미래수익성 구성요소에 대한 시장의 가치평가

Prior research reveals that the accrual component of profitability is less persistent than the cash flow component, and that investors fail to fully appreciate their differing implications for future profitability(Sloan 1996). However, accruals are a component of growth in net operating assets as well as a component of profitability. Just as we can disaggregate profitability into accrual and cash flow from operations, we can disaggregate growth in net operating assets into accruals and growth in long－term net operating assets. We can also disaggregate return on equities into return on invested capitals and financial leverage effects.We employ Mishkin(1983) methodology to test the rational expectation hypothesis that market prices accruals and growth in long－term net operating assets rationally.We find that, after controlling for current profitability, both components of growth in net operating assets－accruals and growth in long－term net operating assets－have no association with one－year ahead return on equities.We also find that, after controlling for current profitability, accruals are overpriced and growth in long－term net operating assets are underpriced in the market. These result are not consistent with conservative accounting and diminishing marginal return on investment. We also find that, after controlling for current profitability, financial leverages have positive association with one－year ahead return on equities.