Book-to-market and accruals
✓ aliveAccrualsBMValue· Accounting data
Binary variable equal to 1 if stock is in the highest Accrual quintile and the lowest BM quintile, and equal to 0 if stock is in the lowest Accrual quintile and the highest BM quintile. Exclude if book equity (ceq) is negative.
IS Sharpe (1964–2003)
0.940
+17.4% p.a.
OOS Sharpe (2004–2024)
0.654
+12.1% p.a.
Sharpe decay
+30.4%
(IS − OOS) / |IS|
IS vol
18.5%
annualized
Cumulative return (last 40 years, monthly)
+32921%1984-012024-12
Publication details
AuthorsBartov and Kim
PaperBartov and Kim (2004)
JournalReview of Quantitative Finance and Accounting
Publication year2004
Original sample1980–1998
IS T-statistic5.50
More Value anomalies
Predicted div yield next month+1.42Net Payout Yield+0.89Operating Cash flows to price+0.68Book to market using December ME+0.68Sales-to-price+0.64Efficient frontier index+0.49
See all Value anomalies →