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Accrual Anomaly and Idiosyncratic Risk: International Evidence

Author

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  • Steve Fan
  • Linda Yu

Abstract

In this study, we show that accrual abnormal returns are positively correlated to idiosyncratic risk in international equity markets. In addition, we find that idiosyncratic risk has less impact on accrual abnormal returns for developed countries than emerging countries. Our results are robust to different model selections, such as portfolio approach and regression analysis, across countries. Our results support the mispricing explanation of accrual anomaly around the world.

Suggested Citation

  • Steve Fan & Linda Yu, 2013. "Accrual Anomaly and Idiosyncratic Risk: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(4), pages 63-75.
    • Handle: RePEc:ibf:ijbfre:v:7:y:2013:i:4:p:63-75
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    Cited by:

    1. Diana MURESAN & Monica Ioana POP SILAGHI, 2014. "Empirical evidence on cross-country differences in explaining accruals anomaly," Romanian Journal of Economics, Institute of National Economy, vol. 39(2(48)), pages 121-132, December.
    2. Cordeiro Moreira, Jeíce Catrine & Lima, Gerlando A.S.F. & Góis, Alan Diógenes, 2019. "Effects of institutional factors on the accruals anomaly in Latin America," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 36(C), pages 1-1.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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