盈余质量与盈余的定价模式的影响外文翻译.docx
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盈余质量与盈余的定价模式的影响外文翻译
原文:
EarningsQualityandthePricingEffectsofEarningsPatterns
EarningsPatternsandEarningsQuality
Previousresearchonpricingeffectsofearningspatternshasconsideredincreasingearnings,earningsthatmeetorexceedanalystforecasts,andsmoothearnings.Theresearchismotivatedbytheobservationthatmanagersappeartofocusonmaintainingsuchpatterns.Webuildonthisobservationbyexploringthenotionthatmanagers’accrualschoiceseitherreinforceorundercutthepricingeffectsofearningspatterns.Inthissection,wedescribepreviousresearch(section2.1),discusswhythethreeearningspatternsweconsidermightbeeconomicallydistinct,asopposedtomanifestationsofasingleunderlyingconstruct(section2.2),anddiscussthelinksbetweenearningspatternsandearningsquality(section2.3).
1、Previousresearchonpricingeffectsofearningspatterns
Beginningwiththeobservationthatmanymanagersappeartostrivetoreportsteadilyincreasingearnings,Barth,ElliottandFinn[1999]documentrewardstosuchbehavior:
firmswithincreasingearningshavehigherprice-earningsmultiplesthanotherfirms,aftercontrollingforgrowthandrisk.Thecontrolforgrowthisbasedonbothincreasesinbookvalueofequityandanalystearningsgrowthforecasts,andthecontrolforriskisthevarianceofthemostrecentsixyears’percentageearningschanges.Theyattempttoruleoutthepossibilitythatfirmswithlongpatternsofincreasingearningsalsoshareavaluationrelevantfactorthatisknownbeforetheearningspatterndevelops;resultsaremixedalthoughtheauthorsconcludethattheweightoftheevidencedoesnotsupporttheexistenceofsuchafactor.Barthetal.donotconsiderwhetherthequalityofearningsmightaffecttheirresults,althoughtheynotethatifearningsincreasesareobtainedviaearningsmanagementwhichinvestorsdiscernanddiscount,theirtestswillbebiasedagainstfindingpricingeffectsassociatedwithpatternsofincreasingearnings(seetheirnote6).
KasznikandMcNichols[2002]andBartov,GivolyandHayn[2002]focusonmarketeffectsofmeetingorexceedinganalystforecasts.KasznikandMcNicholsdocumentthatconsistentlymeetingorexceedinganalystforecastsisassociatedwithahighermultiplerelatingearningstoprice,andthispricingeffectisduetotwodistinctsub-effects:
higherfutureearningsandapremiumassociatedwiththeactofmeetingorexceedingforecastsforatleastthreeyears.Theyinterprettheirresultsasindicatingthatconsistentlymeetingorexceedinganalystexpectationsconnoteslowerriskand,therefore,ahigherearningsmultiple.However,theyalsonotetwoopenissues.First,theydonotinvestigatewhyinvestorswouldassociatelowerriskwithconsistentlymeetinganalystforecasts.Second,theydonotinvestigatetheroleofmanipulatingeitherexpectationsofearningsorearningsthemselves.Webelieveouranalysesshedlightontheseissues;specifically,wepositthatinvestorspricefirmsthatmeetorexceedanalystearningsexpectationsandhavehighearningsqualityhigherthanfirmsthatmeetthefirstbutnotthesecondcondition.
UsingadifferentresearchdesignthanKasznikandMcNichols,Bartovetal.[2002]documenthigherquarterlyabnormalreturnsinquarterswherefirmsmeetorexceedforecasts.Severaloftheirtestsdistinguishbetweenshiftsinanalystforecastsoverthequarterandtheearningssurprise,basedonIBESreportedearningscomparedtothemostrecentIBESforecast.Theyinterpretthefindingthatthereturntoanearningssurprisegreatlyexceedsthereturntoshiftsinanalystforecastsasrationalizingexpectationsmanagement—themarketpenaltyfordampeninganalystexpectationsisswampedbytherewardtoafavorableearningssurprise.Subsequenttestssupportthisinterpretation.
Mostdirectlyrelevanttoouranalyses,Bartovetal.testwhetherthepremiumformeetingorexceedinganalystforecastsissmallerwhenthereisevidenceofeitherorbothexpectationsmanagementandearningsmanagement.Theydefinetheformerasthecombinationofnegativeanalystforecastrevisionsandzeroorpositiveearningssurprises,andthelatterasthepresenceofunexpectedaccrualsbasedeitherontheJones[1991]modelasmodifiedbyDechow,SloanandSweeney[1995]orondefiningnormalaccrualsasworkingcapitalaccrualsplusdepreciationandamortization.Theyconcludethatbothexpectationsmanagementandearningsmanagementareassociatedwithstatisticallyreliablebutsmalldecreasesinthemarketpremiumtomeetingorexceedinganalystexpectations,andthatthe“economicallyminor”(p.198)effectofearningsmanagementmightbeduetolowpower.Weextendtheseanalysesbyprovidingdirecttestsofwhetherthepricingeffectsofconsistentlymeetingorexceedinganalystforecastsareafunctionofearningsquality,aninversemeasureofearningsmanagement.
ThomasandZhang[2002]reporthigherprice-earningsmultiplesforfirmswithsmoothearnings.Theirmeasuresofearningssmoothnessarederivedfromthestandarderrorsofregressionsofearningsontimeandfromthestandarddeviationsofseasonallydifferencedquarterlyearningspershare.Theyconditiononintrinsicearningsvolatility(proxiedbytheover-timevariabilityofanalystearningsforecasts),tocapturethevaluationeffectsofmanagerialinterventionstosmoothearnings.Resultsindicatethatbothlowerintrinsicearningsvolatilityandearningssmoothnessareassociatedwithhigherprice-earningsratiosandthatthisrelationisdueatleastinparttoanassociationbetweenlowerriskandlowerintrinsicearningsvolatility.
LikeThomasandZhang,Hunt,MoyerandShevlin[2000]reportthatearningsmultiplesincreasewithearningssmoothness.Theirmeasuresofsmoothnessarederivedfromaseparationofearningsintocashandtotalaccruals,andtotalaccrualsintoitsdiscretionaryandnondiscretionarycomponents,usingtheJones[1991]modelasmodifiedbyDechow,SloanandSweeney[1995].Controllingforthestandarddeviationofcashflows(presumablyasaproxyforunsmoothedearnings)Huntetal.assesstheincrementaleffectsonpricingmultipleswhen
(1)thestandarddeviationofcashplusnondiscretionaryaccrualsissmallrelativetothestandarddeviationofcashflowsand
(2)thestandarddeviationofreportednetincomeissmallrelativetothestandarddeviationofcashplusnondiscretionaryaccruals.Theformermeasureisinterpretedassmoothnessinducedbynondiscretionaryaccrualsandthelatter,assmoothnessinducedbydiscretionaryaccruals.Huntetal.concludethatdiscretionarysmoothnessisassociatedwithalargerpositivepricingeffectthannondiscretionarysmoothness,andthatdiscretionarysmoothnessisalsoassociatedwithgreaterearningspersistence.
Takentogether,priorresearchsuggeststwoempiricalregularitieswhichweexplore.First,thereisaconsistentpositivepricingeffectassociatedwithearningsthataresmooth,earningsthatincrease,andearningsthatmeetorexceedanalystforecasts.Previousresearchhasconsideredthesepatternsoneatatimeandunconditionally.Weconsidertheeffectsofeachearningspatternconditionalontheothers,toanalyzewhethertheeffectsareinfactdistinct,asopposedtovaryingmanifestationsofasingleunderlyingfactor.Second,thereis(mixed)evidencesuggestingthatthepricingeffectsofearningspatternsmightbeconditionalonwhetherearningsaremanaged.Theeffectsofearningsmanagementappeartobesmall,perhapsbecauseoflowpowertests.Weprovidedirectassessmentsoftheeffectsofearningsquality(aninversemeasureofearningsmanagement).
2、Relationsamongearningspatterns
Apatternofincreasingearningssimplyimpliesthat,overtime,eachsuccessiveearningsnumberexceedsthatofthepreviousperiod.Thereisnonecessaryimplicationof,orconflictwith,smoothness,measuredeitherintermsofovertimeearningsvariability(i.e.,earningsmighttrendupwardeithersmoothlyorbyvaryingamountseachperiod)orintermsoflowreportedincomevariabilityrelativetointrinsicincomevariability.Thereisalsononecessaryimplicationofmeeting,ornotmeeting,analystexpectations.Intermsofmanagement’sbehavior,earningsincreasescanbeachievedbysomecombinationofintrinsicgrowthandearningsmanagementviaeitherorbothaccrualsmanipulationsandrealactions.Dependingonmanagement’splanninghorizonandtheunderlyingeconomicsofthefirm,earningsincreasescanbeplannedandmanipulatedoverlongperiodsbysystematicallybuildingandthenusing“reserves”ofaccruals—thatis,someportionofunmanagedcurrentperiodearningscanbedelayed,viaaccrualsmanagement,andincorporatedintolaterearnings,asneeded.However,onceanearningsnumberisannounced,itbecomesafixedtargetthatmustbeexceededifthepatternofincreasingearningsistobemaintained.
Incontrast,patternsofexceedinganalystforecastscanbeachievedbyintrinsicperformance,earningsmanagementandexpectationsmanagement.Evidenceofexpectationsmanagementisprovidedby,forexample,Bartovetal.[2002]andMatsumoto[2002].2Totheextentmanagerscananddoguideanalyststowardaforecastthatwillensureazeroorpositiveearningssurprise,theovertimepatternofearningsthatmeetorexceedanalystforecastscantakeanyformofincreasesanddecreases,canexhibitanylevelofsmoothness,andcanbeentirelyunmanaged.Thus,thereisnonecessaryrelationbetweenmeetingorexceedinganalystforecastsandanyotherearningspattern,orbetweenthisearningspatternandearningsquality.
Finally,earningssmoothnessistypicallyassessedbycalibratingearningsvariabilityovertime,relativetothevariabilityofso