The q-Theory Approach to Understanding the Accrual Anomaly

• 成果类型: Article
• 署名作者: Wu, Jin (Ginger); Zhang, Lu; Zhang, X. Frank
• 署名单位: University System of Georgia; University of Georgia; Yale University; University of Michigan System; University of Michigan; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2009.00353.x
• 发表日期: 2010
• 页码: 177-223
• 关键词: risk-return tradeoff; CROSS-SECTIONAL TEST; earnings management; stock returns; long-run; Expected returns; IMPLIED COST; MARKET; INVESTMENT; analysts

摘要

Interpreting accruals as working capital investment, we hypothesize based on q-theory that firms optimally adjust their accruals in response to discount rate changes. A higher discount rate means less profitable investments and lower accruals, and a lower discount rate means more profitable investments and higher accruals. Our evidence supports this optimal investment hypothesis: (1) adding an investment factor into standard factor regressions substantially reduces the magnitude of the accrual anomaly, often to insignificant levels; (2) accruals covary negatively with discount rate estimates from the dividend discounting model, and for the most part, with estimates from the residual income model; (3) accruals with low accounting reliability covary more with capital investment than accruals with high accounting reliability; and (iv) expected returns to accruals-based trading strategies are time-varying, suggesting that the deterioration of the accrual effect in recent years might be temporary and likely to mean-revert in the near future.