The return premiums to accruals quality
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- 作者：Sati P. Bandyopadhyay ; Alan Guoming Huang…
- 关键词：Accruals quality ; Stock returns ; Return premium ; Information uncertainty
- 刊名：Review of Quantitative Finance and Accounting
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：48
- 期：1
- 页码：83-115
- 全文大小：
- 刊物类别：Business and Economics
- 刊物主题：Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory;
- 出版者：Springer US
- ISSN：1573-7179
- 卷排序：48
文摘
Using a battery of look-ahead-bias free measures of accruals quality (AQ), we find a strong and long-lasting negative relation between future returns and AQ. In decile portfolios that rank on AQ, a hedge portfolio that goes long in the lowest decile and short in the highest decile generates an annualized, risk-adjusted return of 4–12 % over 1-month to 5-year horizons, depending on the AQ measure and the portfolio weighting scheme. The return premiums associated with AQ are, (1) robust to a wide range of AQ measures, (2) robust to a battery of return-informative variables, and (3) not driven by low-priced or small stocks, earnings shocks, or the fourth-quarter effect. The documented premiums are consistent with the information uncertainty effect where firm uncertainty is negatively related to future returns.