阅读|资产增长率和应记项目呈负相关时股票回报的可预测性

点击蓝字关注我们，感谢您对CFRI的关注与支持！

Stock return predictability when growth and accrual measures are negatively correlated

资产增长率和应记项目呈负相关时股票回报的可预测性中国投资组合为例

Miao Luo
Sun Yat-Sen University, Guangzhou, China
Tao Chen
Faculty of Business Administration, University of Macau, Macau, China, and
Jun Cai
Department of Economics and Finance, City University of Hong Kong, Hong Kong, China

Citation:

Luo, M., Chen, T. and Cai, J. (2019), "Stock return predictability when growth and accrual measures are negatively correlated", China Finance Review International, Vol. 9 No. 3, pp. 401-422. https://doi.org/10.1108/CFRI-04-2018-0032

摘要 Abstract

For most companies, growth measures such as asset growth are positively correlated with accrual measures. Just like investment in fixed assets, current accrual represents one form of investment and is an integral part of a firm’s business growth. This makes it difficult to distinguish between the growth-based and earnings quality-based interpretations of the accrual effects, because high accruals can represent both high growth and inflated earnings. The purpose of this paper is to add to the literature by examining an issue that has not received much attention: the correlation between asset growth and accruals and its implication on stock return predictability. The authors address the issue using Fama and Macbeth’s (1973) cross-sectional regressions that are conditional on the correlationsbetween the two variables. The authors partition firms based on whether the correlation between current accrual and asset growth in the past five years is positive (ρ+) or negative (ρ-). The authors refer to these two types of firms such as “positive correlation” and “negative correlation” groups. For both groups, the authors examine whether firms with higher asset growth and higher accruals are associated with lower future stock returns. The authors implement Fama and MacBeth’s cross-sectional regressions incorporating the effect of correlations between growth and accrual measures. In addition, the authors regress hedge portfolio returns on Fama and French (1993) three-factor and Fama and French (2015) five-factor models to see if the intercepts (a’s) from these regressions are significantly different from 0. For each year, the authors partition firms based on whether the correlation between asset growth and current accrual is positive or negative. For both the “positive correlation” and “negative correlation” firms, the authors examine the association between accruals and future stock returns. The authors find that accruals remain strong in predicting future stock returns for both groups. The accrual effects from the “negative correlation” group cannot be attributed to the growth-based hypothesis because for these firms, when accruals are high, growth measures tend to be relatively low and vice versa. The effects are most likely driven by the alternative hypothesis that investors overvalue the
accrual part of earnings.

资产增长率和应记项目是两个重要的预测股票回报的变量。大部分情况下资产增长率和应记项目是正相关的。文献中关于资产增长率和股票回报之间的负作用关系的解释是基于投资回报边际效应递减。关于应记项目和股票回报之间的负作用关系的解释是基于投资者高估公司盈利中非现金部分，即应记项目的作用。资产增长率和应记项目是正相关的情况下很难区分这两种解释。我们用过去五年的资产增长率和应记项目的相关系数把公司分成两类，正相关公司和负相关公司。我们发现在负相关公司中，应记项目和股票回报之间的负作用关系仍然显著。因此，在这类公司中，投资者高估公司盈利中非现金部分，即应记项目的作用。投资回报边际效应递减的解释并不适用。

Keywords: Accrual effect, Growth effect, Stock return predictability

Data

The data for the US equity market are from CRSP and COMPUSTAT merged files from WRDS. For stocks listed on NYSE/AMEX/NASDAQ, we obtain monthly returns, monthly stock prices and market capitalization from CRSP. The annual accounting items, such as fiscal year-end, shares outstanding and book value of equity, are from COMPUSTAT. The data for Fama and French (1993, 2015) three- and five-factor returns are from French’s data library webpage.

For the US equity market, we use all NYSE, AMEX and NASDAQ firms, excluding financial firms with four-digit SIC code between 6000 and 6999. Our sample period initially covers the July 1963 to June 2017 period. To ensure we have a reasonable number of firms to carry out three-way sorts in the earlier years of the sample, we start our empirical analysis at June end of 1974. This starting date follows Daniel and Titman (1997). To mitigate the backfilling biases, a firm must have at least two years of COMPUSTAT data before it is included into our sample (Fama and French, 1992, 1993). We exclude firms whose average stock price is below $1.00 over the sample period ( Jegadeesh and Titman, 1993).

Empirical analysis

Summary statistics

Asset growth and current accrual in the “Positive Correlation” and “Negative Correlation” groups of stocks

Fama–MacBeth regressions 

Components of current accrual ΔNWC in the cross-sectional regressions

Discretionary vs nondiscretionary accruals and accrual components

Fama and French three- and five-factor regressions

结论 Conclusion remarks

The accrual effect in stock returns is one of the strongest and most extensively studied effects in the finance and accounting literature. The existing literature has posited two competing explanations for the accrual effect. The first is Sloan’s original earnings fixation hypothesis. The alternative is Fairfield et al.’s (2003) diminishing marginal return hypothesis. Chu (2012) proposes to examine those firms whose NWC tends to become negative as the firms grow over time. For these firms, the correlations between growth and accrual measures (the change in NWC) tend to be negative.
We classify firms into those with “positive correlation” and “negative correlation” between growth and accrual measures based on the correlations between current accrual and asset growth. Our results contrast with earlier evidence that only the earnings quality-based interpretation of accrual effects survives among “negative correlation” firms. We find that the growth and accrual effects remain robust in predicting future returns even among firms with negative correlations between growth and accrual measures. The accrual effects associated with the “negative correlation” firm are interesting as it provides stronger support for the earnings fixation hypothesis that investors overvalue the accrual part of earnings. They are less likely to be driven by the diminishing marginal return hypothesis because, for these firms, accruals and growth measures tend to move in opposite directions.

《中国金融评论》介绍

The China Finance Review International, is published in association with the Antai College of Economics and Management at Shanghai Jiao Tong University, one of the top universities in China. The journal publishes quality empirical and theoretical research on financial and economic issues.

The China Financial Review International aims to promote discussions and publish works helpful to understand important finance and economic issues in the world, especially in China and other emerging markets. We encourage ground-breaking works related to new and niche areas in finance, such as Fintech and socially responsible investments. Critical thinking is a key area the journal emphasizes. We therefore welcome critiques to existing literature and published works in the context of uniqueness of the Chinese market and comparative analysis between emerging markets and developed economies.

The journal acts as a medium between China's finance scholars and international financial economists to share their views and investigate a wide range of issues including:

• Asset pricing

• Banking

• Corporate finance, mergers and acquisitions

• Corporate governance

• Fintech

• Incentive, motivation and game theory

• International trade and finance

• Microstructure of the financial market

• Monetary system and policy

• Personal finance

• Risk management

Currently, the average turnaround time for the initial round decision is 42 days. We aim to render a final decision within two rounds.  Once accepted, individual articles are typeset, proofread and published online as the Version of Record within an average of 32 days, allowing papers to be downloaded and cited earlier.

Official Website:

http://www.emeraldgrouppublishing.com/cfri.htm

China Finance Review International, Editorial Office 

RoomA208, Antai College of Economics & Management, No.1954 Huashan Road, ShanghaiJiao Tong University, China 200030

Email: [e-mail]; [e-mail] 

OfficeTelephone: 86-21-52301267

OnlineSubmission 

http://mc.manuscriptcentral.com/cfri

欢迎您投稿！

友情提示：点击阅读原文可下载全文，提取码: nv38