從企業生命週期探討應計項目異常現象

Abstract

本研究探討公司所處的生命週期是否會影響盈餘組成份子的持續度與應計項目異常現象。實證結果發現：(1)成長期公司現金流量的持續度會小於成熟與衰退期的公司；成長期公司現金流量的持續度也會小於應計項目的持續度。(2)衰退期公司應計項目的持續度小於成長與成熟期的公司。(3)投資人無法正確反應企業生命週期對現金流量與應計項目持續度的影響。(4)由於股市無法正確評估企業生命週期對盈餘組成份子持續度的影響，因此在不同生命週期下，基於應計項目異常現象所發展的投資組合策略，可獲得超額報酬；另外，基於生命週期與應計項目異常現象所發展的聯合投資策略，可獲得12.80%的年度超額報酬，遠大於只基於應計項目異常現象所獲得的超額報酬(5.3%)。\\n關鍵詞：應計項目、生命週期、應計項目異常現象、現金流量

This study examines the persistence of earnings components and the accrual anomaly over a firm`s life cycle stages. First, we report that, compared to mature or declining firms, the persistence of cash flows is significantly lower during the firm’s growth stage. In fact, within growth firms, the persistence of cash flows is lower than the persistence of accruals. Second, we find that, compared to growing or mature firms, the persistence of accruals is significantly lower during the firm’s stage of decline. Third, we find that stock markets fail to properly reflect the impact of accruals and cash flows on the future earnings over different life cycle stages. Finally, the trading strategies based on the accrual anomaly over different life cycle stages generate abnormal positive one-year-ahead returns. Furthermore, the combining strategy based on the accrual anomaly and the firm’s life cycle stage generates a one-year-ahead hedge return of 12.8%, which significantly exceeds the one-year-ahead head return based on accrual anomaly alone (5.3%). Keywords: Accruals, Accrual anomaly, Firm`s life cycle, Cash flows.