现金流量表中信息披露质量的优点和不足之处外文翻译文档格式.docx
- 文档编号:20491882
- 上传时间:2023-01-23
- 格式:DOCX
- 页数:8
- 大小:23.85KB
现金流量表中信息披露质量的优点和不足之处外文翻译文档格式.docx
《现金流量表中信息披露质量的优点和不足之处外文翻译文档格式.docx》由会员分享,可在线阅读,更多相关《现金流量表中信息披露质量的优点和不足之处外文翻译文档格式.docx(8页珍藏版)》请在冰豆网上搜索。
原文:
DisclosureQualityandtheMispricingofAccrualsandCashFlow
Inthispaper,weinvestigatetherolethatdisclosurequalityplaysintheaccuratevaluationofaccrualsandcashflow.Wepredictthatstockpricesoffirmswithhigher-qualitydisclosuresmoreaccuratelyreflectthepersistenceofaccrualsandcashflow.WetestourpredictionsusinganalystratingsofdisclosurepublishedintheannualAssociationforInvestmentManagementandResearch(AIMR)CorporateInformationCommitteeReportsfortheyears1982through1996.Theresultsprovide
strongevidenceofmispricingforthesubsetoffirmswithlowerqualitydisclosuresandofasignificantreductioninmispricingforthesubsetoffirmswithhigher-qualitydisclosures.WeconfirmtheresultsofourMishkintestsusingreturnsregressionsthatalsocontrolforinvestorsophistication,analystfollowing,andfirmlife-cyclestage.Overall,ourresultsdemonstratethemitigatingeffectthathigher-qualitydisclosurehasonmispricing.
Keywords:
Disclosurequality,mispricing,accrualanomaly,cashflowmispricing
1.Introduction
Sloan(1996)providesevidencethatinvestorsoverestimatethepersistenceofaccrualsandunderestimatethepersistenceofcashflow.Thisresultsinmispricing—labeledtheaccrualanomaly—whereatradingstrategydesignedtoexploitinvestors’misunderstandingofthepersistenceofearningscomponentsearnssignificantabnormalreturns.LiteratureextendingSloan(1996)primarilyfocusesonaccrualovervaluation(e.g.,Xie[2001];
ThomasandZhang[2002];
Collins,Gong,andHribar[2003]).However,recentresearchsuggeststhatresearchfocusingonaccrualmispricingwithoutalsoconsideringcashflowmispricingisincomplete(Desai,Rajgopal,andVenkatachalam[2004];
Yu[2007];
BaroneandMagilke[2008]).Thus,inthispaper,weinvestigatetherolethatdisclosurequalityplaysintheaccuratevaluationofbothaccrualsandcashflow.Specifically,weexaminewhetherinvestorspricesecuritiesasiftheybetterunderstandtheinformationinaccrualsandcashflowforfutureearningsforfirmswithhighdisclosurequalityrelativetofirmswithlowdisclosurequality.
Investigatingtheassociationbetweendisclosurequalityandthemispricingofaccrualsandcashflowisimportantbecauseithighlightstherolethatdisclosurequalityplaysinhelpinginvestorstoefficientlyimpoundaccountinginformationintoprices,thusestablishingalinkbetweendisclosurequalityandmarketefficiency.Assuch,thisstudytestsaconjectureinThomas(2000)thatthemispricingofearningsinformationmayresultfromlow-qualitydisclosures.Ourresultscontributetotheliteraturebyprovidingevidencethattheexistenceofatleastsomemarketanomaliesmaybereducedbyhigh-qualitydisclosure.Moreover,ourresearchmayprovideevidencetopolicymakersastheyweighthecostsandbenefitsofmandatingimproveddisclosures.
Recentresearchprovidesevidencethattemporaryaccountingdistortionsarisingfromaccrualestimationerrorsplaysasignificantroleinthelowerearningspersistenceofaccrualsrelativetocashflow(Richardson,Sloan,Soliman,andTuna[2006]).Theseaccrualestimationerrorscouldbearesultofbothunintentionalerrorsinforecastingthefutureeconomicbenefitsofaccrualsandintentionalmanagerialmanipulation(Xie[2001];
Richardsonetal.[2006]).Sloan(1996)arguesthatinvestorsfailtofullyunderstandthedifferentialpersistenceofaccrualsbecausetheydonotunderstandthegreatersubjectivityinvolvedinestimatingaccrualsrelativetocashflow.Recentresearchalsosuggeststhatinvestorsunderestimatethepersistenceofcashflowandthus,failtofullyunderstandthefutureeconomicbenefitsofcashflow(Desai,Rajgopal,andVenkatachalam[2004];
BaroneandMagilke[2008]).
Theorysuggeststhatincreaseddisclosureplaysaroleinequitymarketsbyreducinginformationasymmetries,increasingliquidity,andreducingthecostofcapital(DiamondandVerrecchia[1991];
KimandVerrecchia[1994]).However,veryfewpapersinvestigatetherolethatdisclosureplaysinefficientpricing.Ourfocusondisclosureisbasedontheideathatmoreinformativedisclosuresallowinvestorstomorefullyunderstandtheinformationinaccrualsandcashflowforfutureearnings.Weconjecturethat,allthingsequal,investorscanbetterunderstandthemanagerialassumptionsusedtorecordaccrualsandtherefore,canbetterforecastthefutureeconomicbenefitsandvaluationimplicationsofaccrualswhendisclosurequalityishigher.Wealsoconjecturethat,allthingsequal,investorscanbetterunderstandtheinformationincashflowforfutureearnings,andthuscanmoreaccuratelyvaluecashflow,whendisclosurequalityishigher.Morespecifically,wepredictthatstockpricesoffirmswithhigher-qualitydisclosuresmoreaccuratelyreflectthelower(higher)earningspersistenceofaccruals(cashflow)relativetofirmswithlower-qualitydisclosures.
WetestourpredictionsusinganalystratingsofdisclosurequalitypublishedintheannualAssociationforInvestmentManagementandResearch(AIMR)CorporateInformationCommitteeReportsfortheyears1982to1996inclusive.Wefollowastringofaccountingliterature,beginningwithLangandLundholm(1993),whichusestheAIMRoveralldisclosurescoresasanempiricalmeasureofoveralldisclosurequality.1WediscusstheAIMRscoresinfurtherdetailinSection2.
FollowingSloan(1996),weusetheMishkin(1983)rationalexpectationsframework(hereafterreferredtoasthe‘‘Mishkintest’’)toexaminewhethertheearningsexpectationsembeddedinstockpricesaccuratelyreflectthedifferentialpersistenceofthecomponentsofearnings(i.e.,accrualsandcashflow).WefirstconfirmthatthemispricingphenomenondocumentedbySloan(1996)occursinourfullsampleoffirms.Thatis,wefindthatinvestorsbehaveasiftheyoverestimatethepersistenceofaccrualsandunderestimatethepersistenceofcashflow.WethenrepeattheMishkintestusingtwosubsamplesoffirms:
High-QualityDisclosers(i.e.,firmsinthetopquintileofdisclosurequality)andLow-QualityDisclosers(i.e.,firmsinthebottomquintileofdisclosurequality).2Theresultsofthesubsampleanalysisrevealthatthemarketpricesaccrualsandcashflowdifferentlyforthedifferentsubsamples.Specifically,wefindsignificantoverpricingofaccrualsandunderpricingofcashflowforLow-QualityDisclosers.However,thereisnoevidenceofmispricingofaccrualsandcashflowforHigh-QualityDisclosers.Thisresultimpliesthatinvestorsbetterunderstandtheinformationinaccrualsandcashflowforfutureearningswhendisclosurequalityishigh.
Followingpriorliterature(e.g.,Collins,Gong,andHribar[2003];
Desai,Rajgopal,andVenkatachalam[2004];
Mashruwala,Rajgopal,andShevlin[2006];
BaroneandMagilke[2008]),weuseacross-sectionalregressionapproachtoinvestigatewhetheraccrualsandcashflowareassociatedwithfuturereturnsaftercontrollingforvariablesknowntopredictfuturereturns(i.e.,sizeandbook-to-marketratio).Consistentwithrecentresearch,inourfullsample,wefindnoevidencethataccrualsareassociatedwithfuturereturnswhencashflowandthecontrolvariablesareincludedinthemodel(Desai,Rajgopal,andVenkatachalam[2004];
BaroneandMagilke[2008]).However,wedofindevidencethatisconsistentwiththeexistenceofcashflowmispricing(Desai,Rajgopal,andVenkatachalam[2004];
BaroneandMagilke[2008]).
Wethenperformtheanalysesusingthehigher-andlower-qualitydisclosuresubsamples.WefindthatcashflowissignificantlyandpositivelyassociatedwithfuturereturnsfortheLow-QualityDisclosers,andwefindasignificantreductioninmispricingfortheHigh-QualityDisclosers.3Moreover,injointtests,wefindnoevidenceofasignificantassociationbetweencashflowandfuturereturnsfortheHigh-QualityDisclosers.Alsoconsistentwiththeanalysisusingthefullsample,wefindnoevidenceofanassociationbetweenaccrualsandfuturereturnsoncecashflowandcontrolvariablesareincludedinthemodelforeitherofthedisclosuresubsamples.
Finally,weperformtheanalyseswhilecontrollingforvariablesthatareknowntobecorrelatedwithbothAIMRscoresandreturns.WecontrolforhighinstitutionalownershipbecausepriorliteraturedocumentsthatfirmswithhigherAIMRrankingshavegreaterinstitutionalinvestorownership(BusheeandNoe[2000])andthatfirmswithhighlevelsofinstitutionalinvestorownershiphavestockpricesthatmoreaccuratelyreflectaccrualpersistence(Collins,Gong,andHribar[2003]).Wealsocontrolforanalystfollowingbecausepriorresearchfindsthatfirmswithhigherdisclosurescoresarefollowedbymoreanalysts(LangandLundholm[1996]).Moreover,controllingforanalystfollowingrulesoutthealternativeexplanationthatourdisclosuremeasureismerelyproxyingforanalystfollowing.Finally,wecontrolforthecurrentlife-cyclestageofthefirm(i.e.,firmage)becausepriorliteraturefindsthataccrualsdifferwithchangesinafirm’slifecycle(AnthonyandRamesh[1992];
Myers,Myers,andOmer[2003])andbecauseincreasedvoluntarydisclosureismorelikelyamongyoungerfirms(Chen,DeFond,andPark[2002]).Here,wefindthattheinferencesfromthistestareconsistentwiththeinferencesdrawnfromourMishkintests.Overall,ourresultssuggestthathigher-qualitydisclosuremitigatesthemispricingofearningscomponents.
Theremainderofthispaperisorganizedasfollows.InSection2,wesummarizetheliteraturemostrelevanttothisstudyanddevelopourhypotheses.InSection3,wediscussthedataandsample.WepresentourresultsinS
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 现金流 量表 信息 披露 质量 优点 不足之处 外文 翻译