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Data snooping and the global accrual anomaly


Leippold, Markus; Lohre, Harald (2012). Data snooping and the global accrual anomaly. Applied Financial Economics, 22(7):509-535.

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.

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.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2012
Deposited On:20 Feb 2012 16:04
Last Modified:07 Dec 2017 11:29
Publisher:Taylor & Francis
ISSN:0960-3107
Publisher DOI:https://doi.org/10.1080/09603107.2011.631892
Other Identification Number:merlin-id:4432

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