발생액 평가에 대한 투자자와 재무분석가의 비교

Given that accrual component of earnings is less persistent than other component, firms with high accruals are more likely to experience future earnings problems. In this point of view, we need to investigate whether firms' stakeholders can anticipate the predictable future earnings declines associated with high accrual and consider them in advance in their decision making. Specifically, I examine two types of stakeholders: investors and financial analysts. In order to test whether stock prices efficiently reflect future earnings implication of accruals, this study employed Mishkin(1983) and OLS regression tests. The dependent variable is size-adjusted return(SAR) for year t+1 and the main independent variable is total accruals(TAC), cash flow from operations(CFO) and other control variables. This study also employed OLS regression tests to test whether financial analysts' forecasts rationally incorporate the extent to which accruals persist into future. The dependent variable is financial analyst' forecast error(FAFE) calculated by realized earnings for year t+1 less monthly forecasted earnings. The independent variables are total accruals and other control variables. The major findings can be summarized as follows:First, the evidences show that there is a difference between profit- and loss-reporting firms in the market mispricing. That is, investors overestimate the persistences of accruals for the only profit-reporting firms. Second, the results show that TAC have negative relationship with FAFE. This evidence imply that the degree of over-optimism is greater for high accrual firm. Third, the results from regressions conducted for each of the 12 months between the announcements of current year's earnings and next year's earnings show that the coefficients of TAC are significantly negative for all of 12 month regressions. However, The degree of over-optimism associated with high accruals does not decline over the 12 months.