#2182. Accrual mispricing, value-at-risk, and expected stock returns

August 2026publication date
Proposal available till 30-05-2025
5 total number of authors per manuscript5020 $

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Journal’s subject area:
Economics, Econometrics and Finance (all);
Finance;
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Abstract:
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 total accruals (TA) measure and individual asset-level VaR, which reflects the dynamic behavior of the asset distribution. We document that VaR is in congruence with portfolio-level accruals and that there is a significant positive relationship between VaR and the cross-section of portfolio returns.
Keywords:
Abnormal returns; Accruals; Anomalies; Cross-section of returns; Mispricing; Value-at-risk

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