Testing the accruals anomaly based on the speed of price adjustment
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Authors
Choy, Siu Kai
Lobo, Gerald J
Tan, Yongxian
Date
2021Type
Journal Article
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Choy, S.K. and Lobo, G.J. and Tan, Y. 2021. Testing the accruals anomaly based on the speed of price adjustment. The European Journal of Finance.
Source Title
The European Journal of Finance
ISSN
Faculty
Faculty of Business and Law
School
School of Accounting, Economics and Finance
Collection
Abstract
In this study, we investigate the nature of the accruals anomaly by analyzing the speed of price adjustment to accruals information. Consistent with the mispricing hypothesis, we find that a relatively larger proportion of accruals premium is distributed near the filing dates among low limits-to-arbitrage stocks and during periods of increased arbitrage activity. We also discuss our findings in the context of q-theory.
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