This paper models the value of conducting financial statement analysis (FSA) in the presence of an electronically traded fund (ETF) that gives exposure to the firm's systematic value. FSA is characterized as a costly process that yields a private signal about the idiosyncratic portion of a...

We document how the effectiveness of an accruals-based trading strategy changes with the benchmark used to identify an extreme accrual. We measure “percent accruals” as accruals scaled by earnings, rather than total assets, and show that this seemingly small change produces a radically...