Value-Glamour and Accruals Mispricing: One Anomaly or Two?
Publication Date
6-15-2002
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.
Document Type
Article
Disciplines
Accounting
DOI
10.2139/ssrn.315049
Source
SMU Cox: Accounting (Topic)
Language
English
