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Accrual Anomaly for Agribusiness Stocks

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  • Bruno R. Arthur
  • Ani L. Katchova

Abstract

ABSTRACT This study investigates whether the accrual anomaly documented by Sloan ( ) for the U.S. market stocks exists in the U.S. agribusiness stocks over 1971–2011. Our results for the U.S. agribusiness stocks concur with the results of Trejo‐Pech, Weldon, House, and Gunderson ( ) for the food supply chain stocks that the anomaly is explained by the high accrual portfolios rather than the fixation hypothesis. The accrual anomaly remains for agribusiness stocks even after accounting for the momentum factor with the four‐factor asset pricing model, and is more driven by the non‐food supply chain stocks than the food supply chain stocks. Our results from Fama and MacBeth ( ) regressions confirm that accruals are negatively related to future returns.

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  • Bruno R. Arthur & Ani L. Katchova, 2015. "Accrual Anomaly for Agribusiness Stocks," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 372-387, June.
    • Handle: RePEc:wly:agribz:v:31:y:2015:i:3:p:372-387
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    File URL: http://hdl.handle.net/10.1002/agr.21409
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