The Role Of Return Dispersion In The Interpreting Of The Accrual Anomaly

In this study is examined the role of return dispersion in the interpreting of the accrual anomaly and also is assessed the impact of return dispersion on the risk premium of low and high accrual portfolios. For this purpose, sample of 113 firms listed in the Tehran Stock Exchange were studied in the time period from 2009 to 2014 To test the study hypothesis is used Fama and French's pricing model.
The results showed that the dispersion of returns / relative return resulting in a significant and positive risk premium over the stock and accrual portfolio and there is a significant difference between the impact of the relative return dispersion on risk premium of low-accruals and high-accruals companies.