Asymmetric Returns and the Economic Content of Accruals and Investment

Del Viva, Luca; Kothari, S.P.; Lambertides, Neophytos; Trigeorgis, Lenos

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.

Citation

Del Viva, L., Kothari, S., Lambertides, N., & Trigeorgis, L. (2021). Asymmetric Returns and the Economic Content of Accruals and Investment. Management Science, 67(6), 3921-3942. https://doi.org/10.1287/mnsc.2020.3676

• Journal Article Type: Article
• Acceptance Date: Mar 3, 2020
• Online Publication Date: Mar 1, 2021
• Publication Date: 2021-06
• Deposit Date: Feb 14, 2023
• Journal: Management Science
• Print ISSN: 0025-1909
• Electronic ISSN: 1526-5501
• Publisher: Institute for Operations Research and Management Sciences
• Volume: 67
• Issue: 6
• Pages: 3921-3942
• DOI: https://doi.org/10.1287/mnsc.2020.3676
• Public URL: https://durham-repository.worktribe.com/output/1183029