A Simple Model Relating Accruals to Risk, and its Implications for the Accrual Anomaly

Material TypeArticleLanguageEnglish
TitleA Simple Model Relating Accruals to Risk, and its Implications for the Accrual Anomaly Author(S)Mozaffar Khan (Author)
Abstract  This paper models systematic risk as a function of mean-reverting accruals. When the true abnormal returns are zero, but the true betas are empirically unobserved, the model predicts the anomalous pattern of empirical results on the accrual anomaly: (i) CAPM abnormal returns to an accrual hedge portfolio are positive on average, (ii) are positive in almost all years ...Paginationp35–59
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Business Finance & Accounting  
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