Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong - In: Journal of Financial Economics 91 (2009) 3, pp. 389-406
This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In...