31
Views
2
CrossRef citations to date
0
Altmetric
Portfolio Management

Do We Accept Accrual Profits at Our Peril?

&
Pages 62-75 | Published online: 02 Jan 2019

References

  • Ali, A., L.S. Hwang, and M.A. Trombley. 2001. “Accruals and Future Stock Returns: Tests of the Naive Investor Hypothesis.” Journal of Accounting, Auditing and Finance, vol. 15, no. 2 (Spring): 123–145.
  • Ali, A., L.S. Hwang, and M.A. Trombley. 2003. “Arbitrage Risk and the Book-to-Market Anomaly.” Journal of Financial Economics, vol. 69, no. 2 (August): 353–373.
  • Barclay, M., and J. Warner. 1993. “Stealth Trading and Volatility.” Journal of Financial Economics, vol. 34, no. 3 (December): 281–305.
  • Beneish, D., and M. Vargus. 2002. “Insider Trading, Earnings Quality and Accrual Mispricing.” Accounting Review, vol. 77, no. 4 (October): 755–792.
  • Bradshaw, M., S. Richardson, and R.G. Sloan. 2001. “Do Analysts and Auditors Use Information in Accruals?” Journal of Accounting Research, vol. 39, no. 1 (Spring): 45–74.
  • Collins, D., and P. Hribar. 2000. “Earnings-Based and Accrual-Based Market Anomalies: One Effect or Two?” Journal of Accounting and Economics, vol. 29, no. 1 (February): 101–123.
  • Collins, D., G. Gong, and P. Hribar. 2003. “Investor Sophistication and the Mispricing of Accruals.” Review of Accounting Studies, vol. 8, no. 2–3 (June): 251–276.
  • Desai, H., S. Rajgopal, and M. Venkatachalam. 2004. “Value–Glamour and Accruals Mispricing: One Anomaly or Two?” Accounting Review, vol. 79, no. 2 (April): 355–385.
  • Easley, D., and M. O’Hara. 1992. “Time and the Process of Security Adjustment.” Journal of Finance, vol. 47, no. 2 (June): 577–607.
  • Easley, D., J. Paperman, M. O’Hara, and N. Kiefer. 1996. “Liquidity, Information, and Infrequently Traded Stocks.” Journal of Finance, vol. 51, no. 4 (September): 1405–1436.
  • Fama, E., and K. French. 1992. “The Cross-Section of Expected Stock Returns.” Journal of Finance, vol. 47, no. 2 (June): 427–465.
  • Francis, J., R. LaFond, P. Olsson, and K. Schipper. 2005. “The Market Pricing of Accrual Quality.” Journal of Accounting and Economics, vol. 39, no. 2 (June): 295–327.
  • Jones, J.. 1991. “Earnings Management during Import Relief Investigations.” Journal of Accounting Research, vol. 29, no. 3 (Autumn): 193–228.
  • Ke, B., and S. Ramalingegowda. 2005. “Do Institutional Investors Exploit the Post-Earnings Announcement Drift?” Journal of Accounting and Economics, vol. 39, no. 1 (February): 25–53.
  • Lee, C.M., and M.J. Ready. 1991. “Inferring Trade Direction from Intraday Data.” Journal of Finance, vol. 46, no. 2 (June): 733–746.
  • Lesmond, D., J.P. Ogden, and C.A. Trzcinka. 1999. “A New Estimate of Transaction Costs.” Review of Financial Studies, vol. 12, no. 5 (Winter): 1113–1141.
  • Lesmond, D., M. Schill, and C.S. Zhou. 2004. “The Illusory Nature of Momentum Profits.” Journal of Financial Economics, vol. 71, no. 2 (February): 349–380.
  • Lev, B., and D. Nissim. 2004. “The Persistence of the Accrual Anomaly.” Working paper, New York University.
  • Mashruwala, C., S. Rajgopal, and T. Shevlin. 2004. “Why Is the Accrual Anomaly Not Arbitraged Away?” Working paper.
  • Mishkin, F.. 1983. A Rational Expectations Approach to Macroeconometrics: Testing Policy Effectiveness and Efficient Markets Models. Chicago, IL: University of Chicago Press for the National Bureau of Economic Research.
  • Mitchell, M., T. Pulvino, and E. Stafford. 2002. “Limited Arbitrage in Equity Markets.” Journal of Finance, vol. 67, no. 2 (April): 551–584.
  • Richardson, S.. 2003. “Earnings Quality and Short-Sellers.” Accounting Horizons, vol. 17 (Supplement)): 49–61.
  • Shleifer, A., and R. Vishny. 1997. “The Limits of Arbitrage.” Journal of Finance, vol. 52, no. 1 (March): 35–55.
  • Sloan, R.. 1996. “Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?” Accounting Review, vol. 71, no. 3 (July): 289–315.
  • Subramanyam, K.R.. 1996. “The Pricing of Discretionary Accruals.” Journal of Accounting and Economics, vol. 22, no. 1–3 (August–December): 249–281.
  • Teoh, S.H., I. Welch, and T.J. Wong. 1998a. “Earnings Management and the Underperformance of Seasoned Equity Offerings.” Journal of Financial Economics, vol. 50, no. 1 (October): 63–99.
  • Teoh, S.H., I. Welch, and T.J. Wong. 1998b. “Earnings Management and the Long-Run Market Performance of Initial Public Offerings.” Journal of Finance, vol. 53, no. 6 (December): 1935–1974.
  • Thomas, J., and H. Zhang. 2002. “Inventory Changes and Future Returns.” Review of Accounting Studies, vol. 7, no. 2 (June): 163–187.
  • Wermers, R.. 2000. “Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transaction Costs, and Expenses.” Journal of Finance, vol. 55, no. 4 (August): 1655–1695.
  • Xie, H.. 2001. “The Mispricing of Abnormal Accruals.” Accounting Review, vol. 76, no. 3 (July): 357–373.
  • Zhang, X.F.. 2006. “Information Uncertainty and Stock Returns.” Journal of Finance, vol. 61, no. 1 (February): 105–137.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.