作者：Xie, H
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper examines the market pricing of Jones (1991) model-estimated abnormal accruals (often termed discretionary accruals in the prior literature) to test whether stock prices rationally reflect the one-year-ahead earnings implications of these accruals. Using the Mishkin (1983) and hedge-portfolio test methods Sloan (1996) employs, I find that the market overestimates the persistence, or one-year-ahead earnings implications, of abnormal accruals, and consequently overprices these accruals...
