文章基本信息
- 标题：Accruals and Value/Glamour Anomalies: The Same or Related Phenomena?
- 本地全文：下载
- 作者：Gary Taylor ; Randall Xu
- 期刊名称：International Journal of Business and Management
- 印刷版ISSN：1833-3850
- 电子版ISSN：1833-8119
- 出版年度：2011
- 卷号：6
- 期号：9
- 页码：14
- DOI：10.5539/ijbm.v6n9p14
- 出版社：Canadian Center of Science and Education
- 摘要：
We apply the set theory to investigate the patterns of market returns associated with three market anomalies to
explore their relationships: (1) the accruals anomaly (ACC), and (2) two manifestations of the value/glamour
anomaly: the cash flows-to-price (CFOP) and the book-to-market anomalies (BM). The purpose is to determine
whether these are truly unique anomalies caused by different factors or whether they are manifestations of the
same underlying phenomenon. The results suggest that although the accruals anomaly shares some factors with
the CFOP and BM anomalies, the accruals anomaly has characteristics unique and separate from the two
value/glamour anomalies.
