The recent literature investigating profitability anomalies defines profitability in various ways (i.e., gross, operating, and cash based). We show that limits to arbitrage are associated with returns of gross and cash‐based operating profitability anomalies, suggesting mispricing. In contrast, returns from the operating profitability strategy have no relation with barriers to arbitrage and exhibit no evidence of mispricing. Additionally, we show that the differential effects of limited arbitrage‐related mispricing of gross and cash‐based operating profitability anomalies are attributable to their respective correlations with selling, general, and administrative (SG&A) expense and accruals anomalies. We find that SG&A return predictability, like that of accruals, is related to limits to arbitrage. These findings suggest that investors and researchers should proceed with caution when searching for return predictability by redefining profitability measures.

中文翻译：

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名字叫什么？盈利异常和套利限制的警示语

最近研究利润率异常的文献以各种方式（例如，基于毛额，营业额和现金）定义了利润率。我们表明，套利限制与总收益和基于现金的经营利润率异常的回报相关，这表明定价错误。相反，经营盈利策略的收益与套利壁垒没有关系，也没有证据表明存在定价错误。此外，我们表明，与套利相关的总价和基于现金的经营利润率异常的有限定价错误的不同影响是由于它们分别与销售，一般和行政（SG＆A）费用和应计异常有关。我们发现，SG＆A收益的可预测性（如应计收益）与套利限制有关。