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Accounting anomalies and fundamental analysis: A review of recent research advances

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  • Richardson, Scott
  • Tuna, Irem
  • Wysocki, Peter

Abstract

We survey recent research in accounting anomalies and fundamental analysis. We use forecasting of future earnings and returns as our organizing framework and suggest a roadmap for research aiming to document the forecasting benefits of accounting information. We combine this with opinions from the academic and practitioner communities to critically evaluate key clusters of papers about accounting anomalies and fundamental analysis disseminated over the last decade. Finally, we provide a new analysis on how an ex ante and ex post treatment of risk and transaction costs affects the accrual and PEAD anomalies, and offer suggestions for future research.

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Article provided by Elsevier in its journal Journal of Accounting and Economics.

Volume (Year): 50 (2010)
Issue (Month): 2-3 (December)
Pages: 410-454

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Handle: RePEc:eee:jaecon:v:50:y:2010:i:2-3:p:410-454

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Keywords: Accruals Anomalies Forecasting Fundamental analysis Market efficiency Risk;

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  2. Lin, Xiaoji & Zhang, Lu, 2011. "Covariances versus Characteristics in General Equilibrium," Working Paper Series 2011-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  3. Li, Yan & Ng, David T. & Swaminathan, Bhaskaran, 2013. "Predicting market returns using aggregate implied cost of capital," Journal of Financial Economics, Elsevier, vol. 110(2), pages 419-436.
  4. Lin, Xiaoji & Zhang, Lu, 2013. "The investment manifesto," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 351-366.
  5. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.
  6. Doina C. Chichernea & Anthony D. Holder & Jie (Diana) Wei, 2012. "Connecting the dots: the accruals quality premium vs the value premium," Managerial Finance, Emerald Group Publishing, vol. 38(12), pages 1106-1133.
  7. Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012. "The implied cost of capital: A new approach," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 504-526.
  8. Koon Boon Kee, 2011. "Why ‘Democracy’ anD ‘Drifter’ firms can have abnormal returns: the Joint importance of corporate Governance anD abnormal accruals in separatinG Winners from losers," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 25(1), pages 3-55.
  9. Yakup Ergincan, 2011. "Mobile Corporate Governance: A Model Proposal For Modern Corporate Governance And Investor Relations," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 25(1), pages 171-200.
  10. Norio Kitagawa & Akinobu Shuto, 2013. "Credibility of Management Earnings Forecasts and Future Returns," Discussion Paper Series DP2013-30, Research Institute for Economics & Business Administration, Kobe University.

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