기업혁신 및 주식초과수익율과 회계발생액의 관련성 분석

Sloan(1996)'s pioneering documentation of the accruals anomaly, the negative association between accounting accruals (the noncash component of earnings) and subsequent stock returns, spawned considerable research. Specific accruals those are mostly responsible for the anomaly (primarily inventories) were identified, and the relationships between the accruals anomaly and other unexpected phenomena, such as the post-earnings announcement drift, have been investigated. A number of recent studies have devoted to examine the value-relevance of nonfinancial leading indicators, motivated by the increasing importance of these indicators and the economic phenomenon those are associated with the rise of intangible assets in size and contribution to corporate growth. Value relevance studies generally assume that the documented association between nonfinancial leading indicators and contemporaneous stock prices or returns is due to a relation between the examined nonfinancial indicators and future earnings and market efficiency in assessing this relation. This study directly examines whether firms’ innovation capabilities are in fact related to abnormal accrual and whether market participants (i.e., investors and analysts) fully incorporate the implications of firm's innovation impact for future earnings in determining stock prices and projecting future earnings. The results of this study demonstrate that on average change of firm's innovation impact has a positive relation with the firms’accruals. This is consistent with firms' innovation capturing firms’ growth capabilities, a key driver of accruals anomaly. This is consistent with the role of innovation capabilities as a driver of firms’growth. Taken together, the results of this study suggest that the accruals anomaly reflects the mapping from firms’ innovation activities to profit realization in future.