Is accruals quality a priced risk factor?

被引：212

作者：

Core, John E. ^{[1
]}

Guay, Wayne R. ^{[1
]}

Verdi, Rodrigo ^{[2
]}

机构：

[1] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

[2] MIT, Sloan Sch Management, Cambridge, MA 02142 USA

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2008年 / 46卷 / 01期

关键词：

asset-pricing tests; accruals quality; information risk; portfolio theory and diversification;

D O I：

10.1016/j.jacceco.2007.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In a recent and influential empirical paper, Francis, LaFond, Olsson, and Schipper (FLOS) [2005. The market pricing of accruals quality. Journal of Accounting and Economics 39, 295-327] conclude that accruals quality (AQ) is a priced risk factor. We explain that FLOS' regressions examining a contemporaneous relation between excess returns and factor returns do not test the hypothesis that AQ is a priced risk factor. We conduct appropriate asset-pricing tests for determining whether a potential risk factor explains expected returns. and find no evidence that AQ is a priced risk factor. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2 / 22

页数：21

共 49 条

[1] Earnings quality, insider trading, and cost of capital [J].