In Section 3.1, we described how accounting earnings can be decomposed into a cash component and an accrual component, where the latter component is based on accounting estimates of expected future benefits and obligations. ดูราคาน้ำบอล We also discussed evidence showing that the accrual component of earnings is less persistent than the cash component of earnings. The accrual component of earnings can be estimated using information from the balance sheet and the statement of cash flows. This provides a useful setting for examining whether investors “fixate” on earnings as the headline measure of firm performance or whether they rationally incorporate other information about the persistence of earnings’ underlying components. Sloan (1996) was the first to conduct such an examination. He found that stock prices act as if investors fixated on earnings while ignoring information in the accrual component of earnings. Thus, if the accrual component of earnings is unusually high (low), investors tend to place a high (low) price on the stock, because they do not realize that the high (low) earnings are less likely to persist.
Figure 4 reports the returns to Sloan’s accrual strategy over the past 40 years. The strategy goes long in stocks in the lowest accrual decile and short in stocks in the highest accrual decile and is rebalanced annually. The cumulative returns top 300% over the past 40 years, or over 3% on an annualized basis. Interestingly, the returns to the accrual anomaly spiked in the years immediately following the publication of Sloan (1996) and then tapered off. This result has led Green, Hand & Soliman (2011) to conclude that the accrual anomaly was arbitraged away by hedge funds following its publication in the academic literature. Only time will tell whether this is the case, although it seems odd that other anomalies such as PEAD have not suffered a similar fate.