Data Snooping and the Global Accrual Anomaly
43 Pages Posted: 21 Mar 2008 Last revised: 12 Oct 2010
There are 2 versions of this paper
Data Snooping and the Global Accrual Anomaly
Data Snooping and the Global Accrual Anomaly
Date Written: May 15, 2010
Abstract
Naively testing for accruals mispricing in 26 equity markets - one market at a time - we find statistical evidence of anomalous returns in some countries. However, some of these findings might well be spurious because of data snooping biases that arise when simultaneously testing several hypotheses. While the accrual anomaly is not deemed to be robust in some countries when properly accounting for multiple testing we find the international momentum effect to by and large pass the battery of multiple testing procedures. Moreover, we find the few robust accrual anomalies vanishing in recent times indicating that investors have been exploiting the mispricing.
Keywords: Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect
JEL Classification: C12, G14, G15, M41, M43
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Accrual Reliability, Earnings Persistence and Stock Prices
By Scott A. Richardson, Richard G. Sloan, ...
-
Accrued Earnings and Growth: Implications for Earnings Persistence and Market Mispricing
By Patricia M. Fairfield, Scott Whisenant, ...
-
Insider Trading, Earnings Quality, and Accrual Mispricing
By Mark E. Vargus and Messod D. Beneish
-
Inventory Changes and Future Returns
By Jacob K. Thomas and Huai Zhang
-
Why is the Accrual Anomaly Not Arbitraged Away?
By Christina A. Mashruwala, Shivaram Rajgopal, ...
-
Value-Glamour and Accruals Mispricing: One Anomaly or Two?
By Hemang Desai, Shivaram Rajgopal, ...
-
Accruals and Future Stock Returns: Tests of the Naive Investor Hypothesis
By Ashiq Ali, Lee-seok Hwang, ...
-
The Implications of Accounting Distortions and Growth for Accruals and Profitability
By Scott A. Richardson, Richard G. Sloan, ...
-
By Patricia Dechow and Weili Ge
-
By Patricia M. Fairfield, Scott Whisenant, ...