THE MISPRICING OF ABNORMAL ACCRUALS
THE MISPRICING OF ABNORMAL ACCRUALS
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DOI：
10.2308/accr.2001.76.3.357
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发表时间：
2001-07
期刊：
影响因子：
--
通讯作者：
Hong Xie
中科院分区：
文献类型：
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作者：
Hong Xie
本文考察了Jones（1991）模型估计的异常应计项目（在以前的文献中通常被称为“可操纵应计项目”）的市场定价，以检验股票价格是否合理地反映了这些应计项目对未来一年盈利的影响。使用米什金（1983）和斯隆（1996）使用的对冲投资组合检验方法，我发现市场高估了异常应计项目的持续性或一年前的盈利影响，从而高估了这些应计项目。这些结果扩展了Subramanyam（1996），证明了市场不仅定价，而且高估了异常应计利润。他们还表明，斯隆（1996）记录的总应计项目的定价过高主要是由于异常应计项目。结果是强大的五个替代措施的异常应计项目，仍然持有当我估计异常应计项目后，控制主要的不寻常的，但很大程度上是非可自由支配的应计项目。后一个发现与市场过度预期的观点一致..
This paper examines the market pricing of Jones (1991) modelestimated 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. These results extend Subramanyam (1996) by demonstrating that the market not only prices, but also overprices abnormal accruals. They also suggest that the overpricing of total accruals that Sloan (1996) documents is due largely to abnormal accruals. The results are robust to five alternative measures of abnormal accruals, and still hold when I estimate abnormal accruals after controlling for major unusual but largely nondiscretionary accruals. The latter finding is consistent with the notion that the market overp...