Data snooping and the global accrual anomaly

Leippold, Markus and Lohre, Harald (2012) Data snooping and the global accrual anomaly. Applied Financial Economics, 22 (7). pp. 509-535. ISSN 0960-3107

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Abstract

Naïvely testing for accruals mispricing in 26 equity markets - one market at a time - we find statistical evidence of anomalous returns in some countries. However, some of these findings might well be spurious because of data snooping biases that arise when simultaneously testing several hypotheses. While the accrual anomaly is not deemed to be robust in some countries when properly accounting for multiple testing, we find the international momentum effect to by and large pass the battery of multiple testing procedures. Moreover, we find the few robust accrual anomalies vanishing in recent times, indicating that investors have been exploiting the mispricing.

Item Type:
Journal Article
Journal or Publication Title:
Applied Financial Economics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
160317
Deposited By:
Deposited On:
06 Oct 2021 14:20
Refereed?:
Yes
Published?:
Published
Last Modified:
06 Oct 2021 14:20