The Accrual Anomaly is International

[nodoodahs]

Two of the ratios I run for "earnings quality" relate directly to accruals.

https://dspace.mit.edu/bitstream/1721.1/27856/1/4555-05.pdf

VI. Conclusion
The purpose of this paper is to investigate the existence of the accrual anomaly in international equity markets. I find significant abnormal returns to total accrual hedge portfolios in 15 of the 17 countries examined. Based on these results, I conclude that the accrual anomaly does exist in non-U.S. markets and it is a global phenomenon. I next examine whether the accrual anomaly appears to be driven by a common underlying factor(s) internationally. I find that the factors influencing the accrual anomaly differ substantially across markets due to (1) the effect of managerial discretion, (2) analyst following, and (3) ownership structure. All of these factors contribute to extremely low cross-country correlations in accrual returns, casting doubt on whether accrual-related returns are due to a global systematic risk factor or common information captured by accruals across countries.

© 2005 by Ryan LaFond.
All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission, provided that full credit including © notice is given to the source.
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.