Choy, Siu Kai; Lobo, Gerald J.; Tan, Yongxian - 2021
We document that historical patterns of accruals seasonality predict future stock returns. Firms with historically … larger accruals in a given quarter of the year earn lower stock returns when those accruals are expected to be announced. The … accruals seasonality spread is significant only in the post-2001 period when there are increased accruals-based arbitrage …