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Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model

  • Khan, Mozaffar
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    This paper proposes a risk-based explanation for the accrual anomaly. Risk is measured using a four-factor model motivated by the Intertemporal Capital Asset Pricing Model. Tests of the model suggest that a considerable portion of the cross-sectional variation in average returns to high and low accrual firms is explained by risk. The four-factor model also performs better than some other widely used models in pricing a number of different hedge portfolios.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-4101(07)00057-2
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    Article provided by Elsevier in its journal Journal of Accounting and Economics.

    Volume (Year): 45 (2008)
    Issue (Month): 1 (March)
    Pages: 55-77

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    Handle: RePEc:eee:jaecon:v:45:y:2008:i:1:p:55-77
    Contact details of provider: Web page: http://www.elsevier.com/locate/jae

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