Abstract:
Based on Fama-French three factors model and multi-factors pricing model, this paper investigates the market pricing of accruals. New findings show that, first, little empirical support for a significant relation between stocks expected return and characteristics of accruals or risk factor related with accruals; Second, consistence with evidence from the American stock market, Fama-French three factors model can not explain for accruals, while multi-factors pricing model can partially account for accruals anomalies, especially, the accruals sorting with middle size and accruals can be explained completely by multi-factors pricing model; third, there is large negative intercepts for portfolios sorting with large size and accruals when multi-factors pricing model is used to pricing of accruals anomalies, and the market mispricing may cause it.