The Accruals Anomaly and Company Size

摘要

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.