We investigate the extent to which a parsimonious measure of maximum likely loss that captures the tail risk of returns—known as value-at-risk (VaR)—explains the relationship between accruals and the cross-sectional dispersion of expected stock returns. We construct portfolios based on Sloan’s (Account Rev 71(3):289–315, 1996) total accruals (TA) measure and individual asset-level VaR, which reflects the dynamic behavior of the asset distribution. We document that VaR is in congruence with portfolio-level accruals and that there is a significant positive relationship between VaR and the cross-section of portfolio returns. Allowing a double-sort involving VaR and TA further suggests that the spread between low- and high-TA portfolios is significantly attenuated after controlling for VaR. We also conduct a firm-level cross-sectional regression analysis and demonstrate that the TA- and VaR-based characteristics—but not the factor-mimicking portfolios—are compensated with higher expected returns, and that VaR neither subsumes nor is subsumed by TA. Finally, our cross-sectional decomposition analysis suggests that the firm-level VaR captures at least 7% of the accrual premium even in the presence of size and book-to-market. These findings lend support for the mispricing explanation of the accrual anomaly.

我们调查了一种最大可能损失的简约测量方法来捕获收益的尾部风险，即所谓的风险价值（VaR），在何种程度上解释了权责发生制与预期股票收益的横截面分散之间的关系。我们根据斯隆（Account Rev 71（3）：289-315，1996）总应计（TA）度量和单个资产水平的VaR来构建投资组合，这反映了资产分配的动态行为。我们证明，VaR与投资组合级应计金额一致，并且VaR与投资组合收益的横截面之间存在显着的正相关关系。允许涉及VaR和TA的双重排序进一步表明，控制VaR后，低TA和高TA投资组合之间的价差会大大减弱。我们还进行了公司层面的横截面回归分析，并证明了基于TA和VaR的特征（而不是模仿因子的投资组合）被较高的预期收益所补偿，并且VaR既不包含也不包含在TA中。最后，我们的横截面分解分析表明，即使存在规模和按市值计价的情况下，公司一级的VaR仍能获得至少7％的应计溢价。这些发现为应计异常的错误定价解释提供了支持。我们的横截面分解分析表明，即使存在规模和按市值计价的情况，公司一级的VaR仍能获得至少7％的应计溢价。这些发现为应计异常的错误定价解释提供了支持。我们的横截面分解分析表明，即使存在规模和按市值计价的情况，公司一级的VaR仍能获得至少7％的应计溢价。这些发现为应计异常的错误定价解释提供了支持。