Data Snooping and the Global Accrual Anomaly

43 Pages Posted: 21 Mar 2008 Last revised: 12 Oct 2010

See all articles by Markus Leippold

Markus Leippold

University of Zurich; Swiss Finance Institute

Harald Lohre

Robeco Quantitative Investments; Lancaster University Management School

Multiple version iconThere are 2 versions of this paper

Date Written: May 15, 2010

Abstract

Naively 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.

Keywords: Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

JEL Classification: C12, G14, G15, M41, M43

Suggested Citation

Leippold, Markus and Lohre, Harald, Data Snooping and the Global Accrual Anomaly (May 15, 2010). EFA 2007 Ljubljana Meetings Paper, Available at SSRN: https://ssrn.com/abstract=962867 or http://dx.doi.org/10.2139/ssrn.962867

Markus Leippold

University of Zurich ( email )

Rämistrasse 71
Zürich, CH-8006
Switzerland

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Harald Lohre (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3011 AG
Netherlands

Lancaster University Management School

Bailrigg
Lancaster LA1 4YX
United Kingdom

HOME PAGE: http://www.lancaster.ac.uk/lums/people/harald-lohre

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