#2698. Accrual mispricing, value-at-risk, and expected stock returns

November 2026publication date
Proposal available till 29-05-2025
4 total number of authors per manuscript4500 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Economics, Econometrics and Finance (miscellaneous);
Finance;
Accounting;
Places in the authors’ list:
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Contract №2698.1 Contract №2698.2 Contract №2698.3 Contract №2698.4
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2 place - free (for sale)
3 place - free (for sale)
4 place - free (for sale)

Abstract:
The article examines the extent to which the buy-in measure of the maximum probable loss, which reflects the tail risk of return, known as value at risk (VaR), explains the relationship between charges and the lateral dispersion of expected stock returns. The results show that the firm-level VaR covers at least 7% of the accumulation premium even with size and book value.
Keywords:
Abnormal returns; Accruals; Anomalies; Cross-section of returns; Mispricing; Value-at-risk

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