Lost in Standardization : Revisiting Accounting-based Return Anomalies Using As-filed Financial Statement Data

SEC-mandated, machine-readable structured filings, or “as-filed data,” are an alternative source to Compustat for companies’ accounting data. Discrepancies between as-filed and Compustat data, potentially a result of Compustat’s standardizations, affect inferences about the existence and magnitude of the accruals anomaly: accruals calculated from as-filed data do predict returns and accruals calculated from Compustat data do not. Trades of hedge funds that download structured filings correlate with the as-filed accruals signal and, especially, the discrepancy between as-filed and Compustat accruals signals. Inferences about four other accounting-based anomalies are similarly affected by discrepancies between data sources