Is accruals quality a priced risk factor?

被引：206

作者：

Core, John E. ^{[1
]}

Guay, Wayne R. ^{[1
]}

Verdi, Rodrigo ^{[2
]}

机构：

[1] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

[2] MIT, Sloan Sch Management, Cambridge, MA 02142 USA

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2008年 / 46卷 / 01期

关键词：

asset-pricing tests; accruals quality; information risk; portfolio theory and diversification;

D O I：

10.1016/j.jacceco.2007.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In a recent and influential empirical paper, Francis, LaFond, Olsson, and Schipper (FLOS) [2005. The market pricing of accruals quality. Journal of Accounting and Economics 39, 295-327] conclude that accruals quality (AQ) is a priced risk factor. We explain that FLOS' regressions examining a contemporaneous relation between excess returns and factor returns do not test the hypothesis that AQ is a priced risk factor. We conduct appropriate asset-pricing tests for determining whether a potential risk factor explains expected returns. and find no evidence that AQ is a priced risk factor. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2 / 22

页数：21

共 49 条

[1] Earnings quality, insider trading, and cost of capital
Aboody, D
Hughes, J
Liu, J
[J]. JOURNAL OF ACCOUNTING RESEARCH, 2005, 43 (05) : 651 - 673
[2] BARTH M, 2006, COST CAPITAL FINANCI
[3] BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT
BLUME, ME
STAMBAUGH, RF
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) : 387 - 404
[4] Assessing alternative proxies for the expected risk premium
Botosan, CA
Plumlee, MA
[J]. ACCOUNTING REVIEW, 2005, 80 (01) : 21 - 53
[5] BRAV A, 2005, FINANCIAL MANAGE AUT, P5
[6] Estimation and test of a simple model of intertemporal capital asset pricing
Brennan, MJ
Wang, AW
Xia, YH
[J]. JOURNAL OF FINANCE, 2004, 59 (04) : 1743 - 1775
[7] Bad beta, good beta
Campbell, JY
Vuolteenaho, T
[J]. AMERICAN ECONOMIC REVIEW, 2004, 94 (05) : 1249 - 1275
[8] Does the pricing of financial reporting quality change around dividend changes?
Chen, Shuping
Shevlin, Terry
Tong, Yen H.
[J]. JOURNAL OF ACCOUNTING RESEARCH, 2007, 45 (01) : 1 - 40
[9] Earnings and price momentum
Chordia, Tarun
Shivakumar, Lakshmanan
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2006, 80 (03) : 627 - 656
[10] Cochrane JH, 2005, ASSET PRICING, P1

← 1 2 3 4 5 →