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Data snooping and the global accrual anomaly

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  • Markus Leippold
  • Harald Lohre
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    Abstract

    Na�vely testing for accruals mispricing in 26 equity markets -- one market at a time -- we find statistical evidence of anomalous returns in some countries. However, some of these findings might well be spurious because of data snooping biases that arise when simultaneously testing several hypotheses. While the accrual anomaly is not deemed to be robust in some countries when properly accounting for multiple testing, we find the international momentum effect to by and large pass the battery of multiple testing procedures. Moreover, we find the few robust accrual anomalies vanishing in recent times, indicating that investors have been exploiting the mispricing.

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    File URL: http://hdl.handle.net/10.1080/09603107.2011.631892
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 7 (April)
    Pages: 509-535

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    Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:509-535

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    Web page: http://www.tandfonline.com/RAFE20

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    Cited by:
    1. 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.
    2. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.

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