演讲题目：Back to Basics: The Correlation Hypothesis and the Accrual Anomaly

报告人：安然 助理教授

时 间：2019年10月18日（周五）上午10:00-11:30

地 点：嘉庚二208

主持人：吴育辉 教授

参加者：对会计、财务研究有兴趣的师生

摘要：Operating cash flows (CFO) and accruals are negatively correlated, on average, and such correlation can vary across firms and can change over time. Using variations in the correlation between accruals and CFO in the cross-section and in the time series, we can explain several seemingly unrelated empirical regularities of the accrual anomaly (or the accrual effect). First, we can explain the stronger accrual effect among profitable firms, large-sized firms, firms with higher covariation between accruals and the employment growth rate, and firms with higher earnings response coefficients (ERCs). Second, we can explain the inverted U-shape relation between accruals and future stock returns in the recent two decades. Third, we can explain the time-series decline of abnormal returns of the accrual anomaly. We further demonstrate that the strength of the return predictability of components of accruals, such as abnormal accruals, inventory changes, and firm-specific accruals, also depends on the strength of the correlation between the individual accrual component and CFO. Finally, we show that accounting-based return predictors that are correlated with accruals, such as net operating assets, changes in net operating assets, asset growth, and percentage accruals, have stronger return predictability for firms with more negative correlations between the predicting variables and CFO. Overall, we provide a unified explanation of the cross-sectional and time-series variations in the accrual anomaly.

报告人简介：安然，2019年获得香港中文大学会计学博士学位，现任厦门大学管理学院财务学系助理教授，为学生开设财务会计与财务会计理论研究方面的课程。主要研究兴趣为债务契约，资本市场与会计研究，公司融资/信息披露对实体经济行为的影响等。