haku: @indexterm arbitrage / yhteensä: 72
viite: 20 / 72
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. 289–315), 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.
SCIMA tietueen numero: 265289
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