TY - JOUR

T1 - Data snooping and the global accrual anomaly

AU - Leippold, Markus

AU - Lohre, Harald

PY - 2012/4/1

Y1 - 2012/4/1

N2 - 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.

AB - 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.

KW - accrual anomaly

KW - market efficiency

KW - momentum effect

KW - multiple hypotheses testing

U2 - 10.1080/09603107.2011.631892

DO - 10.1080/09603107.2011.631892

M3 - Journal article

AN - SCOPUS:84856893523

VL - 22

SP - 509

EP - 535

JO - Applied Financial Economics

JF - Applied Financial Economics

SN - 0960-3107

IS - 7

ER -