Accounting Anomalies and Information Uncertainty
Accounting Anomalies and Information Uncertainty
复制标题
会计异常和信息不确定性
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
K. Schipper
中科院分区：
文献类型：
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作者：
J. Francis;Ryan LaFond;Per Olsson;K. Schipper
我们研究是否理性的投资者对信息的不确定性的反应解释的属性和回报，以会计为基础的交易异常。我们用两个盈余质量指标来代表信息不确定性：Dechow和Dichev（2002）模型中将应计项目与现金流联系起来的残差的标准差，以及Jones（1991）修正模型中业绩调整后的异常应计项目的绝对值。在1982-2001年期间，我们发现基于会计的交易异常（盈余公告后漂移，价值魅力和应计策略）与盈余质量相关。具体而言，极端异常组合比非极端组合具有更差的收益质量，并且在极端异常组合中，差的收益质量证券比好的收益质量证券更普遍并且获得更大的异常收益。与收益质量差的证券的不确定性的更大的分辨率相一致，质量差的证券的异常收益收敛到质量好的证券的异常收益作为后投资组合形成期间的延长。这些结果表明，信息不确定性在解释会计异常中具有重要作用。
We examine whether rational investor responses to information uncertainty explain properties of and returns to accounting-based trading anomalies. We proxy for information uncertainty with two measures of earnings quality: the standard deviation of the residuals from a Dechow and Dichev (2002) model relating accruals to cash flows, and the absolute value of performance-adjusted abnormal accruals from a modified Jones (1991) model. Over 1982-2001, we find that accounting-based trading anomalies (post-earnings announcement drift, value-glamour, and accruals strategies) are correlated with earnings quality. Specifically, extreme anomaly portfolios have poorer earnings quality than non-extreme portfolios, and within the extreme anomaly portfolios, poor earnings quality securities are more prevalent and earn larger abnormal returns than good earnings quality securities. Consistent with greater resolution of uncertainty for poor earnings quality securities, the abnormal returns to poor quality securities converge to the abnormal returns to good quality securities as the post-portfolio formation period lengthens. Taken as a whole, these results indicate that information uncertainty plays an important role in explaining accounting anomalies.
DOI：
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发表时间：
1997
期刊：
Accounting review: A quarterly journal of the American Accounting Association
影响因子：
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作者：
Christine Botosan
通讯作者：
Christine Botosan