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

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... 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. We investigate the market returns associated with three market anomalies: (1) the accruals (ACC) anomaly, and (2) two manifestations of the value/glamour anomaly: the cash-flows-to-price (CFOP) and the book-to-market (BM) anomalies. By examining the market returns generated from these three anomalies, we investigate whether the ACC and value/glamour anomalies are unique anomalies or just a function of the same anomaly generated from different fundamentals. The findings of this study enhance our knowledge on whether these anomalies, facilitating future research on the factors that creates the anomaly. Desai, Rajgopal, and Venkatchalam (2004) investigate the relation between the ACC and CFOP anomalies. They compare ACC with CFOP to determine whether ACC has incremental association with future returns after controlling for CFOP. Desai, Rajgopal, and Venkatchalam (2004) find that investing strategies relying on ACC no longer produce significant abnormal returns after controlling for CFOP and infer that the ACC anomaly is actually a manifestation of the value/glamour anomaly. However, previous studies (Barth and Hutton, 2003; Collins and Hribar, 2000) suggest that in order to infer whether two anomalies are driven by the same underlying factors, one must estimate both the incremental and the combined return predictive power of the two anomalies. It is not feasible to determine the relationships between two market anomalies by looking solely at whether one has incremental return predictive power over the other. Both the incremental and combined returns need to be estimated. This study adopts the methodology based on set theory as suggested in prior studies (Barth and Hutton, 2003; Collins and Hribar, 2000) to investigate whether the ACC is the same phenomenon as the value/glamour anomaly. We find that although the ACC anomaly shares some common factors with the BM and CFOP anomalies, it differs substantially from these two anomalies. These findings suggest that the ACC anomaly is essentially a different phenomenon from the value/glamour anomaly. These results contribute to the market anomaly research. First, it extends Desai, Rajgopal, and Venkatchalam (2004). This study examines the combined return predictive power of the ACC and CFOP anomalies in addition to their comparative return predictive power. Furthermore, while Desai, Rajgopal, and Venkatchalam (2004) www.ccsenet.org/ijbm