have vanished. The accruals anomaly persists in neglected firms, that is, in firms that are less prominent and receive less investor attention, and where the specific calculation of accruals is less familiar to market participants. The accruals anomaly has vanished in settings where (1) public knowledge of the accruals anomaly, including the calculation of accruals, has increased, and (2) firms have received more investor attention. Our paper emphasizes the roles of investor knowledge and attention in market efficiency.

Keywords: accruals anomaly, market efficiency, abnormal returns

JEL Classification: m41, g14

Suggested Citation

Oler, Derek and Coyne, Joshua G. and Talakai, Jayson, Settings Where the Accruals Anomaly Lives on (April 28, 2024). Available at SSRN: https://ssrn.com/abstract=4803248 or http://dx.doi.org/10.2139/ssrn.4803248

Derek Oler (Contact Author)

Texas Tech University - Rawls College of Business ( email )

P.O. Box 42101
Lubbock, TX 79409
United States
806-834-2354 (Phone)
806-742-3182 (Fax)

Joshua G. Coyne

University of Central Arkansas ( email )

201 Donaghey Ave.
Conway, AK 72035
United States

Jayson Talakai

Utah State University - School of Accountancy

College of Business
Logan, UT 84322-3540
United States

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