Accruals, cash flows, and aggregate stock returns

@article{Hirshleifer2009AccrualsCF,
  title={Accruals, cash flows, and aggregate stock returns},
  author={D. Hirshleifer and K. Hou and S. H. Teoh},
  journal={Journal of Financial Economics},
  year={2009},
  volume={91},
  pages={389-406}
}
  • D. Hirshleifer, K. Hou, S. H. Teoh
  • Published 2009
  • Economics
  • Journal of Financial Economics
  • This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In addition, innovations in accruals are negatively contemporaneously correlated with aggregate returns, and innovations in cash flows are positively correlated with returns. These findings suggest that… CONTINUE READING
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