The study investigates the effects of two potentially problematic research design choices which are often made in accounting-based studies of anomalies. We explore these issues by re-examining the results in Piotroski (2000, Journal of Accounting Research 38, 1-41), who finds that a simple, financial statement-based heuristic, when applied to a subset of firms with high book-to-market ratios, can discriminate between the firms that will eventually provide high returns and those that will be poor performers. We find that the relationship between Piotroski`s fundamental signals and subsequent returns is partly driven by the choice of return accumulation periods and the use of equally weighted returns. When the research design controls for both problems, the relationship disappears. Because the methods used in Piotroski are typical of those often employed in the accounting literature, this study suggests that evidence of profitable trading strategies and market inefficiency in the literature is likely to be overstated.