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. According to rational...

Past research has shown that the level of operating accruals is a negative cross-sectional predictor of future stock returns. This paper examines whether the accruals anomaly extends to the aggregate stock market. In contrast with cross-sectional findings, there is no indication that aggregate...