Accruals, cash flows, and aggregate stock returns

• 成果类型: Article
• 署名作者: Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.11.009
• 发表日期: 2009
• 页码: 389-406
• 关键词: Aggregate stock returns; accruals; Cash flows; Discount rates; behavioral finance

摘要

This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In addition, innovations in accruals are negatively contemporaneously correlated with aggregate returns, and innovations in cash flows are positively correlated with returns. These findings suggest that innovations in accruals and cash flows contain information about changes in discount rates, or that firms manage earnings in response to marketwide undervaluation. (C) 2008 Elsevier B.V. All rights reserved.