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Accrual Anomaly for Agribusiness Stocks
Author(s) -
Arthur Bruno R.,
Katchova Ani L.
Publication year - 2014
Publication title -
agribusiness
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.57
H-Index - 43
eISSN - 1520-6297
pISSN - 0742-4477
DOI - 10.1002/agr.21409
Subject(s) - agribusiness , accrual , anomaly (physics) , economics , financial economics , econometrics , business , earnings , agriculture , finance , geography , physics , archaeology , condensed matter physics
This study investigates whether the accrual anomaly documented by Sloan ([Sloan, R.G., 1996]) for the U.S. market stocks exists in the U.S. agribusiness stocks over 1971–2011. Our results for the U.S. agribusiness stocks concur with the results of Trejo‐Pech, Weldon, House, and Gunderson ([Trejo‐Pech, C.J., 2009]) for the food supply chain stocks that the anomaly is explained by the high accrual portfolios rather than the fixation hypothesis. The accrual anomaly remains for agribusiness stocks even after accounting for the momentum factor with the four‐factor asset pricing model, and is more driven by the non‐food supply chain stocks than the food supply chain stocks. Our results from Fama and MacBeth ([Fama, E.F., 1973]) regressions confirm that accruals are negatively related to future returns.