%0 Journal Article %T Accruals, Cash Flow, and Operating Profitability in the Cross Section of Stock Returns; Evidence from Tehran Stock Exchange (TSE) %J Accounting and Auditing Review %I University of Tehran %Z 2645-8020 %A Osoolian, Mohammad %A Sadeghi Sharif, Seyed Jalal %A Khalili, MohammadAmin %D 2018 %\ 02/20/2018 %V 24 %N 4 %P 463-482 %! Accruals, Cash Flow, and Operating Profitability in the Cross Section of Stock Returns; Evidence from Tehran Stock Exchange (TSE) %K Accrual anomaly %K Accruals %K Cash-based operating profitability %K Operating profitability %K Stock Returns %R 10.22059/acctgrev.2018.240522.1007683 %X Accruals are the non-cash component of earnings. Cash-based operating profitability is a measure that excludes accruals from the operating profitability. We used this measure to predict stock returns. With a sample of 164 stocks from the Tehran Stock Exchange (TSE) over the period of 2006 to 2015. We observed the relations between accruals, operatingprofitability and cash-based operating profitability in the cross section of stock returns and found that cash-based operating profitability is a better measure compared to accruals and operating profitability in predicting stock returns. We also performed portfolio sorts and priced accrual-size portfolios using Fama and French three-factor model augmented with accruals, operating profitability and cash-based operating profitability. It turned out that the three factor model which was augmented with cash-based operating profitability factor outperformed other augmented models for pricing portfolios sorted by accruals-size according to well-known performance measurement tests such as GRS. %U https://acctgrev.ut.ac.ir/article_65133_6688e3a27ddff879dd1cc388b097b8e2.pdf