Discussion of Analysts' Cash Flow Forecasts and the Decline of the Accruals Anomaly and Analysts' Cash Flow Forecasts and Accrual Mispricing

• 成果类型: Article
• 署名作者: Ecker, Frank; Schipper, Katherine
• 署名单位: Duke University
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12081
• 发表日期: 2014
• 页码: 1171-1190
• 关键词: earnings; RISK

摘要

We discuss three research design choices made by Mohanram (2014) and Radhakrishnan and Wu (2014) in their examinations of the link between cash flow forecasts and declines in returns to a trading strategy based on past realized accruals (the accruals anomaly). The first choice is the use of pooled estimation combined with an indicator for the incidence of a cash flow forecast; we argue that the over-time increase in cash flow forecast incidence acts as an implicit weighting scheme in pooled estimations that attributes a higher weight to observations from periods with low accrual anomaly returns. The second choice is to base the analysis on only the existence of cash flow forecasts, as opposed to the information content of those forecasts. We argue that the mechanisms by which investors would use the information in cash flow forecasts to forecast accruals are not clearly specified, and neither paper presents direct evidence of the usefulness of the information in cash flow forecasts in general or, more specifically, for mitigating the accruals anomaly. The third choice pertains to the identification and treatment of outlier observations; we encourage future research to analyze the pros and cons of using statistical methods to identify outliers, particularly in tests of trading strategies.