Do Accruals Drive Firm‐Level Stock Returns? A Variance Decomposition Analysis

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The Impact of Earnings on the Pricing of Credit Default Swaps (2007, methodology): “See most recently Chan-Lau (2006). Our analysis below also sheds some light on this issue.”
What Drives Stock Price Movements (2013, unknown): “predictive regressions at the firm and portfolio levels during the post-World War II sample period, Vuolteenaho (2002), Cohen, Polk, and Vuolteenaho (2003), Callen and Segal (2004), Callen, Hope, and Segal (2005), and Callen, Livnat, and Segal (2006) conclude that cash flow news dominates at the fir”
A Review of the Value Relevance Literature (2009, background): “Callen and Segal [101] perform a variance decomposition analysis to test the value relevance of cash flow and accruals.”
Financial reporting quality and idiosyncratic return volatility (2011, background): “Callen and Segal (2004) extend Voulteenaho’s (2002) variance decomposition framework to document that in addition to cash flow news, accruals explain return volatility.”
The pricing of conservative accounting and the measurement of conservatism at the firm-year level (2010, background): “21 Following Vuolteenaho (2002), Callen and Segal (2004), Callen et al. (2005), and Callen et al. (2006), we assume that q = 0.967.”