Abstract
We document return comovement based upon accruals and NOA after controlling for other common return factors. The NOA factor has a Sharpe ratio over three times as large as the market factor, and over twice as large as the HML factor of Fama and French (1993). In time series tests, a model that includes the Fama-French factors, an accruals factor, and an NOA factor largely captures the accruals and NOA anomalies. However, further tests indicate that it is the NOA and accruals characteristics rather than factor loadings that predict returns. These findings favor a behavioral explanation for the accruals and NOA anomalies.
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