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Data snooping and the global accrual anomaly

Research output: Contribution to journalJournal articlepeer-review

Published
<mark>Journal publication date</mark>1/04/2012
<mark>Journal</mark>Applied Financial Economics
Issue number7
Volume22
Number of pages27
Pages (from-to)509-535
Publication StatusPublished
Early online date1/12/11
<mark>Original language</mark>English

Abstract

Naïvely testing for accruals mispricing in 26 equity markets - one market at a time - we find statistical evidence of anomalous returns in some countries. However, some of these findings might well be spurious because of data snooping biases that arise when simultaneously testing several hypotheses. While the accrual anomaly is not deemed to be robust in some countries when properly accounting for multiple testing, we find the international momentum effect to by and large pass the battery of multiple testing procedures. Moreover, we find the few robust accrual anomalies vanishing in recent times, indicating that investors have been exploiting the mispricing.