The accruals anomaly and company size

Dan Palmon, Ephraim F. Sudit, Ari Yezegel

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

Research has shown that a I lading si ratcgy based on publicly available accounting accrual information can earn abnormal returns of approximately 10 percent In the year after it is applied, ilus article reports a study of whether this "accruals anomaly" is sensitive to company size. Hie empirical results surest 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.

Original languageEnglish (US)
Pages (from-to)47-60
Number of pages14
JournalFinancial Analysts Journal
Volume64
Issue number5
DOIs
StatePublished - Sep 2008
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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