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This dissertation reexamines the theoretical and empirical relation between future period returns and current period accruals. Prior studies find a negative relation between current period accruals and future returns. This finding (the accrual anomaly) is often attributed to either (a) investors mispricing accrual persistence or (b) investors mispricing the growth information contained in current accruals. In this study, I show that accruals are a natural manifestation of firm growth and contraction and that the information contained in accruals is not associated with future returns. This finding holds for multiple accrual definitions and decompositions. My study provides an alternative explanation for the accrual anomaly. In addition, I provide economic intuition and empirical evidence suggesting that the accrual anomaly is a function of the value/growth anomaly. In contrast to prior studies which use a two-period model to show the negative association between accruals in period one and returns in period two, I employ a three period log-linear model decomposed from a firm’s book-to-market ratio and show that investors do not misprice the information contained in accruals. My study shows that in the four year period prior to accrual recognition, equity prices tend to be driven disproportionately by intangible returns, or returns not explained by accounting measures. Accordingly, the relation between prior-period intangible returns and future-period returns may subsume the relation between current-period accruals and future returns. Empirical tests support this explanation. / text

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Thesis (PhD) -- AUT University, 2007. / Includes bibliographical references. Also held in print (ix, 102 leaves ; 30 cm.) in City Campus Theses Collection (T 658.1511 KOE)

Thesis (Ph. D.)--University of Washington, 1997. / Vita. Includes bibliographical references (leaves [131]-136).

Thesis (Ph. D.)--University of Hong Kong, 1999. / Includes bibliographical references (leaves 102-105).

Thesis (Ph. D.)--Florida State University, 2005. / Advisor: David Peterson, Florida State University, College of Business, Dept. of Finance. Title and description from dissertation home page (viewed Jan. 24, 2006). Document formatted into pages; contains viii, 131 pages. Includes bibliographical references.

Author's thesis (doctoral)--Universität Frankfurt am Main, 2009. / Includes bibliographic references (p. 175-217).

Huang, Zheng. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (p. 30-32). / Abstract also in Chinese. / Abstract (English) --- p.i / Abstract (Chinese) --- p.ii / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Tables and Figures --- p.v / Chapter Chapters: --- List of Tables and Figures / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review: Accrual Anomaly --- p.7 / Chapter 3. --- Data and Descriptive Statistics --- p.12 / Chapter 3.1 --- Sample Selection --- p.12 / Chapter 3.2 --- Variable Measurement --- p.12 / Chapter 3.3 --- Descriptive Statistics --- p.14 / Chapter 4. --- Basic Accrual Anomaly Evidence for Loss Firms --- p.15 / Chapter 5. --- Empirical Evidences of the Pseudo accrual Trading Strategy --- p.18 / Chapter 5.1 --- The Effectiveness of the Pseudo accrual Trading Strategy --- p.18 / Chapter 5.2 --- The Asset Growth Effect Tests of the Pseudo Accrual --- p.22 / Chapter 6. --- Sensitivity Tests --- p.25 / Chapter 7. --- Conclusion --- p.28 / References --- p.30

Includes bibliographical references.