An International Meeting of the American Accounting Association American Accounting Association 2006 Annual Meeting August 6–9, 2006 Washington, D.C.

Gary Taylor
University of Alabama

Zhaohui Randall Xu
University of Alabama

Abstract: This study investigates the relationship among the accruals (ACC, Sloan 1996) anomaly, the intrinsic-value-to-price (VP, Frankel and Lee 1998) anomaly and two value/glamour anomalies: the cash flows-to-price (CFOP, Desai et al. 2004) anomaly and the book-to-market (BM) anomaly in order to determine whether they are truly four different anomalies caused by different factors or they are different manifestations of the same underlying phenomenon. The study finds that the VP anomaly is driven by similar factors as the CFOP and BM anomalies, thus can be classified as the same phenomenon as the CFOP and BM anomalies. Although the ACC anomaly is found to share some common factors with the CFOP, BM and VP anomalies, it differs significantly from these three anomalies. This study extends Desai et al. (2004) in that we not only compare the abnormal returns associated with ACC and CFOP, but also examines whether the joint return explanatory power of ACC and CFOP exceeds that of either ACC or CFOP

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