Year: 2025
Type: article
Abstract: ABSTRACT Seasonal fluctuations in a firm’s business activities can affect its balance sheet and give rise to seasonally predictable accruals. We find that seasonal patterns in accruals are associated with future stock returns. Specifically, we find that firms with historically lower (higher) accruals in a given fiscal quarter have higher (lower) stock returns in the months when those accruals are expected to be announced. Our results suggest that investors do not fully understand and price historical information on accruals seasonality. Additional analyses suggest that the emergence of this accruals seasonality anomaly is concentrated in the post-2001 period and driven by the effects of unsophisticated arbitrage against the accruals anomaly. JEL Classifications: G10; G12; G14.
Source: The Accounting Review
Authors: Siu Kai Choy, Gerald J. Lobo, Yongxian Tan
Institutions: King's College London, University of Houston, Curtin University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W4413977518