search query: @author Core, J.E. / total: 3
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| Author: | Core, J.E. Guay, W.R. Verdi, R. |
| Title: | Is accruals quality a priced risk factor? |
| Journal: | Journal of Accounting & Economics
2008 : SEP, VOL. 46:1, p. 2-22 |
| Index terms: | assets information risk diversification pricing |
| Language: | eng |
| Abstract: | A recent and influential empirical paper by Francis, LaFond, Olsson and Schipper (hereafter as: FLOS) (2005. The market pricing of accruals quality. Journal of Accounting and Economics 39, 295-327) concludes that accruals quality (hereafter as: AQ) is a priced risk factor. This study explains that FLOS' regressions that examine a contemporaneous relation between excess returns and factor returns do not test the hypothesis that AQ is a priced factor. The paper conducts appropriate asset-pricing tests for determining whether a potential risk factor explains expected returns. It finds no evidence that AQ is a priced risk factor. |
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