Is the Accrual Anomaly a Global Anomaly ?

@inproceedings{Lafond2006IsTA,
  title={Is the Accrual Anomaly a Global Anomaly ?},
  author={Renald Lafond},
  year={2006}
}
This paper investigates the accrual anomaly in 17 international equity markets and assesses whether similar factors (theories) explain variation in the accrual anomaly. The results of country specific analysis indicate that the accrual anomaly is a global anomaly. Inconsistent with the accrual anomaly being due to a global systematic risk factor I find that the returns to the accrual anomaly are relatively uncorrelated across markets. Further tests reveal that limits to arbitrage, transactions… CONTINUE READING

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  • D. Chambers
  • 2004
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