TY  - JOUR
AB  - Purpose This paper aims to hunt for the driving force behind the accrual anomaly and revisit the risk versus mispricing debate.Design/methodology/approach In sorts of stock returns on abnormal and normal accruals, the authors find that abnormal accruals are the driving force behind the accrual anomaly. The authors then construct characteristic-balanced portfolios from dependent sorts of stock returns on the abnormal accrual characteristic and a related factor-mimicking portfolio to test whether the accrual anomaly is due to risk or mispricing (Daniel and Titman, 1997; Davis et al., 2000).Findings Similar to Hirshleifer et al. (2012), the authors find that the accrual anomaly is due to mispricing and that the measure of accruals used in Hirshleifer et al.’s study (2012) is a very broad measure of accruals. The authors therefore recommend the use of abnormal accruals in future research.Originality/value The results suggest that there are limits to arbitrage or behavioral biases with regard to the trading of low-accrual firms. Showing that the accrual effect is driven by the level of abnormal accruals, the findings of this study strongly challenge the rational risk explanation proposed by the extant literature.
VL  - 19
IS  - 3
SN  - 1526-5943
DO  - 10.1108/JRF-12-2016-0154
UR  - https://doi.org/10.1108/JRF-12-2016-0154
AU  - Canitz Felix
AU  - Fieberg Christian
AU  - Lopatta Kerstin
AU  - Poddig Thorsten
AU  - Walker Thomas
PY  - 2018
Y1  - 2018/01/01
TI  - Revisiting the (mis)pricing of the accrual anomaly
T2  - The Journal of Risk Finance
PB  - Emerald Publishing Limited
SP  - 210
EP  - 224
Y2  - 2024/04/24
ER  -