Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism

• 成果类型: Article
• 署名作者: Ball, Ray; Kothari, S. P.; Nikolaev, Valeri V.
• 署名单位: University of Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12026
• 发表日期: 2013
• 页码: 1071-1097
• 关键词: unconditional conservatism; earnings quality; capital-markets; to-book; prices; returns

摘要

A substantial literature investigates conditional conservatism, defined as asymmetric accounting recognition of economic shocks (news), and how it depends on various market, political, and institutional variables. Studies typically assume the Basu [1997] asymmetric timeliness coefficient (the incremental slope on negative returns in a piecewise-linear regression of accounting income on stock returns) is a valid conditional conservatism measure. We analyze the measure's validity, in the context of a model with accounting income incorporating different types of information with different lags, and with noise. We demonstrate that the asymmetric timeliness coefficient varies with firm characteristics affecting their information environments, such as the length of the firm's operating and investment cycles, and its degree of diversification. We particularly examine one characteristic, the extent to which unbooked information (such as revised expectations about rents and growth options) is independent of other information, and discuss the conditions under which a proxy for this characteristic is the market-to-book ratio. We also conclude that much criticism of the Basu regression misconstrues researchers' objectives.