Are Book-Tax Differences Mispriced? Academic Article

abstract

• ABSTRACT I examine whether book-tax differences (BTDs) are mispriced. I predict that BTD mispricing is the operating cash flows-to-price (CFO/P) anomaly in disguise. Using both time-series asset pricing tests and cross-sectional returns tests, I provide consistent evidence that returns to trading on BTDs are explained by CFO/P. Rather than being an independent anomaly, the findings indicate that any evidence of BTD mispricing is subsumed by the broader CFO/P anomaly. These findings stand in contrast to many studies that infer BTDs possess unique information for future earnings reflected in stock prices with a delay. JEL Classifications: G12; G14; M41

authors

• Hepfer, Bradford

published proceedings

• The Accounting Review

author list (cited authors)

• Hepfer, B. F.

citation count

• 0

complete list of authors

• Hepfer, Bradford F

publication date

• May 2023

publisher

• American Accounting Association  Publisher

published in

• Accounting Review  Journal

keywords

• 35 Commerce, Management, Tourism And Services
• 3501 Accounting, Auditing And Accountability
• 3502 Banking, Finance And Investment

Digital Object Identifier (DOI)

• 10.2308/tar-2020-0181

start page

• 285

end page

• 306

volume

• 98

issue

• 3

URL

• http://dx.doi.org/10.2308/tar-2020-0181