Skip to main content

Robust anomalies? A close look at accrual‐based trading strategy returns

Buy Article:

$51.00 plus tax (Refund Policy)

Abstract:

Abstract

The last 40 years have seen an extensive literature documenting so‐called anomalies in major capital markets. Evidence of ‘abnormal’ returns associated with trading strategies based on readily observable phenomena such as accounting‐based data involves experimental design choices that can be expected to influence the results. We show how evidence of an accrual anomaly in Australia is sensitive to research design specifications such as the choice of proxy for total accruals; the definition of abnormal returns (i.e. the return generating model); the impact of data trimming as a response to exceptionally large returns; and the choice between value and equal weighting of returns. We show that research design choices do matter and help reconcile conflicting prior evidence of any accrual anomaly in Australia. More broadly, our results suggest the need for caution in drawing inferences from trading strategy tests which claim to identify anomalies.

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/j.1467-629X.2011.00408.x

Affiliations: 1: School of Accounting, University of Technology-Sydney, PO Box 123 Broadway, Sydney, NSW 2007, Australia 2: School of Accounting, University of New South Wales, Sydney, NSW2052, Australia

Publication date: June 1, 2012

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Partial Open Access Content
Partial Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more