Dismantling the Global Accrual Anomaly

International evidence on the accrual anomaly is sparse and conflicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might not hold if we subject the returns to multiple hypotheses’ test procedures. For a sensitivity check, we apply the same battery of statistical tests to the international momentum effect. We find some evidence for the momentum effect. However, the global accrual anomaly does not survive our tests, and thus may be due to data snooping.