Accrual Anomaly

Il percorso a tre porte · genuino solo se supera tutte e tre e resiste alla confutazione avversaria

Gate 1

Senza survivorship

free

pannello pulito

Gate 2

Placebo ≥ P95

non eseguito

Eliminato qui

Gate 3

Netto con costi

RF -0.51

netto negativo dopo i costi

Fallito

Peggior gamba a 12 mesi (RF)-0.94

pavimento −1.000

Ogni strategia qui — vincitori inclusi — perde nei suoi peggiori 12 mesi. La profondità è contesto onesto, non il verdetto.

Respinto alla porta costi — il vantaggio netto diventa negativo applicando i costi modellizzati.

The accrual anomaly, documented by Sloan (1996), goes long firms with low accruals and short firms with high accruals, on the finding that the accrual component of earnings is less persistent than the cash component and that prices are slow to reflect this.

What we found

On our survivorship-free US common-stock panel, the Sloan long/short construction is net-negative after realistic modelled costs. The result is consistent with post-publication decay: an effect that was documented in 1996 does not survive as a tradeable spread in the modern cost-aware test window. There is no edge here after costs, and the worst-year risk-adjusted return is deeply negative. This is a failed screen, not a diversifying factor-leg.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship free

Data: survivorship-free 1077-name US common-stock panel, 2005-2026. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Sloan (1996), "Do stock prices fully reflect information in accruals and cash flows...", Accounting Review
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.