Asymmetric returns and the economic content of accruals and investment

L. Del Viva, S. P. Kothari, Neophytos Lambertides, Lenos Trigeorgis*

*Corresponding author for this work

Research output: Indexed journal article Articlepeer-review

1 Citation (Scopus)

Abstract

This study contributes to our understanding of what accruals capture and how they relate to the distribution of future returns. It examines the past and future growth components of accruals and shows that, whereas past growth is negatively associated with idiosyncratic skewness, future growth is positively associated with it. In addition, although both past and future growth are negatively associated with future returns, the association is more pronounced for past growth when volatility is lower, but for future growth when volatility is higher. The study also shows that the association between the future growth component and future returns reverses in the long run, whereas the association between past growth and future returns does not.

Original languageEnglish
Pages (from-to)3921-3942
Number of pages22
JournalManagement Science
Volume67
Issue number6
DOIs
Publication statusPublished - Jun 2021
Externally publishedYes

Keywords

  • Asymmetric returns
  • Idiosyncratic skewness
  • Investment and accruals
  • Nonlinear equity value

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