Accruals quality (AQ) measures the extent to which a firm’s reported accruals map to cash flows, and is employed in the literature as a proxy for information risk (e.g., Bharath et al. 2008; Kravet and Shevlin 2009). There has been considerable debate regarding whether AQ is priced in stock markets. Recently, Kim and Qi (2010) analyze annual abnormal returns to AQ-defined strategies, and find that AQ is a priced risk factor if low-priced stocks are excluded or controlled. However, Mashruwala and Mashruwala (2011; hereafter “MM”) find no evidence that AQ is priced on average across the year, and that abnormal positive returns to AQ-based strategies occur exclusively in January (the first month of the tax year for individual investors), regardless of whether low-priced stocks are controlled. This leads MM to argue that the absence of both an annual AQ premium, and of returns to AQ outside the turn of the tax year, suggests that the apparent pricing of AQ reflects tax-loss selling of poorAQ stocks in December, rather than compensation for information risk. MM suggest that contrary findings in prior research (e.g., Aboody et al. 2005; Kim and Qi 2010) may reflect time variation in the extent to which January premia reverse across the rest of the year, and the failure to account for this seasonality in asset pricing tests. Consequently, MM question the meaningfulness of research that employs AQ as an information risk proxy. To further investigate whether the pricing of AQ is purely a seasonal effect that reverses across the remainder of the year, and whether any seasonality observed relates to tax incentives, we study the annual and intra-year pricing of AQ in the United States and in three other large market economies for which sufficient data exists to estimate AQ robustly (Australia, Japan and the UK). Importantly, there are incentives for tax-loss selling in each jurisdiction, but these countries differ both in their tax-year end dates and the alignment of the tax and standard financial reporting years. By studying jurisdictions with a range of tax year end dates, we are able to separate tax year effects from end of financial year or end of calendar year effects that may confound tests that rely purely on U.S. data (where the end of the tax year for individual investors coincides with the end of financial year for the majority of firms, the holiday period and generally lower trading volume).