Bridge over ocean
1 September 2008 Financial Analysts Journal Volume 64, Issue 5

The Accruals Anomaly and Company Size

  1. Dan Palmon
  2. Ephraim F. Sudit
  3. Ari Yezegel

Research has shown that a trading strategy based on publicly available accounting accrual information can earn abnormal returns of approximately 10 percent in the year after it is applied. This article reports a study of whether this “accruals anomaly” is sensitive to company size. The empirical results suggest that the interaction between company size and accruals provides incremental information about future returns and that the accruals anomaly is not independent of company size. The negative abnormal returns when an accruals-anomaly strategy is applied come primarily from the larger companies, and the positive abnormal returns come from the smaller companies.

Read the Complete Article in Financial Analysts Journal Financial Analysts Journal CFA Institute Member Content

We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.