%0 Journal Article %1 3352714320080901 %A Core, John E. %A Guay, Wayne R. %A Verdi, Rodrigo %D 2008 %J Journal of Accounting & Economics %K CREF4 Monahan %N 1 %P 2 - 22 %T Is accruals quality a priced risk factor?. %U http://ezproxy.insead.edu:80/login?url=http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=33527143&site=ehost-live %V 46 %X Abstract: In a recent and influential empirical paper, Francis, LaFond, Olsson, and Schipper (FLOS) 2005. The market pricing of accruals quality. Journal of Accounting and Economics 39, 295–327 conclude that accruals quality (AQ) is a priced risk factor. We explain that FLOS’ regressions examining a contemporaneous relation between excess returns and factor returns do not test the hypothesis that AQ is a priced risk factor. We conduct appropriate asset-pricing tests for determining whether a potential risk factor explains expected returns, and find no evidence that AQ is a priced risk factor. Copyright &y& Elsevier

@article{3352714320080901, abstract = {Abstract: In a recent and influential empirical paper, Francis, LaFond, Olsson, and Schipper (FLOS) [2005. The market pricing of accruals quality. Journal of Accounting and Economics 39, 295–327] conclude that accruals quality (AQ) is a priced risk factor. We explain that FLOS’ regressions examining a contemporaneous relation between excess returns and factor returns do not test the hypothesis that AQ is a priced risk factor. We conduct appropriate asset-pricing tests for determining whether a potential risk factor explains expected returns, and find no evidence that AQ is a priced risk factor. [Copyright &y& Elsevier]}, added-at = {2010-03-29T16:01:12.000+0200}, author = {Core, John E. and Guay, Wayne R. and Verdi, Rodrigo}, biburl = {https://www.bibsonomy.org/bibtex/2a53a99bab601ee040fe84d4b395c5573/dwpeg}, interhash = {7e380fd45e3896d0e2e668f711dfdb47}, intrahash = {a53a99bab601ee040fe84d4b395c5573}, issn = {01654101}, journal = {Journal of Accounting & Economics}, keywords = {CREF4 Monahan}, number = 1, pages = {2 - 22}, timestamp = {2010-03-29T16:03:42.000+0200}, title = {Is accruals quality a priced risk factor?.}, url = {http://ezproxy.insead.edu:80/login?url=http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=33527143&site=ehost-live}, volume = 46, year = 2008 }