We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French (1993). According to...

Before June 1999, Deutsche Börse AG published two parallel index values, one calculated from floor prices and the other from Xetra prices. Since 1999, Deutsche Börse has calculated the DAX blue-chip index and the MDAX mid-cap index using only the prices of the electronic trading system Xetra....