分析師對應計項目持續性認知之研究

Analysts’ Cognition for Accruals Persistence

本研究係從財務分析師之資訊中介者角度，針對分析師預測進行效率性測試，以公司實際盈餘與分析師預測盈餘間之差距，來探討分析師對盈餘持續性，尤其是應計項目持續性之認知；分析師在預測公司未來盈餘時，是否能夠分辨本期盈餘組成要素中有關應計項目與現金流量間資訊內涵之差異。就各盈餘組成要素之實際盈餘持續性而言，實證結果顯示現金流量之盈餘持續性高於應計項目；非裁決性應計項目之盈餘持續性高於裁決性應計項目；流動性應計項目之盈餘持續性高於非流動性應計項目；而將應計項目依其經濟交易性質分解後個別表達，確實會增加其對預測未來盈餘之解釋力。經測試分析師預測是否可有效率地反應出各盈餘組成要素間持續性不同之資訊內涵後，發現雖然分析師傾向對各盈餘組成要素之持續性估計不足，分析師亦確實會分辨應計項目與現金流量；裁決性與非裁決性應計項目；流動性與非流動性應計項目；及不同經濟交易性質之應計項目組成要素間持續性之差異。 This study tests predictions relating to the role of financial analysts in helpinginvestors’ assessment of the different valuation implications of cash flows and theaccrual components of earnings. We directly evaluate the magnitude of the weightsattached by analysts to earnings components (i.e. their estimates of persistence) relativeto the weights implied by the earnings process (actual persistence). Our findings suggestthat analysts’ forecasts do not appear to fully incorporate the information in priorearnings. Analysts do distinguish between accrual and cash flow components;discretionary and non-discretionary accrual components; current and non-currentaccrual components; and various accrual components of earnings although theygenerally underweight the information in these earnings components. We also find thatdisaggregating earnings into cash flow and the major components of accruals (change inaccounts receivable, change in inventory, change in accounts payable, depreciation andamortization, and other accruals) significantly enhances earnings’ predictive power.