Earnings-based and accrual-based market anomalies: one effect or two?

• Published in: Journal of accounting & economics Vol. 29; no. 1; pp. 101 - 123
• Main Authors: Collins, Daniel W, Hribar, Paul
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.02.2000; Elsevier; Elsevier Sequoia S.A
• Series: Journal of Accounting and Economics
• Subjects: Accrual basis accounting; Accruals; Earnings; Market efficiency; Post-earnings announcement drift; Statistical analysis; Stock prices; Studies; United States > US; Market efficiency; G14; M41; Post-earnings announcement drift; Accruals

This paper investigates whether the accrual pricing anomaly documented by Sloan (1996. The Accounting Review 71(3), 289–316) for annual data holds for quarterly data and whether this form of market mispricing is distinct from the post-earnings announcement drift anomaly. We find that the market appe...