Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? 第二組 93353013 楊家瑜 93359044 陳雅蘭

Abstract Stock prices are found to act as if investors fixate on earnings,failing to reflect fully information contained in the accrual and cash flow components of current earnings until that information impacts future earnings.

Introduction This paper contributes in three key respects. Section II：Development of testable hypotheses. Section III：Sample formation and variale measurement. Section IV：The empirical results. Section V：Conclusions.

Development of Hypotheses H1：The persistence of current earnings performance is decreasing in the magnitude of the accrual component of earnings and increasing in the magnitude of the cash flow component of earnings. 形成原因：1.Graham et al.(1962) 2.Bernstein (1993) 3.FASB (1980)

形成原因：1.Following Ball and Brown(1968) H2(i)：The earnings expectations embedded in stock prices fail to reflect fully the higher earnings persistence attributable to the cash flow component of earnings and the lower earnings persistence attributable to the accrual component of earnings. 形成原因：1.Following Ball and Brown(1968) 2.Ou and Penman (1989)；Bernard and Thomas(1990)； Hand(1990 )；Maines and Hand(1996) 3.Function fixation hypothesis

H2(ii)：A trading strategy taking a long position in the stock firms reporting relatively low levels of accruals and a short position in the stock of firms reporting relatively high levels of accruals generates positive abnormal stock returns.

H2(iii)：The abnormal stock returns predicted in H2(ii) are clustered around future earnings announcement dates. Bernard and Thomas(1990)：40% drift is clustered around future earnings announcements.

Conclusions 股價的表現與傳統效率市場觀點不同。 低持續性有多少程度是由盈餘管理造成的？ 意圖操縱股價時，盈餘管理是否被實施？