13
13 [] ュ ュ ュ ュ ュ ュ ュ. [] ュ ュ ュ... [] ュ ュ ュ... []
13 00,.,.,, 03. [] ュ ュ ュ ュ ュ ュ ュ ュ ュ
13 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...6 1. 1.1. ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ..8 1.1.1. IFRS ュ ュ ュ ュ..8 1.1.2. ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...8 1.1.3. ュ ュ ュ ュ ュ ュ ュ..9 1.1.4. ュ ュ ュ..10 1.1.5. ュ ュ...11 1.2. ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...12 1.2.1 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ14 1.3. ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ.15 1.3.1. ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ..15 1.3.2. Accruals ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ.16 2. 2.1 accruals ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...18 2.2..21 2.3 accruals ュ ュ ュ ュ ュ ュ.23 2.3.1 ーEarnings Fixation ア ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ..23 2.3.2 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...28 2.4 (Earnings management) ュ ュ ュ ュ ュ ュ ュ ュ ュ...31 2.4.1 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...31 2.4.2 IPO ッs ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...34 2.4.3 Discretionary accruals ュ ュ ュ...37 3. 3.1 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ46
133.2 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ..46 3.3 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ...47 3.4 ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ ュ.49 3.5 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
13 accruals., accruals,., accruals.,,.,.,.,.,,,., accruals. accruals., accruals,. accruals,
13., ーaccrual anomaly ア,. accruals., accruals., accruals., accruals., 2005 2008 2009.,,,.
13 1. 1.1 1.1.1 IFRSs, 3301/2004 1606/2002. (International Financial Reporting Standards, IFRSs). 1 2005. 2004 2005.. 186/92, 31 31, 186/92 2190/90.,,,, 2006 (3 ). 1.1.2... ( 1973-2001, 2002, )
13., (.. )....,,,.,,., (..,,,, ). :,,,. 1.1.3,,,.,, ( ), ( ).,.,,,.,
13. 1.1.4. : -.,. -.,,..,.,.,,,. -..,,,.,,
13. 1.1.5. : - -.,.,,,.,,,.,.,,,.
131.2,.,,,,.,,..,,.,,.,..,.,,.,,,,.,.
13. ( )., :. accruals. (accrual accounting).,. 0003.,,.,,,,..,,,,,,,.,. /.
13,,. 1.2.1 (going concern).,. going concern accrual accounting, ( ).. (revenue recognition principle) (matching principle).,,.,,.,,.
131.3 1.3.1,.,,,,., Financial Accounting Standard Board, (Statement number 95, Statement of Cash Flows). 0003..,.,,.,.,,. Kallunki and Paakki (2004),, 7 (IAS 7, Cash Flow Statements).,
13.,.,,.,,,. 1.3.2 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)
13.03, accruals. accruals,. accruals,., accruals., accruals.,,,,.
13 2. 2.1 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:
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), :
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,.
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,,
13 ( )., Dechow (1994) accruals., accruals,,. accruals,..,.,,. Dechow et al. (1998),, accruals (random walk process) accruals ( ).., accruals., (realized cash flows). Dechow (1994)., Black (1998)
13.,,., accruals,.,.,..,.,,. 2.3 accruals 2.3.1 ーEarnings Fixation ア.,., (future net cash flows).,,.,,
13 00, 03 (FASB Statement of Financial Accounting Concepts, No. 1, 1978).,, ( )..,,. Fama (1970, 1991) (efficient market).,,. -.,..,.,.., Sloan (1996)., 00Earnings Fixation03,
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.
13. accruals, 0003. 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
13 Sloan (1996), accruals,., Sloan (1996), accruals,,., () accruals (), ()., Thomas and Zhang ( 2001). () (), 5.,,,.,,. 0003, ( ). accruals, Sloan(1996)., accruals (abnormally lower returns) accruals..
13 accruals. accruals accruals., (long position) accruals (short position) accruals,, 10% 5 3%. accruals,. accruals ーAccrual Anomaly ア. 2.3.2 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)
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
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.,
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) 2.4.1 accruals,. accruals, () () accruals,,.,. accruals, (discretionary accruals), (nondiscretionary
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).,,
13,. 0003., 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
13 ) discretionary accruals.,, : (i), (ii), (iii) ( ) (),, (iv) (v). 2.4.2 IPOs (Initial Public Offerings, IPOs).,., accruals.,, (Seasoned Equity Offerings, SMEs).,. Teoh et al. (1998b) IPO accruals,. IPO 0003
13. IPO accruals, 20%. IPO, discretionary accruals.,.,,,., 0003. Teoh et al. (1998b) discretionary accruals ( ). discretionary accruals IPO, 20 30% accruals.. accruals, 20%.., Teoh, et al. (1998a) accruals IPO.,
13.,. discretionary accruals (abnormal accruals). discretionary accruals,., accruals.. accruals,. accruals.,.,. IPO..,., Teoh et al. (1998a) accruals,., IPOs., Nagata and Hachiya (2006) :,.,.,,.
13 0003.,., Ball and Shivakumar (2004) UK USA Teoh et al. (1998a).,., IPO..,,,. discretionary accruals IPO,. 2.4.3 Discretionary Accruals,.. Burgstahler and Dichev (1997, 1998)
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
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. 0003 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 ),,
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)]. 0003 Jones (1991). modified Jones model Jones (1991) modified Jones model.., (). Total Accruals = + 1 (Sales ィC REC) + 2 PPE +, :
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.
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-1 + 2 Sales it + 3 PPE it + 4 ROA it(or it-1) + it, ROA. ( ) 00 03
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.
13 3. 3.1,, accruals. DataStream 2005 2008 ( 2009).,,.,. 211, 5.155.. 3.2 accruals. accruals..,.
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. 28/04/2006 30/04/2009 Accruals 2005-2007.
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.
133.3. 1.. 1. Correlations Returns Accruals EBIT Size BV/MV Returns 1.000.000-0.101373-0.002800 0.014360-0.039828 Accruals -0.101373 1.000.000 0.038562-0.002087-0.006350 EBIT -0.002800 0.038562 1.000.000-0.017264 0.042604 Size 0.014360-0.002087-0.017264 1.000.000-0.420166 BV/MV -0.039828-0.006350 0.042604-0.420166 1.000.000 1.. -1 1. BV/MV Size -0,420166 42%. BV/MV Size,,. Returns Size. 2.,,
13.,, (1% ). 2. Returns Accruals Size BV/MV EBIT Mean 0.031437 0.029009 1.107.337-0.384598 0.058362 Median -0.020677 0.022828 1.079.121-0.261519 0.051868 Maximum 1.727.046 0.383141 1.605.320 1.327.247 0.425667 Minimum -0.763670-0.296657 8.307.763-3.639.865-0.160093 Std. Dev. 0.346276 0.091068 1.610.575 0.814632 0.067850 Skewness 1.239.728 0.004208 0.728488-0.636795 0.675744 Kurtosis 5.922.369 4.515.905 3.183.909 3.683.387 6.713.863 Jarque-Bera 3.665.865 5.735.520 5.068.011 4.909.270 3.846.253 Probability 0.000000 0.000000 0.000000 0.000000 0.000000 Sum 1.883.083 1.737.646 6.245.383-2.169.134 3.449.200 Sum Sq.Dev. 7.170.458 4.959.436 1.460.395 3.736.206 2.716.136 Observations 599 599 564 564 591,, 50% 50%.. Accruals. (Skewness),, (Kurtosis) 0003..
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,
13. adjusted-r 2 0003. 3. (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. 0.042475 0.015743 2.697988 0.0072-0.380485 0.166223-2.289002 0.0224 R-squared 0.010013 Mean dependent var 0.031437 Adjusted R-squared 0.008355 S.D. dependent var 0.346276 S.E. of regression 0.344827 Akaike info criterion 0.711784 Sum squared resid 70.98660 Schwarz criterion 0.726460 Log likelihood -211.1794 Durbin-Watson stat 2.074501 Accruals (1-)=95% p-value=0,0224., Sloan (1996), accruals. accruals. accruals,.,, Sloan (1996),
13 0003,., 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. 0.006548 0.017926 0.365281 0.7150-0.674204 0.182212-3.700105 0.0002 0.783195 0.211844 3.697041 0.0002 R-squared 0.031051 Mean dependent var 0.032621 Adjusted R-squared 0.027756 S.D. dependent var 0.346767 S.E. of regression 0.341921 Akaike info criterion 0.696587 Sum squared resid 68.74292 Schwarz criterion 0.718830 Log likelihood -202.8415 Durbin-Watson stat 2.028691, Accruals EBIT p-value 0,0002 (1-)=99%. Accruals, (1),,. Sloan (1996)
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. -0.009268 0.091109-0.101728 0.9190-0.277244 0.175586-1.578961 0.1149 0.006183 0.008453 0.731387 0.4648 0.044386 0.019640 2.259987 0.0242 R-squared 0.016629 Mean dependent var 0.033447 Adjusted R-squared 0.011360 S.D. dependent var 0.345601 S.E. of regression 0.343632 Akaike info criterion 0.708577 Sum squared resid 66.12649 Schwarz criterion 0.739322 Log likelihood -195.8186 Durbin-Watson stat 1.979947
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.,
13.,., accruals.,,.,. accruals ( ), o accruals.,..,,. 0003., accruals.., accruals.
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