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1.
Kenneth S. Lorek G. Lee Willinger 《Advances in accounting, incorporating advances in international accounting》2010,26(1):29-36
We refine the analysis of annual cash-flow prediction models originally developed and tested by Dechow et al. (1998), Barth et al. (2001) and Kim and Kross (2005) using cash flow from operations data reported in accordance with FASB Standard No. 95 for a constant sample of 1111 firms. We estimated annual cash-flow prediction models both cross-sectionally and on a time-series basis to assess whether restricting firm-specific parameter estimation in the cross-sectional approach adversely affects predictive performance. Predictive ability is assessed via “out-of-sample” forecasts in an inter-temporal holdout period (2001-2005) not used in model estimation. We provide new evidence that significantly greater enhancement to predictive performance is obtained when cash-flow prediction models are estimated on a time-series basis versus cross-sectionally. These inferences are robust across one-year ahead cash-flow predictions or one-thru-five-year ahead predictions. We find that the relative accuracy of cash-flow predictions is unaffected by whether the aforementioned prediction models employ cash flows or net earnings as independent variables. Finally, we also provide evidence that the predictive ability of cash flows is highly sensitive to firm size. That is, relatively larger firms provide significantly more accurate cash-flow predictions than those of smaller firms across cash-flow prediction models. 相似文献
2.
Do core and non-core cash flows from operations persist differentially in predicting future cash flows? 总被引:2,自引:0,他引:2
This study investigates the persistence of cash flow components (core and non-core cash flows) using a cash flow prediction
model. By extending the Barth, Cram, and Nelson (Account Rev 76(January):27–58, 2001) model, we examine the role of cash flow components in predicting future cash flows beyond that of accrual components. We
propose a cash flow prediction model that decomposes cash flows from operations into core and non-core cash flow components
that parallel the presentation and format of operating income from the income statement. Consistent with the AICPA and financial
analysts’ recommendations, and as predicted, we find that core and non-core cash flows defined in our paper are differentially
persistent in predicting future cash flows; and these cash flow components enhance the in-sample predictive ability of cash
flow prediction models. We also analyze the association of in-sample prediction errors with earnings, cash flow and accruals
variability. We find that disaggregating cash flows improve in-sample prediction, especially for large firms with high cash
flows and earnings variability.
相似文献
Dana Hollie (Corresponding author)Email: |
3.
Kenneth S. Lorek G. Lee Willinger Allen W. BathkeJr. 《Review of Quantitative Finance and Accounting》2008,31(1):105-119
We present empirical evidence on the relative predictive power of statistically based quarterly earnings expectation models
for firms that are characterized as nonseasonal in nature. We are particularly interested in nonseasonal firms for two reasons.
First, it appears that a sizable and growing percentage of firms exhibit quarterly earnings patterns that are clearly nonseasonal
in nature. We present new evidence that is consistent with this trend. Specifically, 36% of our sample firms (n = 296) are
nonseasonal compared to 12% reported in Lorek and Bathke (J Acc Res 22:369–379, 1984) (n = 29); 17% in Brown and Han (J Acc
Res 38:149–164, 2000) (n = 155); and 28.2% in Bathke et al. (J Business Inquiry 5:39–49, 2006) (n = 167). Second, we also
find that 43.6% of the nonseasonal firms in our sample have no analyst coverage. Therefore, interest in the predictive ability
of statistically based models for such firms is greatly enhanced. Our predictive findings indicate that the random walk model
provides significantly more accurate pooled, one-step ahead quarterly earnings predictions across 40 quarters in the 1994–2003
holdout period than the first-order autoregressive model popularized in the literature. We attribute the superior performance
of the random walk model to at least three contributing factors: (1) its parsimonious nature; (2) the reduced levels of autocorrelation
observed in our quarterly earnings data relative to previous work; and (3) a significantly greater frequency of loss quarters
evidenced by nonseasonal versus seasonal firms.
相似文献
Allen W. Bathke Jr.Email: |
4.
The contextual nature of the predictive power of statistically-based quarterly earnings models 总被引:2,自引:2,他引:0
We present new empirical evidence on the contextual nature of the predictive power of five statistically-based quarterly earnings
expectation models evaluated on a holdout period spanning the twelve quarters from 2000–2002. In marked contrast to extant
time-series work, the random walk with drift (RWD) model provides significantly more accurate pooled, one-step-ahead quarterly
earnings predictions for a sample of high-technology firms (n = 202). In similar predictive comparisons, the Griffin-Watts (GW) ARIMA model provides significantly more accurate quarterly
earnings predictions for a sample of regulated firms (n = 218). Finally, the RWD and GW ARIMA models jointly dominate the other expectation models (i.e., seasonal random walk with
drift, the Brown-Rozeff (BR) and Foster (F) ARIMA models) for a default sample of firms (n = 796). We provide supplementary analyses that document the: (1) increased frequency of the number of loss quarters experienced
by our sample firms in the holdout period (2000–2002) vis-à-vis the identification period (1990–1999); (2) reduced levels
of earnings persistence for our sample firms relative to earnings persistence factors computed by Baginski et al. (2003) during earlier time periods (1970s–1980s); (3) relative impact on the predictive ability of the five expectation models
conditioned upon the extent of analyst coverage of sample firms (i.e., no coverage, moderate coverage, and extensive coverage);
and (4) sensitivity of predictive performance across subsets of regulated firms with the BR ARIMA model providing the most
accurate predictions for utilities (n = 87) while the RWD model is superior for financial institutions (n = 131).
相似文献
Kenneth S. Lorek (Corresponding author)Email: |
G. Lee WillingerEmail: |
5.
6.
Derek K. Oler 《Review of Accounting Studies》2008,13(4):479-511
This paper investigates whether an acquirer’s pre-announcement cash level can predict post-acquisition returns. Harford (1999, Journal of Finance, 54, 1969–1997) shows that some cash-rich acquirers have lower announcement period returns than other acquirers, suggesting the
market partially anticipates poor future performance. This paper shows that the acquirer’s cash level is also strongly and
negatively predictive of post-acquisition returns, indicating that the announcement response is incomplete. Post-acquisition
return on net operating assets (RNOA) is significantly decreasing in acquirer cash, suggesting that the market responds to
subsequent poor operating performance as it is reported. Overall, these results are consistent with the market’s inattention
to a less prominent accounting signal (acquirer cash) but attentiveness to a more prominent accounting signal (RNOA), as proposed
by Hirshleifer and Teoh (2003, Journal of Accounting Economics, 36, 337–386).
相似文献
Derek K. OlerEmail: |
7.
Landsman and Maydew (J Acc Res 40:797–808, 2002) document that the information content of earnings announcements has increased
over the past three decades, and Francis et al. (Acc Rev, 77:515–546, 2002) conclude that expanded concurrent disclosures
in firms’ earnings announcements, especially the inclusion of detailed income statements, explain this increase. We posit
and find that the temporal increase in the intensity of the market’s reaction to Street earnings offers a competing explanation
for the Landsman and Maydew finding. We also find that expanded concurrent disclosure of GAAP-based information contributes
to the temporal increase in the information content of earnings announcements. However, unlike Francis et al., we find that
the temporal increase in concurrent balance sheet and cash flow statement information dominates concurrent income statement
information once we control for Street earnings.
相似文献
Hong XieEmail: |
8.
Corporate cash holdings: Evidence from Switzerland 总被引:1,自引:0,他引:1
Wolfgang Drobetz Matthias C. Grüninger 《Financial Markets and Portfolio Management》2007,21(3):293-324
This paper investigates the determinants of cash holdings for a comprehensive sample of Swiss non-financial firms between
1995 and 2004. The median Swiss firm holds almost twice as much cash and cash equivalents as the median US or UK firm. Our
results indicate that asset tangibility and firm size are both negatively related to corporate cash holdings, and that there
is a non-linear relationship between the leverage ratio and liquidity. Dividend payments and operating cash flows are positively
related to cash reserves, but we cannot detect a significant relationship between growth opportunities and cash holdings.
Most of these empirical findings, but not all of them, can be explained by the transaction costs motive and/or the precautionary
motive. Analyzing the corporate governance structures of Swiss firms, we document a non-linear relationship between managerial
ownership and cash holdings, indicating an incentive alignment effect and an opposing effect related to increasing risk aversion.
Finally, our results suggest that firms in which the CEO simultaneously serves as the COB hold significantly more cash.
相似文献
Matthias C. GrüningerEmail: |
9.
Annette Nguyen Robert Faff Philip Gharghori 《Review of Quantitative Finance and Accounting》2009,33(2):141-158
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fama and French (J Financ Econ 33:3–56, 1993) model’s ability to explain the cross sectional variation in equity returns is because the Fama–French factors are proxying
for risk associated with future GDP growth in the Australian equities market. To assess the validity of Vassalou’s findings,
we augment the CAPM and the Fama–French model with a GDP growth factor and run system regressions of the GDP-enhanced models
using the GMM approach. Our results suggest that news about future GDP growth is not priced in equity returns and that any
ability that SMB and HML exhibit in explaining equity returns is not because they contain information about future GDP growth.
相似文献
Philip Gharghori (Corresponding author)Email: |
10.
We examine the incremental information content of the components of cash flows from operations (CFO). Specifically the research question examined in this paper is whether models incorporating components of CFO to predict future earnings provide lower prediction errors than models incorporating simply net CFO. We use Australian data in this setting as all companies were required to provide information using the direct method during the sample period. We find that the cash flow components model is superior to an aggregate cash flow model in terms of explanatory power and predictive ability for future earnings; and that disclosure of non‐core (core) cash flows components is (not) useful in both respects. Our results are of relevance to investors and analysts in estimating earnings forecasts, managers of firms in regulators’ domains where choice is provided with respect to the disclosure of CFO and also to regulators’ deliberations on disclosure requirements and recommendations. 相似文献
11.
Herding,momentum and investor over-reaction 总被引:2,自引:2,他引:0
In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants
beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based
on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity
has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional
wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that
investor over-reaction is significant only in the case of high-SPEC firms.
相似文献
Murugappa (Murgie) Krishnan (Corresponding author)Email: |
12.
Marcel Naujoks Kevin Aretz Alexander G. Kerl Andreas Walter 《Financial Markets and Portfolio Management》2009,23(1):3-29
We employ an innovative methodology suggested by Bernhardt et al. (J. Financ. Econ. 80:657–675, 2006) to examine the herding (or anti-herding) behavior of German analysts regarding earnings forecasts. This methodology avoids
well-known shortcomings often encountered in related studies, such as correlated information signals, unexpected common shocks
to earnings, systematic optimism or pessimism, or forecast target mismeasurement. Our findings suggest that German analysts
anti-herd, that is, they systematically issue earnings forecasts that are further away from the consensus forecast than their
private information indicates. Furthermore, we analyze the association between herding behavior and different characteristics,
including the size of the brokerage, general or firm-specific experience, and the coverage of firms on the Neuer Markt. We mainly confirm findings for the United States, for example, that anti-herding is more severe in cases of higher competition
among analysts. Contrary to anecdotal evidence, we also find anti-herding behavior in earnings forecasts for Neuer Markt firms during the “new economy” bubble.
相似文献
Andreas Walter (Corresponding author)Email: |
13.
Our model, which is adapted from Feltham and Ohlson (Contemp Account Res 11:689–731, 1995) and Ohlson (Contemp Account Res 11:661–687, 1995) and extends Dechow and Dichev (Account Rev 77:35–59, 2002), characterizes the information about future cash flows reflected in accruals. It reveals investors can extract from accruals information about next period’s economic factor and the transitory part of one component of next period’s cash flow. The extent to which each accrual provides this information depends on whether the accrual aligns future or past cash flows and current period economics and whether it relates to the current or prior period. Thus each type of accrual has a different coefficient in valuation and forecasting cash flows or earnings. Each coefficient combines an information weight reflecting the information that accrual type provides and a multiple reflecting how that information is used in valuation and cash flow and earnings forecasting. The empirical evidence supports our main insight, namely that partitioning accruals based on their role in cash-flow alignment increases their ability to forecast future cash flows and earnings and explain firm value. 相似文献
14.
Ahsan Habib 《Australian Accounting Review》2010,20(2):134-143
This paper examines empirically the relative abilities of current operating cash flows (hereafter OCF) and earnings in predicting future operating cash flows in Australia. It extends prior Australian research on cash flow prediction ( Percy and Stokes 1992 ; Clinch, Sidhu and Sing 2002 ; Farshadfar, Ng and Brimble 2009 ) by examining future cash flow predictions for one‐, two‐ and three‐year‐ahead forecast horizons; incorporating additional contextual variables likely to affect the predictive association between current cash flows or earnings and future cash flows; and comparing cross‐sectional versus time series‐based prediction models to ascertain the relative superiority of one approach over the other. Regression results reveal that the cash flow‐based models are more accurate in predicting future operating cash flows than earnings‐based models. This result, however, is moderated by firm‐specific contextual factors like firm size, negative versus positive cash flow pattern, cash flow variability and firm operating cycle. Finally, a comparison between cross‐sectional and time series approaches reveals that the cross‐sectional model outperforms the time series model for both the operating cash flows and earnings models in most of the forecast years. 相似文献
15.
We empirically examine how governance structure affects the design of executive compensation contracts and in particular, the implicit weights of firm performance measures in CEO’s compensation. We find that compensation contracts in firms with higher takeover protection and where the CEO has more influence on governance decisions put more weight on accounting-based measures of performance (return on assets) compared to stock-based performance measures (market returns). In additional tests, we further find that CEO compensation in these firms has lower variance and a higher proportion of cash (versus stock-based) compensation. We further find that CEOs’ incentives (measured as changes in CEO annual wealth which includes expected changes in the value of the CEO’s equity holdings in addition to yearly compensation) do not vary across governance structures. These findings are consistent with CEOs in firms with high takeover protection and where they have more influence on governance negotiating different contracts.
相似文献
Fernando PenalvaEmail: Phone: +34-93-2534200 |
16.
Terry Hallahan Robert W. Faff Karen L. Benson 《Journal of Financial Services Research》2008,33(3):205-220
In this paper we investigate the tournament induced risk-shifting behavior of Australian “multi-sector growth funds”. We apply
a regression-based methodology and examine tournaments based on the calendar year and the financial year. In our core analysis
we find evidence in favor of Taylor’s (J Econ Behav Organ 1455:1–11, 2003) risk shifting tournament hypothesis for financial year-end tournaments. Apart from the standard tournament
hypothesis we also report a range of findings regarding stability; fund age; and fund size. Support for the Taylor hypothesis
generally continues across these variations as well.
相似文献
Terry HallahanEmail: |
17.
James S. Linck Thomas J. Lopez Lynn Rees 《Review of Quantitative Finance and Accounting》2007,28(4):327-352
Firm management typically claims that voluntary accounting method changes (VACs) are made to enhance the informativeness of
earnings by better matching accounting practices with economic reality. In contrast, skeptics argue that managers adopt new
accounting procedures to opportunistically manage earnings and influence their firm’s stock price. In this paper, we investigate
these alternative motives for VACs. Specifically, we investigate whether VACs cause equity prices to deviate from their fundamental
values in the short-term by studying the long-run stock-price performance for a sample of firms that voluntarily change accounting
methods. In addition, we investigate changes in earnings informativeness by examining the behavior of earning response coefficients
and the relationship between earnings and future cash flows in years surrounding the VAC event. In contrast to prior research,
we find little evidence that a strategy based solely on the earnings effect of a VAC can generate abnormal returns. While
we find weak evidence of post-VAC abnormal returns for extreme VACs, this result appears to be driven by the accruals anomaly
documented in Sloan [Sloan, R. G. (1996). The Accounting Review, 71, 289–315]. Our evidence further suggests that earnings informativeness is not significantly altered by voluntary changes
in accounting methods. Taken together, our evidence suggests the market recognizes the financial statement effects of alternative
acceptable accounting methods and efficiently processes the valuation implications of VACs.
相似文献
Lynn Rees (Corresponding author)Email: |
18.
In commercial banking, various statistical models for corporate credit rating have been theoretically promoted and applied
to bank-specific credit portfolios. In this paper, we empirically compare and test the performance of a wide range of parametric
and nonparametric credit rating model approaches in a statistically coherent way, based on a ‘real-world’ data set. We repetitively
(k times) split a large sample of industrial firms’ default data into disjoint training and validation subsamples. For all model types, we estimate k out-of-sample discriminatory power measures, allowing us to compare the models coherently. We observe that more complex and
nonparametric approaches, such as random forest, neural networks, and generalized additive models, perform best in-sample.
However, comparing k out-of-sample cross-validation results, these models overfit and lose some of their predictive power. Rather than improving
discriminatory power, we perceive their major contribution to be their usefulness as diagnostic tools for the selection of
rating factors and the development of simpler, parametric models.
相似文献
Stefan DenzlerEmail: |
19.
An owner delegates investment decisions to a better informed manager whose time preferences are unknown to the owner. Due
to exogenous capital constraints, not all profitable projects can be undertaken, and therefore the owner wants the manager
to select the NPV-maximizing set of projects. We show that the relative benefit cost allocation scheme proposed by prior literature
does not solve this problem. Adopting the same information structure as in Rogerson (J Polit Econ 105, 770–795, 1997) and
Reichelstein (Rev Account Stud 2, 157–180, 1997), we demonstrate how to obtain robust goal congruence using residual income.
The resulting revenue recognition and cost allocation rules lead to a performance measure reflecting the expected NPV-ranking
of projects in each and every period.
相似文献
Moshe BareketEmail: |
20.
Corporate voluntary disclosure and the separation of cash flow rights from control rights 总被引:1,自引:1,他引:0
Kin-Wai Lee 《Review of Quantitative Finance and Accounting》2007,28(4):393-416
We find that corporate voluntary disclosure is negatively associated with the separation of cash flow rights from control
rights. This result is consistent with the notion that as the separation of cash flow rights from control rights increases,
controlling owners have larger incentives to expropriate the wealth of minority shareholders and low corporate disclosure
constitutes a mechanism to facilitate controlling owners in masking their private benefits of control. The negative association
between voluntary disclosure and the separation of cash flow rights from control rights is less pronounced for firms with
greater external financing needs. This result suggests that for firms with high separation of cash flow rights from control
rights, those with greater external financing needs undertake higher firm-level voluntary disclosure to reduce information
asymmetry. We also find that the negative association between voluntary disclosure and the separation of cash flow rights
from control rights is less pronounced for firms that have a large non-management shareholder. Our result supports the role
of large non-management shareholder in mitigating agency problems associated with the separation of ownership and control.
相似文献
Kin-Wai LeeEmail: |