Tax conformity of earnings and the pricing of accruals
Tax conformity of earnings and the pricing of accruals
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DOI：
10.1007/s11156-012-0275-2
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发表时间：
2013-04-01
影响因子：
1.7
通讯作者：
Alam, Pervaiz
中科院分区：
文献类型：
--
作者：
Baez-Diaz, Anibal;Alam, Pervaiz
本研究的主要目的是探讨市场价格是否具有可操控性和非可操控性应计所得税。以前的研究已经考察了总应计利润的持续性（Sloan in Account Rev 71（3）：289-315，1996）和总应计利润的可支配和非可支配部分的持续性（Xie in Account Rev 76（3）：357-373，2001）。这些研究没有调查应计项目的税收组成部分。我们认为，应计税款的错误定价超过账面应计税款，因为在评估未来盈利的复杂性。我们使用了6,397家公司的样本和米什金模型来研究市场是否高估了应计税收而不是账面应计利润。描述性统计表明，企业越来越多地使用减少收入的应计税款，而不是增加收入的账面应计税款，从而导致税收和账面收益之间的差异越来越大。Mishkin检验的结果表明，税收应计项目的超额定价比账面应计项目更为严重。最后，对冲投资组合测试表明，投资者可以赚取超额收益，使用基于应计税款的对冲策略。有趣的是，基于使用账面应计利润的对冲策略的超额收益几乎消失了。
The primary purpose of this study is to investigate whether the market prices discretionary and non-discretionary tax accruals. Previous studies have examined the persistence of total accruals (Sloan in Account Rev 71(3):289-315, 1996) and the persistence of discretionary and non-discretionary components of total accruals (Xie in Account Rev 76(3):357-373, 2001). These studies do not investigate the tax components of accruals. We argue that tax accruals are mispriced more than book accruals because of the complexity of tax accruals in assessing future earnings. We use a sample of 6,397 firms and the Mishkin model to investigate whether the market overvalues tax accruals more than book accruals. Descriptive statistics show that firms are increasingly using more income decreasing tax accruals than income-increasing book accruals contributing to the growing divergence between tax and book earnings. Results from the Mishkin test show that the overpricing of tax accruals is more severe than that for book accruals. Finally, hedge portfolio tests show that investors can earn excess returns using a hedging strategy based on tax accruals. Interestingly, excess returns based on a hedging strategy using book accruals almost disappear.