外文翻译盈余质量的定量分析Word格式文档下载.docx

外文翻译盈余质量的定量分析Word格式文档下载.docx

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Quantitativeanalysisofearningquality

EarningsqualityanalysishaslongbeenknownasthequalitativeinvestmentmanagersbestdefenseagainstlowqualityfinancialreportingWhilenotwidelyknownrecentacademicandproprietaryresearchshowsthatearningsqualitymetricsarealsousefulingeneratingalphainthecontextofquantitativeinvestmentandtradingstrategies

TheGradientAnalyticsEarningsQualityModelEQMisthefirstquantitativefactorthatobjectivelymeasuresearningsqualityacrossabroadspectrumofcompaniesforbothlonger-term3-12monthandshorter-term1-3monthholdingperiodsThemodelwasdevelopedusingrigorousstatisticalmethodstoensurearobustfactorthatgeneratesexcessreturnsonastandalonebasiswhilealsocapturingauniquedimensionofreturnsnotcapturedbyotherquantitativefactorsTheendproductisahighlyuniquefactorwithexceptionalreturnsandlowcorrelationinrelationtoothercommonlyusedfactorssuchasthosederivedfromestimaterevisionsearningsmomentumpricemomentumcashflowcorporateinsidergrowthandvalue

TheUSaccountingprofessionandtheSecuritiesExchangeCommissionSEChaveworkeddiligentlythroughtheyearstodevelopthemostrigoroussystemofaccountingproceduresintheworldNeverthelessthereisstillasignificantgapappropriatelycalledtheexpectationsgapbetweenwhatinvestorsandcreditorsexpectandwhattheaccountingprofessioncandeliver

TheexpectationsgapexistsinpartbecausepubliclytradedcompanieshaveagreatdealofdiscretioninchoosingaccountingprinciplesandinmakingestimatesthatimpacttheirreportedfinancialresultsUnderGenerallyAcceptedAccountingPrinciplesGAAPtheamountofdiscretionthatacompanyhasinpreparingfinancialstatementsiscontrolledbytwofundamentalprinciplesofaccountingconservatismandobjectivityHoweverinrealitythesetwoguidingprinciplesareoftenstretchedtothelimitorignored

WhenConservatismorObjectivityisImpairedEarningsQualityisCompromised

WhileintheoryafirmsaccountingstaffshouldemployproceduresthatareobjectiveandconservativeinpracticemanagementhasmanycompetingmotivationsthatdrivetheirchoiceofaccountingpoliciesandinfluencetheirperiodicestimatesBecauseofthesecompetingmotivationsmanycompaniesmanipulateaccountingnumbersinordertofacilitatethefinancialreportinggoalsestablishedbymanagementInthisregardvirtuallyallfirmsworkingwithintheboundsofGAAPuseminoraccountinggimmickstopresentfinancialresultsinaparticularlightieoverstateorunderstatetheirtrueprofitabilityorfinancialconditionMicroStrategyIncforexample1999-2000wasusinganaggressiverevenuerecognitionpolicythatwhilenotinviolationofGAAPtendedtooverstatethecompanystrueprofitabilityHoweveritwasntuntiltheSECmandatedachangeinthewaythattechnologycompaniesaccountforcontractrevenuethatthemarketascertainedtheextentoftheoverstatementalthoughaccesstoearningsqualityanalysis–qualitativeorquantitative–wouldhaverevealedthedeceptionpriortothechangeinaccountingrulesAftertheSECmandatedchangeMicroStrategywastwiceforcedtorestateitsearningsanditssharesfellover98intheensuing12-monthperiod

WhileMicroStrategystreatmentofcontractrevenueswasveryaggressivearguablyitwasoperatinginagrayareaofGAAPInmoreextremecaseshoweversomecompaniesgosofarastocommitfraudulentactsthatmateriallymisstatetheirfinancialstatementsinwaysthatdonotconformtoGAAPForexampleEnronusedanextremelyaggressiveschemeofoff-balance-sheetfinancinginordertohidemountinglossesTheendresultwasarguablyoneofthemostspectacularfinancialreportingdisastersinhistoryThoseunluckyenoughtoholdEnronsharesduringthisperiodlostcloseto100ofthevalueoftheirinvestment

FinallywhileintentionalmanipulationofaccountingnumbersiscommonearningsqualityproblemsarenotalwaystheresultofintentionalactsbymanagementForexamplethequalityofinventoriesatLucentTechnologiesasreportedintheirfirstquarter10QfiledMay2000suggestedanapparentbacklogofinventorythatindicatedapossibleslowdownonthehorizonInalllikelihoodthiswasatleastinitiallyacaseofearningsqualityproblemsresultingfromunintentionalactsslowsalesNeverthelessLucentsearningscontinuedtodisappointandthestockwasdownmorethan85intheensuingtwelvemonthsSubsequentevidencesuggeststhattheremayalsohavebeensomeintentionalmisstatementsonthepartoflucentmanagementinordertohidethemagnitudeofthesalesslowdown

Howdocompaniesmanipulateearnings

DespitetheeffortsoftheaccountingprofessiontoensureobjectivityandconservatismitisstillrelativelyeasytomanipulateaccountingnumbersthrougheitherunethicalbutnotnecessarilyillegalandorfraudulentmeansThelistpresentedbelowprovidesahighleveloverviewofhowManagementcanmanipulateaccountingnumbers

1Recordingfictitioustransactionsoramounts

2Recordingtransactionsincorrectly

3Recordingtransactionsearly

4Recordingtransactionslate

5Misstatingpercentagesoramountsinvolvedinatransaction

6Misstatingtheamountsofassetsorliabilities

7Changingaccountingmethodsorestimatesfornosubstantivereason

8Usingrelatedpartytransactionstoalterreportedprofits

AcademicResearchonEarningsQualityandFutureReturns

InadditiontotheanecdotalevidenceprovidedbyqualitativeearningsqualityservicesiethosethatusesubjectiveevaluationsoffinancialstatementstorenderanearningsqualitygradeacademicresearchalsosupportsthenotionthatquantitativemodelsofearningsqualitycanbeusedtoearnexcessreturnsThefollowingbriefreviewoftheacademicliteraturehighlightssomeofthemostimportantfactorsthatformthebasisforGradientsapproachtoquantitativelymodelingearningsqualityandforecastingrelatedexcessreturns

TheveryfirststudiestoinvestigateissuesrelatedtoearningsqualitywereconductedbyGPeterWilsonofHarvardUniversity19861987usinganeventstudymethodologyWilsonskeyconclusionsarethatoperatingcashflowsandtotalaccrualsiechangesincurrentaccrualsplusnoncurrentaccrualsaredifferentiallyvaluedandthatbotharevaluerelevantThatisthemarketappearstoreacttothedisclosureofdetailedcashflowandaccrualdatavaluerelevanceandthatcashflowsaremorehighlyvaluedthanaccrualsdifferentialvaluationWilsonsbasicfindingsarealsosupportedbyanumberofstudiesthatuseanassociationmethodology7includingRayburn1986BowenBurgstahlerandDaley1987CharitonandKatz1990LevantandZeroing1990Vickers1993Ali1994Pfeifferetal1998andVickersVickersandBetties2000

ThefactthatthemarketvaluesadollarofcashflowmorethanadollarofcurrentornoncurrentaccrualsimpliesthathigherlevelsofaccrualsareindicativeoflowerqualityofearningsInotherwordsthedegreetowhichacompanymustrelyonaccrualstoboostnetincomeresultsinlowerqualityearningsNeverthelessitispossiblethatthemarketseesthroughthedeceptionandappropriatelyvaluescompaniesbasedonsomenotionofbaselineorsustainableearningsHoweverthefirststudiestoinvestigatethisissueSloan1996andSwansonandVickers1997findthatcontrarytotheefficientmarketshypothesisdisaggregatingearningsintocashflowandaccrualcomponentsisusefulinidentifyingsecuritiesthatarelikelytooutperformorunder-performinthefutureThustheresultsofthesestudiesimplythatsecuritypricesdonotfullyreflecttheinformationcontainedinthecashflowandaccrualcomponentsofearnings

FollowinginthepathofSloan1996andSwansonandVickers1997academicresearchersarecurrentlyfocusingonthedevelopmentofsimpleempiricalmodelsthatobjectivelyassessearningsqualityinordertopredictfuturereturnperformanceSeeforexampleSloanSolomonandTuna2001ChanChanLegateesandLakonishok2001andPenmanandZang2001Table1belowsummarizestheresultsofrecentacademicworkingpapersthatfocusonthepredictiveabilityofsimpleearningsqualitymodelsAsshowninthetablethesestudiesfindthatcompanieswithrelativelyhighlowlevelsofaccrualstendtounder-performoutperformforperiodsof12-36monthsafterthedisclosureofdetailedfinancialdataSpecificallythereturnspreadbetweenstockswiththehighestlevelofaccrualslowestearningsqualityandthelowestlevelofaccrualshighestearningsqualityrangesfrom88to217dependingontheapproachusedbytheauthorsinformingportfoliosTheimplicationisthatmeasuresofearningsqualitycanbeusedinformingprofitableinvestingandtradingstrategies

GradientAnalyticsEarningsQualityModel

ThelatestacademicresearchdemonstratesthatthemarketdoesnotfullyimpoundinformationaboutearningsqualityatthetimethatdetailedfinancialstatementdataarereleasedThatisastatistically-basedapproachtoanalyzingearningsqualitycanyieldprofitableinvestmentandtradingstrategiesThusthenextstepwastodeveloparobustmodelthatisdesignedtooptimizetheexcessreturnsthatcanberealizedfromanearningsqualitystrategyTheGradientAnalyticsEarningsQualityModelEQMhasbeendevelopedtoachievethisgoal

TheGradientEQMisthefirstquantitativefactorthatmeasuresearningsqualityacrossabroadspectrumofcompaniesTheEQMprovidestwoweeklyscoresrangingfrom1strongsellto8strongbuyforeachofthetop5000companiesrankedbymarketcapitalizationTheLong-TermScoreprovidesa1-8rankingbasedonastocksexpectedfutureperformanceovera3-12monthholdi