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5 133.2 ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ...53 ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ ｭ.55
6 13 accruals., accruals,., accruals.,,.,.,.,.,,,., accruals. accruals., accruals,. accruals,
7 13., ｰaccrual anomaly ｱ,. accruals., accruals., accruals., accruals., ,,,.
8 IFRSs, 3301/ /2002. (International Financial Reporting Standards, IFRSs) /92, 31 31, 186/ /90.,,,, 2006 (3 ) ( , 2002, )
9 13., (.. )....,,,.,,., (..,,,, ). :,,, ,,,.,, ( ), ( ).,.,,,.,
10 : -.,. -.,,..,.,.,,,. -..,,,.,,
11 : - -.,.,,,.,,,.,.,,,.
12 131.2,.,,,,.,,..,,.,,.,..,.,,.,,,,.,.
13 13. ( )., :. accruals. (accrual accounting)., ,,.,,,,..,,,,,,,.,. /.
14 13,, (going concern).,. going concern accrual accounting, ( ).. (revenue recognition principle) (matching principle).,,.,,.,,.
15 ,.,,,,., Financial Accounting Standard Board, (Statement number 95, Statement of Cash Flows) ,.,,.,.,,. Kallunki and Paakki (2004),, 7 (IAS 7, Cash Flow Statements).,
16 13.,.,,.,,, Accruals accruals,,...,., (net cash receipts, realized cash flows).,,. (timing) (matching).,, accruals. accruals, FASB (Statement of Financial Accounting Concepts, Concept No.1, paragraph 44) : 00 (accrual accounting)
17 13.03, accruals. accruals,. accruals,., accruals., accruals.,,,,.
18 accruals,, accruals., accruals,. Healy (1985) accruals. :, discretionary accruals nondiscretionary accruals. nondiscretionary accruals (..Financial Accounting Standards Board).,,,,., discretionary accruals.. discretionary accruals,,. accruals., discretionary accruals 0003., Healy(1985) accruals:
19 13Total Accruals = NA (nondiscretionary accruals) + DA (discretionary accruals), accruals.. Sloan (1996), Healy (1985), accruals. : Accruals = (CA ｨC Cash) ｨC (CL ｨC STD ｨC TP) ｨC Dep, CA = Cash = CL = STD = TP = Dep =,, accruals,,., accruals,. Richardson et al. (2001),, accruals (long-term operating accruals)., (accrual accounting),.. : Cash Basis Net Assets = Cash = Cash Basis Owners Equity (cash basis of accounting), :
20 13Cash Earnings = Change in Cash Basis Owners ｯ Equity + Net Cash Distributions to Equity = Change in Cash + Net Cash Distribution to Equity Net Cash Distributions to Equity.,., : Accrual Earnings = Change in Owner ｯs Equity + Net Cash Distributions to Equity = Change in Net Assets + Net Cash Distribution to Equity = Change in Assets ｨC Change in Liabilities + Net Cash Distribution to Equity accruals : Accruals = Accrual Earnings ｨC Cash Earnings = Change in Non-Cash Assets ｨC Change in Liabilities,, accruals. Richardson et al. (2001) Healy (1985) Sloan (1996).,, accruals,. Healy (1985) accruals., Richardson et al. (2001) accruals,., accruals,.
21 132.2 Dechow (2004). ( ) accruals., (.., ),.,,,.,. accruals Dechow (1994),., (operating cycle)., Dechow (1994) : ｱThere is a stronger contemporaneous association between stock returns and earnings than between stock returns and realized cash flows over short measurement intervals ｱ. accruals (working capital accruals)., accruals,.,., accruals,,
22 13 ( )., Dechow (1994) accruals., accruals,,. accruals,..,.,,. Dechow et al. (1998),, accruals (random walk process) accruals ( ).., accruals., (realized cash flows). Dechow (1994)., Black (1998)
23 13.,,., accruals,.,.,..,.,,. 2.3 accruals ｰEarnings Fixation ｱ.,., (future net cash flows).,,.,,
24 13 00, 03 (FASB Statement of Financial Accounting Concepts, No. 1, 1978).,, ( )..,,. Fama (1970, 1991) (efficient market).,,. -.,..,.,.., Sloan (1996)., 00Earnings Fixation03,
25 13, (Cash Flows Accruals)., Sloan (1996),, accruals., accruals. accruals,., ｯ accruals., accruals, accruals., accruals. Sloan (1996) accruals.,. Sloan (1996) accruals,., Dechow et al. (2004) accruals, accruals.
26 13. accruals, accruals. accruals., Sloan (1996) accruals (total accruals), Xie (2001), Sloan (1996), accruals., accruals nondiscretionary (0003) discretionary accruals (0003). Xie (2001) discretionary accruals nondiscretionary accruals,. discretionary accruals nondiscretionary accruals, discretionary., Xie (2001), discretionary nondiscretionary., discretionary accruals., discretionary accruals.,., discretionary accruals ( ) accruals, discretionary accruals. discretionary accruals.,., Thomas and Zhang (2001), accruals
27 13 Sloan (1996), accruals,., Sloan (1996), accruals,,., () accruals (), ()., Thomas and Zhang ( 2001). () (), 5.,,,.,,. 0003, ( ). accruals, Sloan(1996)., accruals (abnormally lower returns) accruals..
28 13 accruals. accruals accruals., (long position) accruals (short position) accruals,, 10% 5 3%. accruals,. accruals ｰAccrual Anomaly ｱ Sloan (1996) ｰAccrual Anomaly ｱ, accruals. ｰEarnings Fixation Hypothesis ｱ., Hwang and Trombley (1999) Sloan (1996), accruals. ｰna07ve ｱ ｰsophisticated ｱ ｰaccrual anomaly ｱ., accruals ( ) sophisticated. Sloan (1996)
29 13,. Zhang et al. (2008) 00discount-rate hypothesis03. accruals, 00accrual anomaly03., accruals.,..,, accruals., accruals., accruals. Dechow and Ge (2006), (income statement perspective) (balance sheet perspective) accruals. accruals, accruals accruals., : ) accruals accruals, ) accruals accruals, ) special items
30 13(persistence) accruals, ) accruals, accruals. Special items Accounting Principles Board 30 ｨC ｰReporting the Results of Operations ｱ Special Items : 00 charges that are infrequent or unusual in nature. Related, our analysis excludes discontinued operations, extraordinary items, and effects of changes in accounting principle. All three qualify for specific treatment under US GAAP: each must be disclosed separately, net of applicable taxes, on the income statement below income from continuing operations03.,., Dechow and Ge (2006) accruals special items accruals., Kothari et al. (2006) 00accrual anomaly03. 00agency hypothesis of overvalued equity03., (overvalued firms) accruals,,.,,., ｯ,., accruals ( )., 0003.,
31 13 accruals. Sloan (1996). Sloan (1996), 00earnings fixation hypothesis03 Kothari et al. (2006), 00agency hypothesis of overvalued equity03, : (I), 00earnings fixation hypothesis03 accruals., 00agency hypothesis03, accruals, accruals (II) A accruals, 00agency hypothesis03 accruals. accruals accruals. Sloan (1996) accruals. 2.4 (Earnings Management) accruals,. accruals, () () accruals,,.,. accruals, (discretionary accruals), (nondiscretionary
32 13accruals),,.,, [Schipper (1989)].. Market Oriented Model Bank Oriented Model Yu (2004).,,.,.,,,, Barton and Simko (2002).,,. (net operating assets)., Prevost et al. (2008) : i), ii),. Prevost et al. (2008).,,
33 13, , Hayn (1995), Burgstahler and Dichev (1997a)., Dechow et al. (2003),.. discretionary accruals., discretionary accruals, ) ). discretionary accruals. Dechow et al. (2003), discretionary accruals..,., discretionary accruals discretionary accruals., discretionary accruals. Dechow et al. (2003) : ) ( ) discretionary accruals
34 13 ) discretionary accruals.,, : (i), (ii), (iii) ( ) (),, (iv) (v) IPOs (Initial Public Offerings, IPOs).,., accruals.,, (Seasoned Equity Offerings, SMEs).,. Teoh et al. (1998b) IPO accruals,. IPO 0003
35 13. IPO accruals, 20%. IPO, discretionary accruals.,.,,,., Teoh et al. (1998b) discretionary accruals ( ). discretionary accruals IPO, 20 30% accruals.. accruals, 20%.., Teoh, et al. (1998a) accruals IPO.,
36 13.,. discretionary accruals (abnormal accruals). discretionary accruals,., accruals.. accruals,. accruals.,.,. IPO..,., Teoh et al. (1998a) accruals,., IPOs., Nagata and Hachiya (2006) :,.,.,,.
37 ,., Ball and Shivakumar (2004) UK USA Teoh et al. (1998a).,., IPO..,,,. discretionary accruals IPO, Discretionary Accruals,.. Burgstahler and Dichev (1997, 1998)
38 13., ｯ () ( )., discretionary accruals. discretionary accruals. accruals (expectation models).,, discretionary accruals., Jones (1991), accruals () discretionary (DA) nondiscretionary (NDA) accruals., accruals. discretionary accruals accruals, nondiscretionary accruals,., accruals., accruals.,, discretionary nondiscretionary. Jones (1991) (import relief) (International Trade Commission, ITC).,. Jones (1991), [DeAngelo (1986), Healy
39 13(1985) McNichols and Wilson (1988)], accruals. discretionary accruals accruals,, discretionary accruals [McNichols and Wilson (1988)]. accruals.,,. (firm-specific expectation models) (normal) accruals.. accruals.. Jones (1991) De Angelo (1986). De Angelo (1986), nondiscretionary accruals (random walk process). accruals (t-k) 0003 accruals accruals () accruals (t) 0003 accruals. discretionary nondiscretionary accruals: t = (TA t ｨC TA t-k ) = (DA t ｨC DA t-k ) ｨC (NA t ｨC NA t-k ), DeAngelo (1986) 0003 accruals., nondiscretionary accruals, (NA t ｨC NA t-k ),,
40 13 accruals, (TA t ｨC TA t-k ), discretionary accruals, (DA t ｨC DA t-k )., Jones (1991) accruals discretionary accruals nondiscretionary accruals., Jones (1991) accruals, ( nondiscretionary accruals ). : T it / it-1 = i (1/ it-1 ) + 1i (REV it / it-1 ) + 2i (PPE it / it-1 ) + it, : T it = accruals t i REV it = t t-1 i PPE it = t i it-1 = t-1 i it = t i, [.. Teoh et al. (1998a), (1998b)] Jones (1991). modified Jones model Jones (1991) modified Jones model.., (). Total Accruals = + 1 (Sales ｨC REC) + 2 PPE +, :
41 13Total Accruals = accruals. Sales = REC = =.. adapted model. adapted model discretionary accruals. : REC = + ksales + k. adapted model discretionary accruals., ( k ). Total Accruals = + 1 ((1 + k) Sales ｨC REC) + 2 PPE + lagged model accruals, ｯ,., accruals. lagged model (LagTA), accruals.
42 13Total Accruals = + 1 ((1 + k) Sales ｨC REC) + 2 PPE + 3 LagTA + forward-looking model,. accruals.,.., Jones (1991)., forward-looking model, (GR_Sales), accruals. Total Accruals = + 1 ((1 + k) Sales ｨC REC) + 2 PPE + 3 LagTA + 4 GR_Sales + GR_Sales.. Performance ｨC based discretionary accruals models Kothari et al. (2005) discretionary accruals, modified-jones model,. (return on assets, ROA). ROA (net income). ROA TA it = + 1 /ssets it Sales it + 3 PPE it + 4 ROA it(or it-1) + it, ROA. ( ) 00 03
43 13(performance deviates from random walk) Jones (1991) modified-jones model discretionary accruals. - Ball Shivakumar (2006) Ball and Shivakumar (2006) accruals (conditional conservatism). accruals.,,, accruals. accruals accruals.,, : ACC t = + 1 X t + 2 VAR t + 3 DVAR t + 4 DVAR t x VAR t + t, ACC t = accruals X t = VAR t = DVAR t = 1 VARt, Ball and Shivakumar (2006) accruals, 0003 (noise). ｯ accruals (Total Accruals) discretionary nondiscretionary accruals. nondiscretionary accruals. discretionary accruals nondiscretionary.
44 ,, accruals. DataStream ( 2009).,,.,. 211, accruals. accruals..,.
45 13 : R t+1 = + Accruals t + (1) R t+1 = + EBIT t + Accruals t + (2) R t+1 = + Size t+1 + Book Value t /Market Value t + Accruals t + (3) : R = buy and hold market-adjusted returns EBIT = Earnings before interest and taxes/ Average Total Assets Accruals = ( ｨC Cash flows from operating activities) / Average Total ssets Size = Natural log of Market Capitalization Book to market value = Natural log of Common equity/market Capitalization EBIT Accruals [(Total Assets t ｨC Total Assets t-1 )/2].,,.,, (1), Accruals,,. t+1., ( ), [(. Sloan (1996), Fama and French (1992) ]., 31,. Accruals, t. 28/04/ /04/2009 Accruals
46 13 (2). (2),, Accruals (1). EBIT. O Sloan (1996).,., Accruals. EBIT 0003 Accruals. (3), Accruals,, Size Book/Market Value, Fama and French (1992)., Fama and French (1992),.,, Size Book/Market Value 0003,., Size, (natural log of market price x common shares outstanding)., t t+1. Book Equity/Market Equity, t.
47 Correlations Returns Accruals EBIT Size BV/MV Returns Accruals EBIT Size BV/MV BV/MV Size -0, %. BV/MV Size,,. Returns Size. 2.,,
48 13.,, (1% ). 2. Returns Accruals Size BV/MV EBIT Mean Median Maximum Minimum Std. Dev Skewness Kurtosis Jarque-Bera Probability Sum Sum Sq.Dev Observations ,, 50% 50%.. Accruals. (Skewness),, (Kurtosis)
49 133.4.,, p-value t-statistic R 2 ( ) adjusted-r 2 ( ). p-value < 0,1., 0,05<p-value<0,1 =10%. 0,01< p-value<0,5 =5% p-value<0,01 =1%., t-statistic. ( 0 : =0) t 1,96.,. (coefficient of determination) R 2.. R 2, 0 R 2 1.., R 2 =0.,,.,., R 2,
50 13. adjusted-r (1). 3. (1) Dependent Variable: Returns Method: Least Squares Included observations: 599 White Heteroskedasticity-Consistent Standard Errors & Covariance Returns= +*Accruals Coefficient Std. Error t-statistic Prob R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Accruals (1-)=95% p-value=0,0224., Sloan (1996), accruals. accruals. accruals,.,, Sloan (1996),
51 ,., R 2, 1%, accruals.., 4.,, (EBIT). 4. (2) Dependent Variable: Returns Method: Least Squares Included observations: 591 White Heteroskedasticity-Consistent Standard Errors & Covariance Returns= +*Accruals+* Coefficient Std. Error t-statistic Prob R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat , Accruals EBIT p-value 0,0002 (1-)=99%. Accruals, (1),,. Sloan (1996)
52 13.., adjusted-r 2 0,835% (1) 2,77% (2)..,.,, Accruals ｨC0,38 (1) -0,6742 (2). Accruals.. Accruals, 0003., 5. (3). 5. (3) Dependent Variable: Returns Method: Least Squares Included observations: 564 White Heteroskedasticity-Consistent Standard Errors & Covariance Returns=+*Accruals+*Size+*(BV/MV) Coefficient Std. Error t-statistic Prob R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat
53 13,. Fama and French (1992),, /., BV/MV., Fama and French (1992) Accruals. p-values Size Accruals 0,1. BV/MV 95% p-value=0,0242., adjusted-r 2 1,136%. Accruals (1) (2),., Size. BV/MV 0003 Accruals Size. Size BV/MV Accruals Size BV/MV. 3.5 accruals,.,,. accruals.,
54 13.,., accruals.,,.,. accruals ( ), o accruals.,..,, , accruals.., accruals.
55 13 Ali Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2001, Accruals and Future Stock Returns: Tests of the Na07ve Investor Hypothesis. Journal of Accounting Auditing and Finance 15, Ball Ray and Lakshmanan Shivakumar, 2008, Earnings Quality at Initial Public Offerings. Journal of Accounting and Economics 45, Ball Rayand Lakshmanan Shivakumar, 2005, The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition. Journal of Accounting Research 44, Barton Jan and Paul J. Simko, 2002, The balance sheet as an earnings management constraint. The Accounting Review 77, Black L. Ervin, 1998, Which is more value relevant: Earnings or cash flows? A life cycle examination. Journal of Financial Statement Analysts. Burgstahler David and Ilia Dichev, 1997, Earnings management to avoid earnings decreases and losses. Journal of Accounting and Economics 24, Cohen Sandra, Afroditi Papadaki and Georgia Siougle, 1997, SEOs in a ｰHot Market ｱ: evidence of timing. Applied Financial Economics 17, Da Angelo L.E, 1986, Accounting numbers as market valuation substitutes: a study of management buyouts of public stockholders. The Accounting Review 61, Dechow M. Patricia and Weili Ge, 2006, The persistence of earnings and cash flows and the role of special items: Implications for the accrual anomaly. Review of Accounting Standards 11, Dechow M. Patricia, 1994, Accounting earnings and cash flows as measures of firm performance. The role of accounting accruals. Journal of Accounting and Economics 18, Dechow M. Patricia, Scott A. Richardson and Irem Tuna, 2003, Why Are Earnings Kinky? An Examination of the Earnings Management Explanation. Review of Accounting Studies 8, 355ｨC384. Dechow Patricia M., Scott A. Richardson and Richard G. Sloan, The Persistence and Pricing of the Cash Component of Earnings. Working paper, University of Michigan and University of Pennsylvania. Dechow, P., Kothari, S., and Watts, R. 1998, The relation between earnings and cash flows. Journal of Accounting and Economics 25, 133ｨC168. Fama E. & French K., 1992, The cross-section of expected stock returns. Journal of Finance 47, 427ｨC465.
56 13Financial Accounting Standards Board, 1978, Statement of Financial Accounting Concepts No 1., Objectives of financial reporting by business enterprises, ( Financial Accounting Standards Boards, 1987, Statement of Financial Accounting Standards No. 95, Statement of Cash Flows, ( Healy M. Paul, 1985, The effect of bonus schemes on accounting decisions. Journal of Accounting and Economics 7, Jones J. Jones, 1991, Earnings Management During Import Relief Investigations. Journal of Accounting Research 29, Kallunki Juha-Pekka and Eija Paakki, 2004, Stock Market Response to IFRS/IAS Cash Flows. Working paper, University of Oulu. Kothari S. P., 2001, Capital markets research in accounting. Journal of Accounting and Economics 31, Kothari S. P., Elena Loutskina and Valeri Nikolaev, 2006, Agency Theory of Overvalued Equity as an Explanation for the Accrual Anomaly. Tilburg University, Center for Economic Research in its series Discussion Paper No Kothari, S. P., Andrew J. Leone, and Charles E. Wasley, 2005, Performance matched discretionary accrual measures. Journal of Accounting and Economics 39, Nagata Kyoko and Toyohiko Hachiya, 2006, Competing motives for earnings management in initial public offerings ｨCTo reduce wealth loss or to keep control of the firm?-. Working paper, Tokyo Institute of Technology. Penman Stephen H. and Nir Yehuda, 2009, The Pricing of Earnings and Cash Flows and an Affirmation of Accrual Accounting. Review of Accounting Standards 14, Prevost K. Andrew, Christopher J. Skousen and Ramesh P. Rao, 2008, Earnings Management and the Cost of Debt. Journal of Banking and Finance 33(8), Richardson A. Scott, Richard G. Sloan, Mark T. Soliman and Irem Tuna, 2005, Accrual Reliability, Earnings Persistence and Stock Prices. Journal of Accounting and Economics 39, 437ｨC485. Siew Hong Teoh, T. J. Wong and Gita R. Rao, 1998, Are Accruals during Initial Public Offerings Opportunistic?. Review of Accounting Studies 3, Sloan G. Richard, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?. The Accounting Review 71,
57 13Teoh Siew Hong, Ivo Welch and T. J. Wong, 1998, Earnings Management and the long-run market performance of initial public offerings. The Journal of Finance 53, Thomas K. Jacobs and Huai Zhang, 2002, Inventory changes and future returns. Review of accounting studies 7, Xie Hong, 2001, The mispricing of Abnormal Accruals. The Accounting Review 76, Yu D. Michael, 2005, International Earnings Management and Accounting Standards. working paper, University of Missouri-Columbia. Zhang Lu, Jin Ginger Wu and X. Frank Zhang, 2008, Understanding the Accrual Anomaly. Working paper, Ross School of Busines, No Grant Thornton, 2004, -I.F.R.S.,, ｯ.
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