We find that the positive relation between aggregate accruals and one-year-ahead market returns documented in Hirshleifer, Hou and Teoh [2009] is driven by discretionary accruals but not normal accruals. The return forecasting power of aggregate discretionary accruals is robust to choices of...

In this paper, we study stock market skewness/coskewness for seven Latin American emerging markets including Argentina, Brazil, Chile, Mexico, Colombia, Peru and Venezuela. Unlike the US, skewness in these countries is normally positive and driven by fundamentals. We find, however, that the...