noa anomaly
What it checks
When a company's operating assets balloon faster than its lagged total assets, that bloat predicts underperformance. Inverse of the asset-quality story — we short the bloated names.
Mechanism
Hirshleifer-Hou-Teoh-Zhang 2004 RAS introduce NOA = (TA−cash) − (TL−LTD−STD) scaled by lagged total assets as a balance-sheet bloat diagnostic. High NOA captures cumulative gap between accounting earnings and free cash flow; orthogonal to Sloan's quarterly accruals. Effect: short top decile -6 to -9% ann. underperformance.
Signal rule
NOA/lagged-TA, 12Q own-history z; long low + 60d uptrend, short high + 60d downtrend.
Data dependencies
fundamentals_quarterlyQuarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
Expected edge
- Paper alpha
- 6-9% ann. decile spread; 2-4% OOS
- Paper window
- 1964-2002
Hirshleifer 2004: 6-9% ann. high-vs-low decile; 2-4% post-publication OOS.
Related families
sloan accrualsAccountingEarnings persistence is much lower in firms with high accruals. Going long low-accrual and short high-accrual delivers ~10% annualized over 1962-1991 (Sloan 1996, Accounting Review). Richardson-Sloan-Soliman-Tuna (2005, JAE) refined the measure to a broader balance-sheet accrual definition. Status (2024 replication consensus): alive in small caps, faded in large caps post-2003.
piotroski f scoreQualityPiotroski (2000, JAR) showed that a 9-signal accounting score distinguishes winners from losers within the high-B/M (value) universe. Long F>=7 / avoid F<=2 added ~7.5% annualized over 1976-1996 inside the value tertile, and ~23% in the highest B/M decile. Modern replications through 2021 confirm the score still differentiates forward returns even without the value gate; works especially well in uncertainty regimes when low-quality distressed names are marked down faster.
asset growth anomalyQualityFirms with the highest YoY total-asset growth subsequently underperform low-growth peers by ~8% ann. (Cooper-Gulen-Schill 2008 RFS). Captures managerial overconfidence, empire-building, and overpayment for acquisitions that the market under-discounts at the time of expansion and corrects over 1-3 years. Anchors the FF5 CMA factor leg. Replicated internationally (Watanabe-Xu-Yao-Yu 2013 ROF; Titman-Wei-Xie 2013).
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