Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
<mark>Journal publication date</mark> | 1/04/2012 |
---|---|
<mark>Journal</mark> | Applied Financial Economics |
Issue number | 7 |
Volume | 22 |
Number of pages | 27 |
Pages (from-to) | 509-535 |
Publication Status | Published |
Early online date | 1/12/11 |
<mark>Original language</mark> | English |
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.