現金變化:盈餘持續性和股市反應

Abstract

本研究拆解盈餘中的現金組成要素，並分析其持續性特徵以及定價意涵，並特別著重現金變化此一要素。公司會因為營運基本需求改變而使得現金變化到達某一最佳水準。另一方面，來自於代理問題的次佳現金變化造成經理人的作為會侵蝕股東的最大財富。本研究預期不論是次佳的現金增加或減少將預告較低的次期盈餘，而實證結果符合此預期。事實上，當不考慮應計數及歸屬於股東及債權人之分配時，本研究發現次佳的現金增加（減少）時具有最低(高)的盈餘持續性。在市場效率測試中，本研究發現市場並不會嚴重處罰(符合理性定價)有次佳現金減少的公司，然而，本研究發現並足以支持市場會過度反應未經授權的現金增加此一盈餘意涵之自負假說。

This paper decomposes the cash component of earnings and analyzes persistence characteristic and pricing implications of various subcomponents, with particular attention to changes in cash. Changes in underlying fundamentals might dictate changes in cash to new optimal levels. Alternatively, suboptimal changes in cash might result from agency costs allowing managers’ actions to diverge from the best interests of shareholders. We predict and find that both suboptimal increases and decreases in cash bode poorly for future earnings. In fact, we find that suboptimal increases (decreases) in cash have less (greater) persistence than any the earnings components we study, not including accruals and net distributions to both shareholders and debt holders. Market efficiency tests indicate that the market do not severely punishes firms with suboptimal decreases in cash, but we find evidence to support the hubris hypothesis that the market overreacts to the earnings implications of unwarranted increases in cash.