Lost in Standardization: Revisiting Accounting-based Return Anomalies Using As-filed Financial Statement Data
Posted: 12 Mar 2021
Date Written: September 1, 2020
SEC-mandated, machine-readable structured filings, or “as-filed data,” are an alternative source to Compustat for companies’ accounting data. Discrepancies between as-filed and Compustat data, apparently a result of Compustat’s standardizations, affect inferences about the existence and magnitude of the accruals anomaly: accruals calculated from as-filed (Compustat) data do (do not) predict returns. This difference is greater for firms whose accruals contain more investment-related information. Trades of hedge funds (and, to a lesser extent, mutual funds) that download structured filings correlate with the as-filed accruals signal. Inferences about four other accounting-based anomalies are similarly affected by discrepancies between data sources.
Keywords: asset pricing tests, accruals anomaly, data aggregators, standardization, XBRL, data quality
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