Explaining Of the Accrual Anomaly and Investment Anomaly by Return Dispersion

The accrual anomaly is one of the most long-standing asset-pricing anomalies. The accrual and investment anomalies express negative relationship between accruals and investment with future stock returns, respectively. These two anomalies will be related because both contain growth information. On the other hand, return dispersion, which is proxy for economic condition, linked with growth-related risk. Therefore, return dispersion can explain accruals and investment anomalies. Hence, low-accruals and low-investment firms have higher exposure to return dispersion risk and, thus, generate higher expected returns as a compensation for this risk. For test research hypotheses was used two-step cross-sectional and time series regressions. For this intent based on monthly data, a sample of 125 firms listed in Tehran Stock Exchange during the period of 2007-20016 is used. The results of research indicate with controlling for Fama and French three-factor, return dispersion has positive and significant risk premium in the cross section of the firm stock returns, and accrual and investment portfolios. Therefore, first to fifth research hypotheses is confirmed. Also, relative return dispersion carries a positive and significant risk premium in the accrual hedge portfolios. Therefore sixth research hypotheses is confirmed. And, relative return dispersion carries a negative and insignificant risk premium in the investment hedge portfolios. Therefore seventh research hypotheses isnt confirmed.