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Does return dispersion explain the accrual and investment anomalies?

✍ Scribed by Chichernea, Doina C.; Holder, Anthony D.; Petkevich, Alex

Book ID
126963726
Publisher
Elsevier Science
Year
2015
Tongue
English
Weight
603 KB
Volume
60
Category
Article
ISSN
0165-4101

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This study examines the accrual anomaly under the framework of the Campbell [Campbell, J.Y. (1991). A variance decomposition for stock returns. Economic Journal 101 (405), 157-179.] model. The Campbell (1991) model shows that realized asset returns are a joint function of 1) expected returns, 2) rev