Accounting anomalies and fundamental analysis: A review of recent research advances

Journal of Accounting and Economics

Volumn 50, Issue 2-3, 2010, Pages 410-454

  Richardson, Scott ^a   Tuna, Irem ^a   Wysocki, Peter ^b  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b UNIVERSITY OF MIAMI   (United States)

Author keywords

Accruals; Anomalies; Forecasting; Fundamental analysis; Market efficiency; Risk

Indexed keywords

EID: 78649903870     PISSN: 01654101     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jacceco.2010.09.008     Document Type: Article

References (224)

1. Abarbanell J., Bushee B. Fundamental analysis, future earnings, and stock prices. Journal of Accounting Research 1997, 35:1-24.
2. Abarbanell J., Bushee B. Abnormal returns to a fundamental analysis strategy. The Accounting Review 1998, 73:19-45.
3. Affleck-Graves J., Miller R. The information content of calls of debt: evidence from long-run stock returns. Journal of Financial Research 2003, 26:421-447.
4. Agrawal A., Jaffe J., Mandelker G. The post-merger performance of acquiring firms: a re-examination of an anomaly. Journal of Finance 1992, 47:1605-1621.
5. Ali A., Chen X., Yao T., Yu T. Do mutual funds profit from the accruals anomaly?. Journal of Accounting Research 2008, 46:1-26.
6. Ali D.A., Hwang L., Trombley M. Accruals and future stock returns: tests of the naï;ve investor hypothesis. Journal of Accounting, Auditing & Finance 2000, 15:161-181.
7. Ali A., Hwang L., Trombley M.A. Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics 2003, 69:355-373.
8. Ali A., Hwang L., Trombley M. Residual-income-based valuation predicts future stock returns: evidence on mispricing vs. risk explanations. Accounting Review 2003, 78:377-396.
9. Altman E. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 1968, 23:589-609.
10. Amir E., Lev B. Value-relevance of nonfinancial information: the wireless communications industry. Journal of Accounting and Economics 1996, 3-30.
11. Anderson C., Garcia-Feijoo L. Empirical evidence on capital investment, growth options, and security returns. Journal of Finance 2006, 61:171-194.
12. Asparouhova E., Bessembinder H., Kalcheva I. Liquidity biases in asset pricing tests. Journal of Financial Economics 2010, 96:215-237.
13. Asquith P. Merger bids, uncertainty, and stockholder returns. Journal of Financial Economics 1983, 11:51-83.
14. Baginski S. Intra-industry information transfers associated with management forecasts of earnings. Journal of Accounting Research 1987, 25:196-216.
15. Baginski S., Wahlen J. Residual income risk, intrinsic values, and share prices. The Accounting Review 2003, 78.
16. Ball R. The earnings-price anomaly. Journal of Accounting and Economics 1992, 15:319-345.
17. Baker, M., Wurgler, J., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
18. Barberis N., Thaler R. A survey of behavioral finance. Handbook of the Economics of Finance 2003, Elsevier Science, B.V., Netherlands. G.M. Constantinides, M. Harris, R. Stulz (Eds.).
19. Barth M.E., Hutton A.P. Analyst earnings forecast revisions and the pricing of accruals. Review of Accounting Studies 2004, 9:59-96.
20. BARRA Inc., 1998. United States Equity: Version 3 (USE3). Risk Model Handbook.
21. Bartov E., Mohanram P. Private information, earnings manipulations and executive stock-option exercises. The Accounting Review 2004, 79:889-920.
22. Bartov E., Nissim D., Mohanram P. Managerial discretion and the economic determinants of the disclosed volatility parameter for valuing ESOs. Review of Accounting Studies 2007, 12:155-179.
23. Bartov E., Radhakrishnan S., Krinksy I. Investor sophistication and patterns in stock returns after earnings announcements. The Accounting Review 2000, 75:43-63.
24. Basu S. The investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient markets hypothesis. Journal of Finance 1977, 32:663-682.
25. Basu S., Markov S., Shivakumar L. Do financial analysts suffer from inflation illusion?. Review of Accounting Studies 2010, 15:403-440.
26. Battalio R., Mendenhall R. Earnings expectations, investor trade size, and anomalous returns around earnings announcements. Journal of Financial Economics 2005, 77:289-319.
27. Bauman M. A review of fundamental analysis research in accounting. Journal of Accounting Literature 1996, 15:1-33.
28. Beneish M., Vargus M. Insider trading, earnings quality, and accrual mispricing. Accounting Review 2002, 77:755-791.
29. Beneish, M., Lee, C., Tarpley, R., 2001. Contextual financial statement analysis through the prediction of extreme returns. Review of Accounting Studies 6, 165-189.
30. Bernard V., Thomas J. Post-earnings-announcement drift: delayed price response or risk premium?. Journal of Accounting Research 1989, 27:1-48.
31. Bernard V., Thomas J. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 1990, 13:305-340.
32. Beyer, A., Cohen, D., Lys, T., this issue. Corporate information environment. Journal of Accounting and Economics, doi:. http://10.1016/j.jacceco.2010.10.003.
33. Billet M., Flannery M., Garfinkel J. Are bank loans special? Evidence on the post-announcement performance of bank borrowers. Journal of Financial and Quantitative Analysis 2006, 41:733-752.
34. Blume M.E., Stambaugh R.F. Biases in computed returns: an application to the size effect. Journal of Financial Economics 1983, 12:387-404.
35. Botosan, C.A., Plumlee, M.A., Wen, H.J., 2009. The relation between expected returns, realized returns and firm risk characteristics. Working Paper, University of Utah.
36. Bradshaw M., Richardson S., Sloan R. Do analysts and auditors use information in accruals?. Journal of Accounting Research 2001, 39:45-74.
37. Bradshaw M., Richardson S., Sloan R. The relation between corporate financing activities, analysts' forecasts and stock returns. Journal of Accounting and Economics 2006, 42:53-85.
38. Brandt, K., Santa-Clara, P., Venkatachalam, M., 2008. Earnings announcements are full of surprises. Working Paper.
39. Britten-Jones M. The sampling error in estimates of mean-variance efficient portfolio weights. Journal of Finance 1999, 54:655-671.
40. Brown L., Gardner J. Applying citation analysis to evaluate the research contributions of accounting faculty and doctoral programs. The Accounting Review 1985, 60(2):262-277.
41. Brown L., Gardner J. Using citation analysis to assess the impact of journals and articles on contemporary accounting research (CAR). Journal of Accounting Research 1985, 23(1):84-109.
42. Brown L., Heufner R. The familiarity with and perceived quality of accounting journals: views of senior accounting faculty in leading U.S. MBA programs. Contemporary Accounting Research 1994, 11:223-250.
43. Bushee, B., Raedy, J., 2006. Factors affecting the implementability of stock market trading strategies. Wharton School Working Paper.
44. Bushee B., Goodman T. Which institutional investors trade based on private information about earnings and returns?. Journal of Accounting Research 2007, 45:1-31.
45. Byrne, A., Brooks, M., 2008. Behavioral finance: theories and evidence. Research Foundation of CFA Institute Monograph Series, pp. 1-26.
46. Campbell J.Y. A variance decomposition for stock returns. Economic Journal 1991, 101:57-109.
47. Campbell J.Y., Vuolteenaho T.O. Bad beta, good beta. American Economic Review 2004, 94:1249-1275.
48. Chan K., Chan L., Jegadeesh N., Lakonishok J. Earnings quality and stock returns. Journal of Business 2006, 79:1041-1082.
49. Chava, S., Purnanandam, A., 2010. Is default risk negatively related to stock returns? Review of Financial Studies 23, 2523-2559.
50. Chee, S., Sloan, R., Uysal, A., 2010. Value investing and the fundamental return. Working Paper, University of California, Berkeley.
51. Chen N., Roll R., Ross S. Economic forces and the stock market. Journal of Business 1986, 59:383-403.
52. Chen, L., Zhao, S., 2009. What drives stock price movement? Working Paper.
53. Cheng C., Thomas W. Evidence of the abnormal accrual anomaly incremental to operating cash flows. The Accounting Review 2006, 81:1151-1168.
54. Chordia T., Shivakumar L. Inflation illusion and post-earnings-announcement drift. Journal of Accounting Research 2005, 43:521-556.
55. Claus J., Thomas J. Equity premia as low as three percent? Evidence from analysts' earnings forecasts for domestic and international stock markets. Journal of Finance 2001, 56:1629-1666.
56. Cohen L., Frazzini A. Economic links and predictable returns. Journal of Finance 2008, 63:1977-2011.
57. Collins D., Gong G., Hribar P. Investor sophistication and the mispricing of accruals. Review of Accounting Studies 2003, 8:251-276.
58. Collins D., Hribar P. Earnings-based and accrual-based market anomalies: one effect or two?. Journal of Accounting & Economics 2000, 29:101-123.
59. Connor G., 2000. Robust confidence intervals for BARRA's bias test of risk forecasts. Working Paper.
60. Cooper M., Gulen H., Schill M. Asset growth and the cross-section of stock returns. Journal of Finance 2008, 63:1609-1652.
61. Courteau, L., Kao, J., Richardson, G., 2001. Equity valuation employing the ideal versus ad hoc terminal value expressions. Contemporary Accounting Research.
62. Cusatis P., Miles J., Woolridge J.R. Restructuring through spinoffs: the stock market evidence. Journal of Financial Economics 1993, 33:293-311.
63. Damodaran A. Valuation approaches and metrics: a survey of the theory and evidence. Foundation and Tends in Finance 2005, 1:693-784.
64. Daniel K., Titman S. Evidence on the characteristics of cross-sectional variation in stock returns. Journal of Finance 1997, 52(1):1-33.
65. Daniel K., Hirshleifer D., Teoh S. Investor psychology in capital markets: evidence and policy implications. Journal of Monetary Economics 2002, 49:139-209.
66. Davis-Friday P.Y., Folami L.B., Liu C.-S., Mittelstaedt H.F. The value relevance of financial statement recognition vs. disclosure: evidence from SFAS No. 106. The Accounting Review 1999, 74:403-423.
67. Dechow, P., Richardson, S., Sloan, R., 2008. The persistence and pricing of the cash component of earnings. Journal of Accounting Research 46, 537-566.
68. Dechow, P., Ge, W., Schrand, C., this issue. Earnings quality and earnings management. Journal of Accounting and Economics, doi:. http://10.1016/j.jacceco.2010.09.001.
69. Dechow P., Sloan R. Returns to contrarian investment strategies: tests of naï;ve expectations hypotheses. Journal of Financial Economics 1997, 43:3-27.
70. DellaVigna, S., Pollet, J., 2006. Investor inattention, firm reaction, and Friday earnings announcements. Working Paper.
71. Desai H.M., Rajgopal S., Venkatachalam M. Value-glamour and accruals mispricing: one anomaly or two?. The Accounting Review 2004, 79:355-385.
72. Diether K., Malloy C., Scherbina A. Differences of opinion and the cross section of stock returns. Journal of Finance 2002, 57:2113-2141.
73. Doukas J.A., Kim C.F., Pantzalis C. Journal of Finance 2002, 57:2143-2165.
74. Doyle J., Lundholm R., Soliman M. The extreme future stock returns following I/B/E/S earnings surprises. Journal of Accounting Research 2006, 44:849-887.
75. Easley D., O'Hara M. Price, trade size and information in securities markets. Journal of Financial Economics 1987, 19:69-90.
76. Easton P. Estimating the cost of capital implied by market prices and accounting data. Foundations and Trends in Finance 2009, 2(4):241-364.
77. Easton P.D., Harris T.S., Ohlson J.A. Accounting earnings can explain most of security returns: the case of long event windows. Journal of Accounting and Economics 1992, 15:119-142.
78. Easton P., Monahan S. An evaluation of the reliability of accounting based measures of expected returns: a measurement error perspective. The Accounting Review 2005, 80:501-538.
79. Easton P., Sommers G. Effect of analysts' optimism on estimates of the expected rate of return implied by earnings forecasts. Journal of Accounting Research 2007, 45:983-1016.
80. Easton P., Taylor G., Shroff P., Sougiannis T. Using forecasts of earnings to simultaneously estimate growth and the rate of return on equity investment. Journal of Accounting Research 2002, 40:657-676.
81. Elkins/McSherry LLC Quarterly global equity universe data. Institutional Investor Magazine 2009.
82. Elton E. Expected return, realized return and asset pricing tests. Journal of Finance 1999, 54(4):1199-1220.
83. Fairfield P.M., Whisenant J.S., Yohn T.L. Accrued earnings and growth: implications for future profitability and market mispricing. Accounting Review 2003, 78:353-371.
84. Fama E. Efficient capital markets: a review of theory and empirical work. Journal of Finance 1970, 25:383-417.
85. Fama E., French K. The cross-section of expected stock returns. Journal of Finance 1992, 47:427-465.
86. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
87. Fama E., French K. Size and book-to-market factors in earnings and returns. Journal of Finance 1995, 50:131-155.
88. Fama E., French K. Forecasting profitability and earnings. Journal of Business 2000, 72:161-175.
89. Fama E.F., French K.R. Profitability, investment and average returns. Journal of Financial Economics 2006, 82:491-518.
90. Fama E., French K. Dissecting anomalies. Journal of Finance 2008, 63:1653-1678.
91. Fama E., MacBeth J. Risk, return, and equilibrium: empirical tests. The Journal of Political Economy 1973, 81:607-636.
92. Feltham G., Ohlson J. Valuation and clean surplus accounting for operating and financial activities. Contemporary Accounting Research 1995, 11:689-731.
93. Foster G., Olsen C., Shevlin T. Earnings releases, anomalies and the behavior of security returns. The Accounting Review 1984, 59:574-603.
94. Francis J., Olsson P., Oswald D. Comparing the accuracy and explainability of dividend, free cash flow and abnormal earnings equity valuation models. Journal of Accounting Research 2000, 38:45-70.
95. Francis J., Khurana I., Pereira R. Disclosure incentives and effects on cost of capital around the world. The Accounting Review 2005, 80:1125.
96. Franzoni F., Marin J.M. Pension planed funding and stock market efficiency. Journal of Finance 2006, 61:921-956.
97. Gebhardt, W., Lee, C., Swaminathan, B., 2001. Toward an implied cost of capital. Journal of Accounting Research 39, 135-176.
98. Goh, B.W., Ng, J., Yong, K.O., 2009. Market pricing of banks fair value assets reported under SFAS 157 during the 2008 economic crisis. Working Paper.
99. Graham J.R., Harvey C.R. The theory and practice of corporate finance: evidence from the field. Journal of Financial Economics 2001, 60:187-243.
100. Green, J., Hand, J., Soliman, M., 2009. The demise of the accruals anomaly. Working Paper, University of North Carolina.
101. Griffin, J., Kelly, P., Nardari, F., 2007. Measuring short-term international stock market efficiency. Working Paper.
102. Griffin J., Lemmon M. Book-to-market equity, distress risk, and stock returns. Journal of Finance 2002, 57:2317-2336.
103. Grinold R., Kahn R. Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk 2000, McGraw-Hill, New York. second ed.
104. Grossman S., Stiglitz J. On the impossibility of informationally efficient markets. American Economic Review 1980, 70:393-408.
105. Guay W. Discussion of value investing: the use of historical financial statement information to separate winners from losers. Journal of Accounting Research 2000, 38(Suppl.):43-51.
106. Guay, W., Kothari, S., Shu, S., 2005. Properties of ICC of capital using analysts forecasts. Working Paper No. 4422-03, MIT Sloan.
107. Hail L., Leuz C. International differences in the cost of equity capital: do legal institutions and securities regulation matter?. Journal of Accounting Research 2006, 44:485-531.
108. Hanlon M. The persistence and pricing of earnings, accruals, and cash flows when firms have large book-tax differences. The Accounting Review 2005, 80:137-166.
109. Hirshleifer D. Investor psychology and asset pricing. Journal of Finance 2001, 56:1533-1597.
110. Hirshleifer, D., Teoh, S.H., 2006. Limited investor attention and stock market misreactions to accounting information. Working Paper, Ohio State University.
111. Hirshleifer, D., Hou, K., Teoh, S., 2006. The accrual anomaly: risk or mispricing? Working Paper, Ohio State University.
112. Hirshleifer D., Hou K., Teoh S., Zhang Y. Do investors overvalue firms with bloated balance sheets?. Journal of Accounting and Economics 2004, 38:297-331.
113. Hirshleifer, D., Myers, J., Myers, L., Teoh, S., 2008. Do individual investors drive post-earnings announcement drift? Working Paper, Ohio State University.
114. Hong H., Lim T., Stein J.C. Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies. Journal of Finance 2000, 55:265-295.
115. Hou K., Robinson D.T. Industry concentration and average stock returns. Journal of Finance 2006, 61:1927-1956.
116. Hou, K., van Dijk, M., 2008. Resurrecting the size effect: firm size, profitability shocks, and expected stock returns. Working Paper.
117. Hou, K., van Dijk, M., Zhang, Y., 2009. The implied cost of capital: a new approach. Working Paper, Ohio State University.
118. Ibbotson R. Price performance of common stock new issues. Journal of Financial Economics 1975, 3:235-272.
119. Ikenberry D., Lakonishok J., Vermaelen T. Market underreaction to open market share repurchases. Journal of Financial Economics 1995, 39:181-208.
120. Jegadeesh N., Titman S. Returns? to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 1993, 48:65-91.
121. Jegadeesh N., Titman S. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 2001, 56:699-720.
122. Juettner-Nauroth, B., Skogsvik, K., 2005. A note on the impact of conservative accounting principles in abnormal earnings. Working Paper.
123. Ke B., Ramalingegowda S. Do institutional investors exploit the post-earnings announcement drift?. Journal of Accounting and Economics 2005, 39:25-53.
124. Keim D., Madhavan A. Transaction costs and investment style: an inter-exchange analysis of institutional equity trades. Journal of Financial Economics 1997, 46:265-292.
125. Keim D., Ziemba W. Security Market Imperfections in World Wide Equity Markets 2000, Cambridge University Press.
126. Keloharju M. What's new in finance?. European Financial Management 2008, 14:564-608.
127. Khan M. Are accruals mispriced evidence from tests of an intertemporal capital asset pricing model. Journal of Accounting and Economics 2008, 45:55-77.
128. Kimbrough M. The effect of conference calls on analyst and market underreaction to earnings announcements. The Accounting Review 2005, 80:189-219.
129. Korajczyk R., Sadka R. Are momentum profits robust to trading costs?. Journal of Finance 2004, 59:1039-1082.
130. Kothari S.P. Capital markets research in accounting. Journal of Accounting and Economics 2001, 31:105-231.
131. Kothari S.P., Lewellen J., Warner J. Stock returns, aggregate earnings surprises, and behavioral finance. Journal of Financial Economics 2006, 79:537-568.
132. Kothari, S.P., Loutskina, E., Nikolaev, V., 2007. Agency theory of overvalued equity as an explanation for the accrual anomaly. Working Paper, MIT.
133. Kothari S.P., Sabino S., Zach S. Implications of survival and data trimming for tests of market efficiency. Journal of Accounting and Economics 2005, 39:129-161.
134. Kraft A., Leone A.J., Wasley C. An analysis of the theories and explanations offered for the mispricing of accruals and accrual components. Journal of Accounting Research 2006, 44:297-339.
135. Kraft A., Leone A., Wasley C. Regression-based tests of the market pricing of accounting numbers: the Mishkin test and ordinary least squares. Journal of Accounting Research 2007, 45:1081-1114.
136. Kuhnen C. Business networks, corporate governance and contracting in the mutual fund industry. Journal of Finance 2009, 64:2185-2220.
137. Kyle A.S. Continuous auctions and insider trading. Econometrica 1985, 53:1315-1335.
138. LaFond, R., 2005. Is the accrual anomaly a global anomaly?. Working Paper, Sloan School of Management.
139. Lakonishok J., Shleifer A., Vishny R. Contrarian investment, extrapolation and risk. Journal of Finance 1994, 49:1541-1578.
140. Lakonishok J., Vermaelen T. Anomalous price behavior a round repurchase tender offers. Journal of Finance 1990, 45:455-477.
141. Larcker D., Richardson S. Fees paid to audit firms, accrual choices and corporate governance. Journal of Accounting Research 2004, 42:625-658.
142. Larcker D., Richardson S., Tuna I. Corporate governance, accounting outcomes, and organizational performance. The Accounting Review 2007, 82:960-1008.
143. Lee C. Market efficiency and accounting research: a discussion of 'capital market research in accounting' by S.P. Kothari. Journal of Accounting and Economics 2001, 31:233-253.
144. Leippold, M., Lohre, H., 2008. Data snooping and the global accrual anomaly. Working Paper, Imperial College London.
145. Lev B., Nissim D. The persistence of the accruals anomaly. Contemporary Accounting Research 2006, 23:193-226.
146. Lev B., Thiagarajan S.R. Fundamental information analysis. Journal of Accounting Research 1993, 31:190-215.
147. Levi S. Voluntary disclosure of accruals in earnings press releases and the pricing of accruals. Review of Accounting Studies 2008, 13:1-21.
148. Lewellen J. Predicting returns with financial ratios. Journal of Financial Economics 2004, 74:209-235.
149. Lewellen, J. Accounting anomalies and fundamental analysis: an alternative view. Journal of Accounting and Economics, this issue.
150. Li F. Annual report readability, current earnings and earnings persistence. Journal of Accounting and Economics 2008, 45:221-247.
151. Liang L. Post-earnings-announcement-drift and market participants' information processing biases. Review of Accounting Studies 2003, 321-345.
152. Libby R., Bloomfield R., Nelson M. Experimental research in financial accounting. Accounting Organizations and Society 2002, 775-810.
153. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 1965, 47:13-37.
154. Liu W., Strong N., Xu X. Post-earnings-announcement drift in the UK. European Financial Management 2003, 9:89-116.
155. Livnat J., Mendenhall R. Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts. Journal of Accounting Research 2006, 44:177-205.
156. Lo, A., 2004. The adaptive markets hypothesis: market efficiency from an evolutionary perspective. Working Paper, MIT.
157. Lo, A., Khandani, A., 2007. What happened to quants in August 2007? Working Paper.
158. Loughran, T., Ritter, J., 1995. The new issues puzzle. Journal of Finance 50, 23-52.
159. Loughran, T., Vijh, A., 1997. Do long-term shareholders benefit from corporate acquisitions? Journal of Finance 52, 1765-1790.
160. Lundholm R., O'Keefe T. Reconciling value estimates from the discounted cash flow model and the residual income model. Contemporary Accounting Research 2001, 18:311-335.
161. Madhavan, A., 2000. Market microstructure: a survey. Journal of Financial Markets 3, 205-258.
162. Manning C., Schutze H. Foundations of Statistical Natural Language Processing 1999, MIT Press.
163. Mashruwala C., Rajgopal S., Shevlin T. Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs. Journal of Accounting and Economics 2006, 42:3-33.
164. McConnell J., Ovtchinnikov A. Predictability of long-term spinoff returns. Journal of Investment Management 2004, 2:35-44.
165. McGuire P., Remolona E., Tsatsaronis K. Time-varying exposures and leverage in hedge funds. BIS Quarterly Review 2005, March:59-72.
166. McInnis J. Earnings smoothness, average returns, and implied cost of equity capital. The Accounting Review 2010, 85:315-341.
167. McRae T. A citational analysis of the accounting information network. Journal of Accounting Research 1974, 12:80-92.
168. Mendenhall, R., 2004. Arbitrage risk and post-earnings-announcement drift. Journal of Business 77, 875-894.
169. Michaely R., Thaler R., Womack K. Price reactions to dividend initiations and omissions: overreaction or drift?. The Journal of Finance 1995, 50:573-608.
170. Mohanram P. Separating winners from losers among low book-to-market stocks using financial statement analysis. Review of Accounting Studies 2005, 10:122-170.
171. Moreno J. Who Shall Survive? Foundations of Sociometry, Group Psychotherapy, and Sociodrama 1934, Nervous and Mental Disease Publishing Co. (Beacon House), Washington, DC.
172. Nagel S. Short sales, institutional investors, and the cross section of stock returns. Journal of Financial Economics 2005, 78:277-309.
173. Narayanamoorthy G. Conservatism and cross-sectional variation in the post-earnings announcement drift. Journal of Accounting Research 2006, 44:763-789.
174. Ng, J., Rusticus, T., Verdi, R., 2008. Implications of transaction costs for the post-earnings-announcement drift. Journal of Accounting Research 46, 661-696.
175. Ohlson J. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 1980, 18:109-131.
176. Ohlson J. Earnings, book-values, and dividends in equity valuation. Contemporary Accounting Research 1995, 11:661-687.
177. Ohlson J. On accounting-based valuation formulae. Review of Accounting Studies 2005, 10:323-347.
178. Ohlson J. Accounting data and value: the basic results. Contemporary Accounting Research 2009, 26:231-259.
179. Ohlson J., Gao Z. Earnings, earnings growth and value. Foundations and Trends in Accounting 2006, 1:1-70.
180. Ohlson J., Juettner-Nauroth B. Expected eps and eps growth as determinants of value. Review of Accounting Studies 2005, 10:349-365.
181. Ou J., Penman S. Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics 1989, 11:295-329.
182. Pastor, L., Sinha, M., Swaminathan, B., 2007. Estimating the intertemporal risk-return tradeoff using the implied cost of capital. Journal of Finance 63, 2859-2897.
183. Penman S. On comparing cash flow and accrual accounting models for use in equity valuation: a response to Lundholm and O'Keefe (CAR, Summer 2001). Contemporary Accounting Research 2001, 18:681-692.
184. Penman S. Financial Statement Analysis and Security Valuation 2009, McGraw-Hill. fourth ed.
185. Penman, S., Reggiani, F., 2010. Returns to buying earnings and book value: accounting for growth. Working Paper.
186. Penman S., Zhang X. Accounting conservatism, the quality of earnings, and stock returns. The Accounting Review 2002, 77:237-264.
187. Penman, S., Zhang, X., 2006. Modeling sustainable earnings and P/E ratios with financial statement information. Working Paper.
188. Penman S., Richardson S., Tuna I. The book-to-price effect in stock returns: accounting for leverage. Journal of Accounting Research 2007, 45:427-467.
189. Pincus M., Rajgopal S., Venkatachalam M. The accrual anomaly: international evidence. Accounting Review 2007, 82:169-203.
190. Piotroski J. Value investing: the use of historical financial statement information to separate winners from losers. Journal of Accounting Research 2000, 38:1-41.
191. Pontiff J. Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics 2006, 42:35-52.
192. Rakhlin D., Sofianos G. The impact of an increase in volatility on trading costs. Journal of Trading 2006, 1:43-50.
193. Rau P.R., Vermaelen T. Glamour, value and the post-acquisition performance of acquiring firms. Journal of Financial Economics 1998, 49:223-253.
194. Reed, A., 2007. Costly short-selling and stock price adjustments to earnings announcements. Working Paper, University of North Carolina.
195. Reinganum M. Misspecification of the capital asset pricing: empirical anomalies based on earnings yields and market values. Journal of Financial Economics 1981, 9:29-46.
196. Richardson, S., Sloan, R., 2003. External financing and future stock returns. Working Paper No. 03-03, Rodney L. White Center for Financial Research.
197. Richardson S., Sloan R., Soliman M., Tuna I. Accrual reliability, earnings persistence and stock prices. Journal of Accounting and Economics 2005, 39:437-485.
198. Richardson S., Sloan R., Soliman M., Tuna I. The implications of firm growth and accounting distortions for accruals and profitability. The Accounting Review 2006, 81:713-743.
199. Richardson, S., Sloan, R., Tuna, I., 2006b. Balance sheet information and future stock returns. Working Paper.
200. Richardson S., Teoh S., Wysocki P. The walk-down to beatable analyst forecasts: the role of equity issuance and insider trading incentives. Contemporary Accounting Research 2003, 21:885-924.
201. Richardson G., Tinaikar S. Accounting based valuation models: what have we learned?. Accounting and Finance 2004, 44:223-255.
202. Ritter J. Behavioral finance. Pacific-Basin Finance 2003, 11:429-437.
203. Ross S. The arbitrage theory of capital asset pricing. Journal of Economic Theory 1976, 13:341-360.
204. Sadka R. Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk. Journal of Financial Economics 2006, 80:309-349.
205. Saffi, P., Sigurdsson, K., 2007. Price efficiency and short-selling. Working paper, London Business School.
206. Schwert G.W. Anomalies and market efficiency. Handbook of the Economics of Finance 2003, Elsevier Science B.V., Netherlands, (Chapter 15). G.M. Constantinides, M. Harris, R. Stulz. (Eds.).
207. Schwert W. Report of the editorial office for the year 2006. Journal of Financial Economics 2007, 83:1-3.
208. Scott J. Social Network Analysis: A Handbook 2000, SAGE Publications, London.
209. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 1964, 19:425-442.
210. Shivakumar L. Accruals, cash flows and the post-earnings-announcement drift. Journal of Business Finance and Accounting 2006, 33:1-25.
211. Sloan R. Do stock prices fully reflect information in accruals and cash flows about future earnings?. The Accounting Review 1996, 71:289-316.
212. Spiess K., Affleck-Graves J. The long-run performance of stock returns following debt offerings. Journal of Financial Economics 1999, 54:45-73.
213. Stoll H. Equity trading costs in-the-large. The Journal of Portfolio Management 1993, 19:41-50.
214. Subrahmanyam A. Behavioral finance: a review and synthesis. European Financial Management 2007, 14:12-29.
215. Subrahmanyam, A., 2010. The cross-section of expected stock returns: what have we learned from the past twenty five years of research? Working Paper, UCLA.
216. Thomas, J., Zhang, F., 2008. Tax expense surprises and future returns. Working Paper, Yale University.
217. Titman S., Wei J., Xie F. Capital investments and stock returns. Journal of Financial and Quantitative Analysis 2004, 39:677-700.
218. Vassalou M., Xing Y. Default risk in equity returns. Journal of Finance 2004, 59:831-868.
219. Vuolteenaho T. What drives firm-level stock returns?. Journal of Finance 2002, 57:233-264.
220. Wu J., Zhang L., Zhang F. The q-theory approach to understanding the accrual anomaly. Journal of Accounting Research 2010, 48:177-223.
221. Xie H. The mispricing of abnormal accruals. The Accounting Review 2001, 76:357-373.
222. Zach, T., 2005. Evaluating the 'accrual-fixation' hypothesis as an explanation for the accrual anomaly. Working Paper, Washington University.
223. Zhang L. The value premium. Journal of Finance 2005, 60:67-103.
224. Zhang X. Information uncertainty and analyst forecast behavior. Contemporary Accounting Research 2006, 23:565-590.