Percent Total Accruals
✓ alivePctTotAccQuality· Accounting data
Net income (ni) minus (purchase of common and preferred stock (prstkcc) minus sale of common and preferred stock (sstk) plus dividends (dvt), cash flow from operations (oancf), from financing (fincf) and investment (ivncf)). Scaled by absolute value of net income.
IS Sharpe (1988–2010)
0.775
+4.6% p.a.
OOS Sharpe (2011–2024)
0.786
+4.6% p.a.
Sharpe decay
-1.4%
(IS − OOS) / |IS|
IS vol
5.9%
annualized
Cumulative return (last 40 years, monthly)
+400%1988-072024-12
Publication details
AuthorsHafzalla, Lundholm, Van Winkle
PaperHafzalla, Lundholm, Van Winkle (2011)
JournalAccounting Review
Publication year2011
Original sample1989–2008
IS T-statistic3.29
More Quality anomalies
gross profits / total assets+0.81Return on assets (qtrly)+0.74Change in order backlog+0.74Mohanram G-score+0.58operating profits / book equity+0.55Operating profitability R&D adjusted+0.55
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