现金流量表中信息披露质量的优点和不足之处【外文翻译】

1、外文文献翻译译文1、 外文原文原文：Disclosure Quality and the Mispricing of Accruals and Cash FlowIn this paper, we investigate the role that disclosure quality plays in the accurate valuation of accruals and cash flow. We predict that stock prices of firms with higher-quality disclosures more accurately reflect the

2、 persistence of accruals and cash flow. We test our predictions using analyst ratings of disclosure published in the annual Association for Investment Management and Research (AIMR) Corporate Information Committee Reports for the years 1982 through 1996. The results providestrong evidence of mispric

3、ing for the subset of firms with lowerquality disclosures and of a significant reduction in mispricing for the subset of firms with higher-quality disclosures. We confirm the results of our Mishkin tests using returns regressions that also control for investor sophistication, analyst following, and

4、firm life-cycle stage. Overall,our results demonstrate the mitigating effect that higher-quality disclosure has on mispricing.Keywords: Disclosure quality,mispricing, accrual anomaly, cash flowmispricing 1. IntroductionSloan (1996) provides evidence that investors overestimate the persistence of acc

5、ruals and underestimate the persistence of cash flow. This results in mispricing labeled the accrual anomalywhere a trading strategy designed to exploit investors misunderstanding of the persistence of earnings components earns significant abnormal returns. Literature extending Sloan (1996) primaril

6、y focuses on accrual overvaluation (e.g., Xie 2001; Thomas and Zhang 2002; Collins, Gong, and Hribar 2003). However, recent research suggests that research focusing on accrual mispricing without also considering cash flow mispricing is incomplete(Desai, Rajgopal, and Venkatachalam 2004; Yu 2007; Bar

7、one and Magilke2008). Thus, in this paper, we investigate the role that disclosure quality plays in the accurate valuation of both accruals and cash flow. Specifically, we examine whether investors price securities as if they better understand the information in accruals and cash flow for future ear

8、nings for firms with high disclosure quality relative to firms with low disclosure quality.Investigating the association between disclosure quality and the mispricing of accruals and cash flow is important because it highlights the role that disclosure quality plays in helping investors to efficient

9、ly impound accounting information into prices, thus establishing a link between disclosure quality and market efficiency. As such, this study tests a conjecture in Thomas (2000) that the mispricing of earnings information may result from low-quality disclosures. Our results contribute to the literat

10、ure by providing evidence that the existence of at least some market anomalies may be reduced by high-quality disclosure. Moreover,our research may provide evidence to policymakers as they weigh the costs and benefits of mandating improved disclosures.Recent research provides evidence that temporary

11、 accounting distortions arising from accrual estimation errors plays a significant role in the lower earnings persistence of accruals relative to cash flow (Richardson, Sloan, Soliman, and Tuna 2006). These accrual estimation errors could be a result of both unintentional errors in forecasting the f

12、uture economic benefits of accruals and intentional managerial manipulation (Xie 2001; Richardson et al. 2006). Sloan(1996) argues that investors fail to fully understand the differential persistence of accruals because they do not understand the greater subjectivity involved in estimating accruals

13、relative to cash flow. Recent research also suggests that investors underestimate the persistence of cash flow and thus, fail to fully understand the future economic benefits of cash flow (Desai, Rajgopal, and Venkatachalam2004; Yu 2007; Barone and Magilke 2008).Theory suggests that increased disclo

14、sure plays a role in equity markets by reducing information asymmetries, increasing liquidity, and reducing the cost of capital (Diamond and Verrecchia 1991; Kim and Verrecchia 1994). However,very few papers investigate the role that disclosure plays in efficient pricing. Our focus on disclosure is

15、based on the idea that more informative disclosures allow investors to more fully understand the information in accruals and cash flow for future earnings. We conjecture that, all things equal, investors can better understand the managerial assumptions used to record accruals and therefore, can bett

16、er forecast the future economic benefits and valuation implications of accruals when disclosure quality is higher. We also conjecture that, all things equal,investors can better understand the information in cash flow for future earnings,and thus can more accurately value cash flow, when disclosure

17、quality is higher.More specifically, we predict that stock prices of firms with higher-quality disclosures more accurately reflect the lower (higher) earnings persistence of accruals (cash flow) relative to firms with lower-quality disclosures.We test our predictions using analyst ratings of disclos

18、ure quality published in the annual Association for Investment Management and Research (AIMR)Corporate Information Committee Reports for the years 1982 to 1996 inclusive.We follow a string of accounting literature, beginning with Lang and Lundholm(1993), which uses the AIMR overall disclosure scores

19、 as an empirical measure of overall disclosure quality.1 We discuss the AIMR scores in further detail in Section 2.Following Sloan (1996), we use the Mishkin (1983) rational expectations framework (hereafter referred to as the Mishkin test) to examine whether the earnings expectations embedded in st

20、ock prices accurately reflect the differential persistence of the components of earnings (i.e., accruals and cash flow). We first confirm that the mispricing phenomenon documented by Sloan (1996) occurs in our full sample of firms. That is, we find that investors behave as if they overestimate the p

21、ersistence of accruals and underestimate the persistence of cash flow. We then repeat the Mishkin test using two subsamples of firms: High-Quality Disclosers (i.e., firms in the top quintile of disclosure quality) and Low-Quality Disclosers (i.e., firms in the bottom quintile of disclosure quality).

22、2 The results of the subsample analysis reveal that the market prices accruals and cash flow differently for the different subsamples. Specifically, we find significant overpricing of accruals and underpricing of cash flow for Low-Quality Disclosers.However, there is no evidence of mispricing of acc

23、ruals and cash flow for High-Quality Disclosers. This result implies that investors better understand the information in accruals and cash flow for future earnings when disclosure quality is high.Following prior literature (e.g., Collins, Gong, and Hribar 2003; Desai, Rajgopal, and Venkatachalam 200

24、4; Mashruwala, Rajgopal, and Shevlin2006; Barone and Magilke 2008), we use a cross-sectional regression approach to investigate whether accruals and cash flow are associated with future returns after controlling for variables known to predict future returns (i.e., size and book-to-market ratio). Con

25、sistent with recent research, in our full sample,we find no evidence that accruals are associated with future returns when cash flow and the control variables are included in the model (Desai, Rajgopal, and Venkatachalam 2004; Yu 2007; Barone and Magilke 2008). However, we do find evidence that is c

26、onsistent with the existence of cash flow mispricing(Desai, Rajgopal, and Venkatachalam 2004; Yu 2007; Barone and Magilke2008).We then perform the analyses using the higher- and lower-quality disclosure subsamples. We find that cash flow is significantly and positively associated with future returns

27、 for the Low-Quality Disclosers, and we find a significant reduction in mispricing for the High-Quality Disclosers.3 Moreover, in joint tests, we find no evidence of a significant association between cash flow and future returns for the High-Quality Disclosers. Also consistent with the analysis usin

28、g the full sample,we find no evidence of an association between accruals and future returns once cash flow and control variables are included in the model for either of the disclosure subsamples.Finally, we perform the analyses while controlling for variables that are known to be correlated with bot

29、h AIMR scores and returns. We control for high institutional ownership because prior literature documents that firms with higher AIMR rankings have greater institutional investor ownership (Bushee and Noe2000) and that firms with high levels of institutional investor ownership have stock prices that

30、 more accurately reflect accrual persistence (Collins, Gong, and Hribar 2003). We also control for analyst following because prior research finds that firms with higher disclosure scores are followed by more analysts(Lang and Lundholm 1996). Moreover, controlling for analyst following rules out the

31、alternative explanation that our disclosure measure is merely proxying for analyst following. Finally, we control for the current life-cycle stage of the firm (i.e., firm age) because prior literature finds that accruals differ with changes in a firms life cycle (Anthony and Ramesh 1992; Myers, Myer

32、s, and Omer 2003) and because increased voluntary disclosure is more likely among younger firms (Chen, DeFond, and Park 2002). Here, we find that the inferences from this test are consistent with the inferences drawn from our Mishkin tests. Overall, our results suggest that higher-quality disclosure

33、 mitigates the mispricing of earnings components.The remainder of this paper is organized as follows. In Section 2, we summarize the literature most relevant to this study and develop our hypotheses. In Section 3, we discuss the data and sample. We present our results in Section 4 and conclude in Se

34、ction 5. 2. Prior Literature and Development of Hypotheses2.1 The Accrual Anomaly LiteratureSloan (1996) first documented that investors price securities as if they overvalue (undervalue) the information in accruals (cash flow) for future earnings.He finds that significant future abnormal returns ca

35、n be earned by taking long positions in firms with low accruals and short positions in firms with high accruals. Sloan also states.However, he does not control for cash flow in the hedge portfolio tests.Sloans accrual anomaly has received considerable attention from academics over the past decade, a

36、nd a number of subsequent studies have refined our understanding of the accrual anomaly. Extensions of Sloan (1996) find that the accrual anomaly is primarily driven by the mispricing of abnormal or discretionary accruals (Xie 2001) and, more specifically, by inventory changes (Thomas and Zhang 2002

37、). Extant research also provides evidence on the association between the accrual anomaly and the sophistication of financial statement users.Collins, Gong, and Hribar (2003) find that less accrual mispricing is exhibited by firms with high institutional ownership than by firms with low institutional

38、 ownership.Bradshaw, Richardson, and Sloan (2001) find that analyst earnings forecasts do not reflect the predictable negative association between high accruals and future earnings, and Kang and Yoo (2007) also find that analysts overreact to current accruals to a greater degree than investors. Fina

39、lly, recent research investigates the presence of the accrual anomaly in international markets (LaFond2005; Pincus, Rajgopal, and Venkatachalam 2007) and provides evidence that the accrual anomaly is not a phenomenon particular to the U.S. capital markets.Several recent studies test alternative expl

40、anations for the accrual anomaly.For example, Collins and Hribar (2000) document that accrual mispricing is distinct from postearnings announcement drift,4 and Hirshleifer, Hou, and Teoh(2007) investigate whether risk or mispricing explains the accrual anomaly. Their results contradict the idea that

41、 a rational pricing model can explain the accrual anomaly and thus provide evidence in favor of mispricing.Recent research investigates the persistence of the accrual anomaly. Lev and Nissim (2006) find that the magnitude of the negative relation between accruals and future abnormal returns has not

42、declined over time. This finding is especially interesting given the fact that the accrual anomaly has been well documented for a decade. Lev and Nissim (2006) provide evidence suggesting that although institutional investors recognize the anomaly, they choose not to exploit it because of the undesi

43、rable characteristics of the extreme-accruals firms (e.g., small size, low book-to-market ratios). Moreover, they show that individual investors do not exploit the anomaly because of the high information processing and transaction costs, particularly related to short sells, associated with the tradi

44、ng strategy. Mashruwala, Rajgopal, and Shevlin (2006) also investigate why the accrual anomaly is not arbitraged away and find that an arbitrageurs ability to exploit the accrual anomaly is constrained by the risky and costly nature of the associated trades.2.2 The Accrual Anomaly and Cash FlowMore

45、recent research has investigated the role of cash flow in explaining the ability of accruals to predict future returns. Desai, Rajgopal, and Venkatachalam (2004) test Beavers (2002) conjecture that the accrual anomaly may be the glamour anomaly in disguise. They find that operating cash flow capture

46、s the mispricing associated with accruals as well as those associated with traditional valueglamour anomaly proxies (e.g., book-to-market and earnings-to-price ratios). More precisely, the explanatory power of accruals to predict future returns is completely subsumed by the explanatory power of the

47、cash flow variable to predict future returns. Yu (2007) provides similar evidence, documenting that cash flow completely subsumes the ability of accruals to predict future annual returns. Finally,Barone and Magilke (2008) also investigate the accrual anomaly after controlling for cash flow and find

48、that investors price firms with low levels of institutional ownership as if they accurately value accruals, but undervalue cash flow. They also find that investors price firms with high levels of institutional ownership as if they accurately value cash flow and overvalue accruals.Source:MICHAEL S. D

49、RAKE JAMES N. MYERS LINDA A. MYERS：Disclosure Quality and the Mispricing of Accruals and Cash FlowJ. Journal of Accounting, Auditing and Finance.2008(8),P25-292、 翻译文章译文：现金流量表中信息披露质量的优点和不足之处 本文主要研究信息披露质量在准确评估净利润和现金流量中的作用。我们预测,高质量公司的股票价格更准确地反映出持续的利润和现金流量。我们用1982年至1996年年度协会发表在进行投资管理及研究(AIMR)公司信息委员会披露研究

50、比例资料上检测了我们的分析结果。该结果强有力的表明了子公司低质量披露和高质量披露在缺失价格上有很强的影响。用回归分析的方法分析投资者的复杂性和公司生命周期等方面更加确定了我们用Mishkin方法得到的结果。从总体上说，我们的结果证明了高质量披露在信息缺失方面有一些缓解作用。 关键词:信息披露质量、利息、现金流量、信息缺失 引言 史隆(1996)提供了证据,投资者会高估稳定的净利润但低估净现金流量。在缺失信息的结果上，尤其是异常收益率，投资者对营业策划中稳定收入组成部分的认识对异常收益率有较大的影响。在文献方面史隆(1996)首先关注高估利息汇率(例如,谢2001;托马斯和张2002;柯林斯,红

51、,Hribar2003)。然而,最近的研究表明,只关注利息汇率信息缺失而不考虑现金流量信息缺失的研究室不全面的Rajgopal(Venkatachalam2004,2007,Magilke2008年)。因此,在本文中,我们主要研究信息披露在准确评估利润和现金流量方面的作用。具体地说,我们检测了高披露信息公司和低披露信息公司的投资者对证券的定价是否收到他们对在得到公司未来收益对利润和现金流量信息理解的影响。 调查信息披露质量关系和缺失利润和现金流量信息之间的关系是很重要的，调查信息披露质量的关系,这个问题就其优点和不足之处时的现金流是很重要.因为它突显了对于信息披露质量的角色,帮助投资者有效扣押

52、会计信息和价格,从而构建信息披露质量和市场效率之间存在的某种联系。因此,该测试研究验证了托马斯(2000)就盈利信息可能由于低质量的披露观点。我们的研究结果有助于提高依据至少一些市场异常可以降低高质量的披露的结论。此外,我们的研究为决策者和他们的成本与收益提高必修课程的披露提供了证据。 最近的研究表明，临时性的会计信息失真误差在收益中起着重要的作用,在较低的收入相对于对应计利润持续的现金流量提供有力的证据。(Richardson, Sloan, Soliman, and Tuna 2006)。这些收益估计错误可能是无意预测未来的经济效益和故意之管理操纵所导致的结果。(谢2001,里查德森孙俐。

53、2006)。史隆(1996)认为投资者未能充分了解微分持续不断的盈余,因为他们不懂参与更大的主体性估计与现金流量。最近的研究也表明投资者低估了持续不断的现金流，从而造成未能完全了解未来的经济效益。依据Rajgopal现金量,Venkatachalam2004,2007，Magilke2008年的看法)。该理论表明,继续增加披露在股票市场中扮演的重要的角色,以减少信息的不对称,提高现金流动性,减少资金成本(Diamond and Verrecchia 1991; Kim and Verrecchia 1994)。但是很少有论文探讨有效定价在信息披露中起到的作用。我们专注于披露是基于这样一种理念:

54、更多的信息披露允许投资者更全面了解信息对未来现金流量的收入所表现出的优点和不足之处。我们推测,所有的一切都是平等的,投资者可以更好地了解管理假设用来记录应计利润,因此,可以更好地预测未来的经济效益和评价信息披露质量较高时对利润的影响。我们也猜测,所有的一切都平等,当信息披露质量较高时，投资者可以更好地为未来收益现金流量去更好地了解信息,从而更准确地评估现金流。更确切地说,我们预测,更高质量披露公司的股票价格更为精确地反映收入低(较高)坚持应计利润(的现金流)相对于增长只能带来低品质公司披露。 我们用发表早在一年一度的AIMR分析师信息披露在1982年到1996年度公司信息委员会报告质量评分证实

55、了我们的预测。我们跟踪一系列的会计文献报告，从1993年的Lang Lundholm用AIMR整体披露分数作为标准衡量质量开始。我们在第二部分对AIMR分数进行了详细的讨论分析。在Sloan证明之后，我们用MiSkin理性预期框架来检测预期盈利是否准确地反映微小的组成部分（如收入现金流）其优点和不足之处。我们首先确认了Sloan中发生的错误定价现象在我们所有的样本信息中。也就是说，我们发现投资者行为比如过高的估计持续的利益或过低的预计现金流量。我们重复Mishkin测试二次抽样样本公司：高质量的公司和低质量的公司。对二次抽样的结果分析表示市场价格盈余和现金流量在不同的抽样样本中不一样。特别地，

56、我们发现低质量公司有较为严重的过高估计收益和过低估计现金流量的现象。然而，没有明显的现象表明高质量公司错误估计收益和现金流量。这些结果表明高质量公司投资者从信息中获得收益和现金流量的较好估计。从之前的文献中，比如Collins, Gong, and Hribar 2003 Desai, Rajgopal, and Venkatachalam 2004; Mashruwala, Rajgopal, and Shevlin2006; Barone and Magilke 2008，我们用横截面分析法得出调查发现收益和现金流量和未来返还可以在分析可控制变量的方法下分析预期返还量，比如说大小和市面值比

57、率。根据最近的研究，在我们的充分样本中，现金流和控制变量都在我们的模型中我们还没有找到证据与有关未来回报有关。Desai, Rajgopal, and Venkatachalam 2004; Yu 2007。然而，我们发现与之一致的现金流量大涨。Desai, Rajgopal, and Venkatachalam 2004; Yu 2007; Barone and Magilke2008然后执行的分析,采用高增长只能带来低品质披露的二次抽查样品。我们发现现金流量有显著正相关,与未来的回报,低质量的Disclosers,我们发现有轮状病毒显著意义减少的高质量Disclosers大涨，此外,在共同的测试中,我们发现没有任何证据之间有重大关连现金流和未来收益的高质量Disclosers。也符合充分样本进行分析,我们发现没有证据证明其优点和不足之处之间存在关联未来现金流量和回归一次包括控制变量的模型中披露中的任何一个二次抽查样品。 最后,我们使用在控制分析变量,它被认为是两AIMR与分