Value-Glamour and Accruals Mispricing: One Anomaly or Two?

By Hemang Desai, Shivaram Rajgopal, Mohan Venkatachalam. 2004

399 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/594db46fcd4b1bc185716b4c37c2e5a9bee6aced

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Citations in the corpus

Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, background): “Desai, Rajgopal, and Venkatachalam (2004) examine whether the accrual anomaly is a manifestation of the value premium.”
A Comparison of New Factor Models (2017, unknown): “…Oq1 Quarterly O-score (1-month holding period) Oq6 Quarterly O-score (6-month holding period) Oq12 Quarterly O-score (12-month holding period) Z Z-score, Dichev (1998) Zq1 Quarterly Z-score (1-month holding period) Zq6 Quarterly Z-score (6-month holding period) Zq12 Quarterly Z-score…”
Accruals, Investment, and the Accrual Anomaly (2007, unknown): “While the literature largely follows the persistence argument for the accrual anomaly, the evidence in Desai et al. (2004) and Fairfield et al.”
Why is the Accrual Anomaly not Arbitraged Away? The Role of Idiosyncratic Risk and Transaction Costs (2006, background): “…negative return for the short position seems, at first blush, to be at odds with prior work (e.g., Houge and Loughran, 2000, Chan et al., 2006; Beneish and Vargus, 2002; Desai et al., 2004) where the short position represents a substantial portion of the abnormal returns to the accrual strategy.”
Customer-Base Concentration: Implications for Firm Performance and Capital Markets (2012, background): “…returns (Stattman 1980), RET controls for the price momentum effect of Jegadeesh and Titman (1993), SG is a commonly used value/glamour proxy (e.g., Desai et al. 2004), ACC controls for the accruals anomaly of Sloan (1996), and HHI controls for the negative correlation of product market…”
An Analysis of the Theories and Explanations Offered for the Mispricing of Accruals and Accrual Components (2006, background): “The coefficient on Low is not significantly different from zero which is inconsistent with the earnings fixation hypothesis of Sloan (1996), but consistent with findings in recent research (Desai et al. 2004) that the abnormal returns to portfolios formed on the basis of accruals are driven more by ”
Are Accruals Mispriced? Evidence from Tests of an Intertemporal Capital Asset Pricing Model (2008, unknown): “See, for example, Sloan (1996), Beneish and Vargus (2002), Vuolteenaho (2002) and Desai et al. (2004).”
The Incremental Information Content of Tone Change in Management Discussion and Analysis (2008, background): “Desai et al (2004) question whether accruals are a superior signal to OCF, which has been documented to be valuation relevant by Lakonishok et al (1994).”
Understanding Earnings Quality: A Review of the Proxies, Their Determinants and Their Consequences (2010, background): “…accruals or reliability (Richardson et al., 2005; Hirshleifer and Teoh, 2003); (iii) investor misunderstanding of the growth reflected in accruals (Desai et al., 2004; Fairfield et al., 2003a; Zhang, 2007); and (iv) mismeasurement of expected returns or other research design issues (Khan, 2008;…”
Earnings Manipulation and Expected Returns (2013, background): “See, for example, Hribar and Collins (2002); Fairfield et al. (2003); Hirshleifer, Hou, Teoh, and Zhang (2004); Richardson et al. (2005); Chan, Chan, Jegadeesh, and Lakonishok (2006); Cooper et al.”