Earnings-based and accrual-based market anomalies: one effect or two?

Ball, R., Bartov, E., 1996. How naive is the stock market's use of earnings information? Journal of Accounting and Economics 21, 319–337. Banz, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3, 10.1016/0304-405X(81)90018-0 Bernard, V., Thomas, J., 1989. Post earnings announcement drift: Delayed price response or risk premium? Journal of Accounting Research 27 (Suppl), 1–36. Bernard, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics, 13, 305, 10.1016/0165-4101(90)90008-R Collins, 1999 Dechow, 1994, Accounting earnings and cash flows as measures of firm performance, Journal of Accounting and Economics, 18, 3, 10.1016/0165-4101(94)90016-7 Drtina, 1985, Pitfalls in calculating cash flows from operations, The Accounting Review, 60, 314 Easton, 1993, SEC form 10K/10Q reports and annual reports to shareholders, Journal of Accounting Research, 31, 113, 10.2307/2491044 Foster, 1977, Quarterly accounting data, The Accounting Review, 52, 1 Foster, 1984, Earnings releases, anomalies, and the behavior of security returns, The Accounting Review, 59, 574 Hribar, 2000 Mishkin, 1983 Pfeiffer, 1999, Controlling for lagged stock price responses in pricing regressions, Journal of Accounting Research, 37, 239, 10.2307/2491406 Rangan, 1998, Implications of the integral approach to quarterly reporting for the post-earnings announcement drift, The Accounting Review, 73, 353 Reinganum, 1982, A direct test of Roll's conjecture on the firm size effect, Journal of Finance, 31, 27, 10.2307/2327115 Rendlemanm, 1987, Further insight into the standardized unexpected earnings anomaly, The Financial Review, 22, 131, 10.1111/j.1540-6288.1987.tb00322.x Revsine, 1999 Sloan, R., 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review 71 (3), 289–316. Weiss, 1999 Xie, 1999