Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/22959
Title: Asymmetric returns and the economic content of accruals and investment
Authors: Del Viva, Luca 
Kothari, S. P. 
Lambertides, Neophytos 
Trigeorgis, Lenos 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Asymmetric returns;Idiosyncratic skewness;Investment and accruals;Nonlinear equity value
Issue Date: Jun-2021
Source: Management Science, 2021. vol. 67, no. 6, pp. 3921 - 3942
Volume: 67
Issue: 6
Start page: 3921
End page: 3942
Journal: Management Science 
Abstract: This study contributes to our understanding of what accruals capture and how they relate to the distribution of future returns. It examines the past and future growth components of accruals and shows that, whereas past growth is negatively associated with idiosyncratic skewness, future growth is positively associated with it. In addition, although both past and future growth are negatively associated with future returns, the association is more pronounced for past growth when volatility is lower, but for future growth when volatility is higher. The study also shows that the association between the future growth component and future returns reverses in the long run, whereas the association between past growth and future returns does not.
URI: https://hdl.handle.net/20.500.14279/22959
ISSN: 1526-5501
DOI: 10.1287/mnsc.2020.3676
Rights: © INFORMS
Type: Article
Affiliation : Ramon Llull University 
U.S. Securities and Exchange Commission 
Massachusetts Institute of Technology 
Cyprus University of Technology 
University of Cyprus 
Appears in Collections:Άρθρα/Articles

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