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| Author: | Khan, M. |
| Title: | Are accruals mispriced? Evidence from tests of an Intertemporal Capital Asset Pricing Model |
| Journal: | Journal of Accounting & Economics
2008 : MAR, VOL. 45:1, p. 55-77 |
| Index terms: | CAPM risk measurement regression analysis models asset valuation |
| Language: | eng |
| Abstract: | The study suggests a risk-based explanation for the accrual anomaly. A four-factor model motivated by the Intertemporal Capital Asset Pricing Model is used to measure risk. To examine whether the accrual anomaly can be explained by the risk the paper uses a two-pass cross-sectional regression methodology. Tests of the model present that a considerable portion of the cross-sectional variation in average returns to high and low accrual firms is explained by risk. The four-factor model also seems to perform better than some other widely used models in pricing a number of different hedge portfolios. |
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