The market pricing of accruals quality

• 成果类型: Article
• 署名作者: Francis, J; LaFond, R; Olsson, P; Schipper, K
• 署名单位: Duke University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2004.06.003
• 发表日期: 2005
• 关键词: disclosure level; Cash flows; earnings; equity; cost; INFORMATION; RISK; performance; prices; CHOICE

摘要

We investigate whether investors price accruals quality, our proxy for the information risk associated with earnings. Measuring accruals quality (AQ) as the standard deviation of residuals from regressions relating current accruals to cash flows, we find that poorer AQ is associated with larger costs of debt and equity. This result is consistent across several alternative specifications of the AQ metric. We also distinguish between accruals quality driven by economic fundamentals (innate AQ) versus management choices (discretionary AQ). Both components have significant cost of capital effects, but innate A Q effects are significantly larger than discretionary AQ effects. (c) 2005 Elsevier B.V. All rights reserved.