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.
