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Data snooping and the global accrual anomaly

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  • Markus Leippold
  • Harald Lohre

Abstract

Naïvely 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.

Suggested Citation

  • Markus Leippold & Harald Lohre, 2012. "Data snooping and the global accrual anomaly," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 509-535, April.
  • Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:509-535
    DOI: 10.1080/09603107.2011.631892
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    References listed on IDEAS

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    1. LaFond, Ryan, 2005. "Is the Accrual Anomaly a Global Anomaly?," Working papers 27856, Massachusetts Institute of Technology (MIT), Sloan School of Management.
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    Cited by:

    1. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
    2. 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.
    3. Norio Kitagawa & Akinobu Shuto, 2015. "Credibility of management earnings forecasts and future returns," CARF F-Series CARF-F-367, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Doukakis, Leonidas C. & Papanastasopoulos, Georgios A., 2014. "The accrual anomaly in the U.K. stock market: Implications of growth and accounting distortions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 256-277.
    5. Papanastasopoulos, Georgios A., 2015. "Accruals, growth, accounting distortions and stock returns: The case of FRS3 in the UK," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 39-54.
    6. John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
    7. Simlai, Prodosh E., 2016. "Time-varying risk, mispricing attributes, and the accrual premium," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 150-161.

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