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Accrual mispricing, value-at-risk, and expected stock returns
We investigate the extent to which a parsimonious measure of maximum likely loss that captures the tail risk of returns—known as value-at-risk (VaR)—explains the relationship between accruals and the cross-sectional dispersion of expected stock returns. We construct portfolios based on Sloan’s (Acco...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8075029/ http://dx.doi.org/10.1007/s11156-021-00985-2 |