Accrual reversals, earnings and stock returns

• 成果类型: Article
• 署名作者: Allen, Eric J.; Larson, Chad R.; Sloan, Richard G.
• 署名单位: University of Southern California; University of Houston System; University of Houston; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2013.05.002
• 发表日期: 2013
• 关键词: Cash flows; management; QUALITY

摘要

We show that accruals consist of at least two distinct underlying processes, one with positive serial correlation and the other with negative serial correlation. We also find that the accrual reversals characterizing the negatively serially correlated process are predominantly good accruals that correctly anticipate fluctuations in working capital. Accrual estimation error is the least persistent component of earnings, while accruals relating to firm growth are less persistent than cash flows. Finally, the mispricing of accruals appears to be driven by a combination of accrual estimation error and firm growth. (C) 2013 Elsevier B.V. All rights reserved.