文章基本信息

标题：Reexamination of Whether Accrual Quality Is a Price Factor
本地全文：下载
作者：May Xiaoyan Bao ; Xiaoyan Cheng ; John Geppert 等
期刊名称：Accounting and Finance Research
印刷版ISSN：1927-5986
电子版ISSN：1927-5994
出版年度：2019
卷号：8
期号：3
DOI：10.5430/afr.v8n3p103
语种：English
出版社：Sciedu Press
摘要：In this study we investigate whether accrual quality is a factor in capital asset pricing. Our analysis consists of two parts. First, we use a panel data regression that controls for cross-section fixed effects to implement the second stage of the Fama-MacBeth regression (Petersen 2009). In the second part, we use the Campbell (1991) return decomposition and vector autoregressive model (VAR) to decompose the two-stage cross-sectional regressions. This allows us to investigate whether accrual quality is a priced factor in terms of the three components of the return, which include one-period expected return, cash flow news and discount-rate news.
关键词：asset-pricing tests;accruals quality;information risk;portfolio theory and diversification;return decomposition