발생액의 지속성, 가치관련성 및 시장효율성

This study examines whether components of operating income affect differentially persistence on one-year-ahead operating income and whether market participants evaluate their implications properly. Expanding Sloan (1996), this study investigates persistence of earnings components and their relation to stock returns by decomposing current accruals further into (i) current accruals preceding cash flows that affect a firm’s earnings first and then its cash flows (e.g., accounts receivable or accounts payable) and (ii) those following cash flows that affect a firm’s cash flows first and then its earnings (e.g., prepaid expenses or unearned revenue). Note that operating income is the sum of accruals and operating cash flows. We examine the relation between current accruals following cash flows or current accruals preceding cash flows and one-year-ahead operating income by decomposing them into (i) the first-order autocorrelations of each type of current accruals and (ii) the relation between each type of current accruals and one-year-ahead operating cash flows. As for (i), the first-order autocorrelations of either current accruals following cash flows or current accruals preceding cash flows are in general negative due to mean reversion and there’s no reason to believe ex ante that they are significantly different. As for (ii), year t’s current accruals preceding cash flows will increase year t+1’s operating cash flows because year t’s current accruals preceding cash flows will be collected in year t+1. On the other hand, year t’s current accruals following cash flows will have little to do with year t+1’s operating cash flows. In sum, current-period accrual-entry accruals increase current-period operating income but not next-period operating income while current-period deferral-entry accruals decrease next-period operating income but not current-period operating income. Thus, it is hypothesized that the persistence effect of current accruals preceding cash flows on one-year-ahead operating income is greater than the effect of current accruals following cash flows on one-year-ahead operating income. Empirical analysis is performed for the sample consisting of non-banking 7,665 firm-years with December fiscal year end listed on the Korean Stock Exchange over 1983-2005. Main empirical findings are summarized as follows: (1) current accruals preceding cash flows and current accruals following cash flows are mean-reverting most rapidly among accruals components, (2) market participants fail to reflect fully the implication for the persistence of noncurrent accruals, current accruals preceding cash flows and current accruals following cash flows. Specifically, the regression results of one-year-ahead operating income on components of operating income show that the coefficient on current accruals is significantly smaller than that on operating cash flows and that the coefficient on current accruals preceding cash flows is significantly greater than that on current accruals following cash flows as hypothesized. However, the response coefficient on current accruals following cash flows is significantly greater than that on current accruals preceding cash flows in the regression of stock returns in year t+1 on components of operating income in year t. The likelihood ratio test of Mishkin (1983) on market efficiency does not support that market participants reflect fully the implication of different persistence of components of operating income when pricing stocks. Further, abnormal returns to the hedge portfolio where a long (short) position is taken for firms in the lowest (highest) decile of current accruals following cash flows are significantly positive. This result suggests that the persistence implications of the different types of adjustments, which are the core concept of accrual basis accounting, are not fully priced by market participants. The results in this study have important implication for financial accounting in providing whether the persistence effect of different types of adjustments is properly priced by market participants. It contributes to the literature by enhancing our understanding of market pricing on the very basic concept of adjustments in a more systematic manner.