Abstract

We apply the set theory to investigate the patterns of market returns associated with three market anomalies to
explore their relationships: (1) the accruals anomaly (ACC), and (2) two manifestations of the value/glamour
anomaly: the cash flows-to-price (CFOP) and the book-to-market anomalies (BM). The purpose is to determine
whether these are truly unique anomalies caused by different factors or whether they are manifestations of the
same underlying phenomenon. The results suggest that although the accruals anomaly shares some factors with
the CFOP and BM anomalies, the accruals anomaly has characteristics unique and separate from the two
value/glamour anomalies.

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