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会计研究方法论 Lecture 3: Mishkin Tests 开始之前的开始之前 What’s Mishkin Tests 开始之前 References Sloan (1996), AR, 289-315. Xie (2001), AR, 357-373. Beneish and Vargus (2002), AR, 755-791. Hanlon (2005), AR, 137-166. Collins and Hribar (2000), JAE, 101-123. Thomas (2000), JAE, 243-267. Burgstahler et al (2002), JAR, 585-612. Rajgopal et al (2003), RAS, 461-492. Collins et al (2003), RAS, 251-276. Sloan (1996): Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? Synopsis This paper shows that the accrual component of earnings is less persistent than the cash flow component of earnings, but that this difference is not reflected in stock prices.? An investment strategy that goes long in low accrual firms and short in high accruals firms yields annual hedge portfolio returns in excess of 10%.? Variables Measurement 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. However, the investors 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. H2: A trading strategy taking a long position in the stock of 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 returns. H3: The abnormal stock returns predicted in H2 are due to mispricing, not because of risks. Xie (2001): The Mispricing of Abnormal Accruals. Variables Measurement Beneish and Vargus (2002): Insider Trading, Earnings Quality, and Accrual Mispricing. Hypotheses Variables Measurement Hypotheses Tests Hanlon (2005): The Persistence and Pricing of Earnings, Accruals, and Cash Flows When Firms Have Large Book-Tax Difference. Hypotheses H1 H2 H3.1 H3.2 Collins and Hribar (2000): Earnings-ba
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