Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong - Charles A. Dice Center for Research in Financial … - 2006
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 0.15, higher than that of the market factor or the HML factor of Fama and French (1993). In time series regressions, a...