haku: @indexterm Arbitrage / yhteensä: 72
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| Tekijä: | Mashruwala, C. Rajgopal, S. Shevlin, T. |
| Otsikko: | Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs |
| Lehti: | Journal of Accounting & Economics
2006 : OCT, VOL. 42:1-2, p. 3-33 |
| Asiasana: | capital markets arbitrage transaction costs risk models |
| Kieli: | eng |
| Tiivistelmä: | This paper shows that the accrual anomaly documented by Sloan (in the Accounting Review (1996), 71: p. 289315), is concentrated in firms with high idiosyncratic stock return volatility making it risky for risk-averse arbitrageurs to take positions in stocks with extreme accruals. In addition, the accrual anomaly is found in low-price and low-volume stocks, suggesting that transaction costs impose further barriers to exploiting accrual mispricing. |
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