There are two very different accruals anomalies

摘要

We document that several well-known asset-pricing implications of accruals differ for investment and non-investment-related components. Exposure to an investment-accruals factor explains the cross-section of returns better than accruals themselves, and sentiment negatively predicts this factor's returns. The opposite results hold for non-investment accruals. Cash profitability only subsumes long-term non-investment accruals in the cross-section of returns and economy-wide investment accruals negatively predict stock-market returns while other accruals do not. These results challenge existing accruals-anomaly theories and resolve mixed evidence by showing the anomaly is two separate phenomena: a risk-based investment accruals premium and a mispricing of non-investment accruals.