Accounting#37tier 1live in production

`sloan accruals`

cadence: Quarterlydata: lowlong onlyshort onlylong short

1996

#37 sloan_accruals — Sloan 1996 accruals anomaly.

Mechanism

Earnings 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

Signal rule

balance-sheet accruals z; long low (cash-heavy), short high (accrual-heavy)

Data dependencies

fundamentals_quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.

Expected edge

~10% ann. long-short in Sloan 1996; 4-6% post-publication

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

BRK.B BLK

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

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buyback driftAccounting

Companies announcing open-market share repurchases earn ~3-4% abnormal return over the subsequent 12 months. Effect is strongest in "value-distressed" announcers (book-to-market in the top quartile, recent price

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sloan accruals