ICAPM and the Accruals Anomaly

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Sammanfattning

We propose new multifactor models to explain the accruals anomaly. Our baseline model represents an application of Merton’s ICAPM in which the key factors represent (innovations on) the term and small-value spreads. The model shows large explanatory power for cross-sectional risking premia associated with three accruals portfolio groups. A scaled version of the model shows better performance, suggesting that accruals risk premia are related with the business cycle. Both models compare favorably with popular multifactor models used in the literature, and also perform well in pricing other important anomalies. The risk price estimates of the hedging factors are consistent with the ICAPM framework.
OriginalspråkEngelska
Artikelnummer2050014
Referentgranskad vetenskaplig tidskriftQuarterly Journal of Finance
Volym10
Utgåva3
ISSN2010-1392
DOI
StatusPublicerad - 04.09.2020
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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