1、本科畢業論文（設計）外 文 翻 譯原文：The pricing of earnings and cash flows and an affirmation of accrual accountingThis paper examines a core idea in accounting, drummed into every beginning accounting student: accrual accounting, rather than cash accounting, is appropriate for business reporting. Accounting goes b

2、eyond a mere cash book, to report (accrual) earnings rather than cash flow as the measure of valued added. The paper investigates whether common shares are priced in the stock market according to accounting prescriptions on how earnings and cash flows affect shareholders equity.To develop an empiric

3、al specification that incorporates the prescriptions, the paper first formally lays out how earnings and cash flows relate to shareholders equity in the accounting system. With a focus on the shareholder, it makes the standard distinction in both valuation theory and accounting between the business

4、and the equity claim on the business. Under accrual accounting, earnings from the business add to both the book value of assets and the book value of the equity claim on those assets. This, of course, is well appreciated. Less appreciated, however, are prescriptions about cash flow that are imbedded

5、 in accrual accounting: net cash flow from a businesscommonly referred to as free cash flowhas no effect of the book value of the equity (we show) but reduces the book value of business assets, dollar- for- dollar. Accrual accounting treats cash flow not as an addition to business value but as a pay

6、out from the business. That payout reduces the value of business without affecting the cum-dividend value of the equity.The empirical analysis shows that the stock market prices business firms and equity claims on firms according to this prescription. We find that, on average, annual changes in both

7、 the market value of the firm and the market value of equity shares are positively related to annual earnings. However, given earnings, changes in the market value of the firm are negatively related to cash flows from the firm. Indeed, a dollar of free cash flow is, on average, associated with appro

8、ximately a dollar less in market value of the firm, while changes in the market value of equity are unrelated to the free cash flow that business generates. Furthermore, separating out the investment portion of flow free cash flow, we find that the remaining cash flow from operations is also associa

9、ted with lower market value for the firm, dollar-for-dollar, and is unrelated to changes in equity value.The result with respect to earnings is, of course, not new; the finding of a positive correlation between earnings changes and stock returns in the Ball and Brown (1968) paper is an affirmation o

10、f accrual accounting, replicated many times. Dechow (1994) and Dechow et al. (1998), among others, affirm the importance of accruals over cash flows under a variety of conditions. Our analysis explores an additional feature of accounting: not only does accrual accounting promote earnings as the prim

11、ary valuation attribute (rather than cash flows), but actually treats cash flows as irrelevant to equity valuation. Our empirical analysis affirms.The result with respect to cash flows may be surprising, for one typically thinks of cash flow as a goodmore cash flow means higher valueand analysts oft

12、en recommend stocks of companies that have positive cash flow. However, our results are not surprising when one recognizes that economic theory also affirms the accounting: accrual accounting operates in a way that recognizes Miller and Modigliani (1961) notion of dividend displacement and the compl

13、ementary notion of dividend irrelevance. Just as dividends, the distribution of cash to shareholders, reduce the equity claim but do not affect the cum-dividend value of equity, free cash flow, the corresponding distribution from the firm (to all claimants), is a dividend from the firm that reduces

14、the value of the firm but does not affect the cum-dividend value of the firm. Because the equity claim is on both the value of the firm and the cash flow, it is unaffected by the cash flow but rather by the cum-dividend value of the firm. In short, accrual accounting honors the foundational principl

15、es of modern finance, and the stock market prices firms and equity claims according to these principles.The results in the paper seemingly conflict with previous research. In Rayburn (1986), Wilson (1987), Dechow (1994), Bowen et al. (1987), Clubb (1995), and Francis et al. (2003), among others, cas

16、h flow variables in return regressions load with a positive coefficient, with and without earnings included. The difference revolves around the issue of specification. This paper develops a regression specification quite methodically (in Sect. 1) so the differences are well understood. Indeed, while

17、 the pricing of earnings and cash flows is our substantive concern, the issue of specification in capital market research is a subtext. In this respect, the paper responds to the Holthausen and Watts (2001) criticism that capital markets research in accounting has had little to contribute to normati

18、ve issues faced by standard setters. With attention to specificationwhich Holthausen and Watts argue is necessarywe are able to draw conclusions about a very basic normative issue, the use of cash accounting versus accrual accounting for business reporting. Our result in no way nullifies the results

19、 in other papers; indeed, we are able to reconcile what look like very different findings to the earlier results.The ability of earnings to explain changes in market values depends, of course, on how the earnings are measured. Indeed, one expects cash flow to be informative if earnings are poorly me

20、asured, and the comparison of cash flow to earnings is a standard diagnostic in earnings quality analysis (see, for example, Sloan 1996; Dechow and Dichev 2002; Dechow et al. 2008). We build specifications that explicitly recognize that cash flows (and dividends) can have information content in resp

21、onse to poor earnings measurement. Nevertheless, using US GAAP earnings measures, we find that cash flows, on average, do not explain changes in stock prices. The emphasis that the findings apply on average is important, for GAAP is (presumably) designed for broad application in the cross-section. T

22、he average result in no way abrogates the findings that accrual accounting may be deficient and cash flows relevant in particular contexts.1 Specification of return regressions involving earnings and cash flowsWhile documenting the relevant correlations, most prior research that relates stock prices

23、 and returns to earnings, cash flows, or both does not use pre-specified models. Some exceptions are Jennings (1990), who addresses some specification issues in earnings and cash flows regressions, and Barth et al. (1999), who refer to valuation models to develop regression equations involving earni

24、ngs and cash flows. In this paper we develop a specification and then put it to the test. The specification is dictated by the accounting structure that produces earnings and cash flows numbers. We first lay out this structure (in Sect. 1.1), then specify pricing equations that incorporate the struc

25、ture (in Sect. 1.2), which we then take to the data (in Sect. 2). A general discussion of specification of returns regressions containing accounting numbers is in the Appendix.1.1 Accounting relations that govern accrual accountingAccrual accounting, at least nominally, tracks the evolution of share

26、holders equity over discrete periods; in each period, accounting calculates a number, earnings, which update shareholders equity via the closing entry. We lay out a set of accounting operations that amount to prescriptions that govern the accounting. We start with cash flows.1.1.1 Cash flow relation

27、sThe firm (the business operations) is distinguished from the claims on the firm, as in the typical balance sheet. Correspondingly, cash flows generated by a business (free cash flow) are distinguished from those paid to claimants. The standard cash conservation equation equates the two:Free Cash Fl

28、ow = d + F (1)As the analysis focuses on the pricing of common shares, the dividend to common shareholders, d, is distinguished from payments to all other claimants (such as bondholders and preferred stock holders), F. Distributions to debt issuersby the purchase of financial assets with the cashare

29、 also an application of free cash flow, so F refers to cash payments to net debt holders (debt holders and debt issuers). Dividends, d, are net cash distributions to shareholders (dividends plus stock repurchases less stock issues).It is common to distinguish the two components of free cash flow, ca

30、sh from operations (C) and cash investment (I): Free Cash Flow = C - I. The distinction between C and I is an accrual accounting issue, however, involving an allocation to periodic income statements that does not bear on net cash generated. To delineate clearly between cash and accrual accounting, o

31、ur reference will be to the net cash from operations, that is, free cash flow. However, at the end of the paper we will distinguish between C and I to examine the pricing of cash from operations (C) with which previous papers have largely been concerned. So we will denote free cash flow as C - I wit

32、h the reminder that this refers to the net cash flow from operations.1.1.2 Accrual accounting for the firmAccrual accounting adjusts free cash flows from operations on the left hand side of Eq. 1 to yield income from operations, as follows:OI= (C-I) + I + Operating accruals (2)The adjustments are ad

33、ded to net operating assets on the balance sheet:NOA= I + Operating accruals . (3)While Eq. 3 distinguishes between cash investment (like purchases of equipment) and operating accrual components of DNOA (like receivables and payables), cash investment is really an accrual that allocates current cash

34、 flows to income in future periods. Accordingly, DNOA is total accruals, comprised of current cash flows booked to the balance sheet as investments plus other non-cash flows also recorded to the balance sheet.1.1.3 Accrual accounting for shareholders equityAs well as tracking net operating assets, a

35、ccrual accounting tracks net financial obligations (NFO) to net debtholders such that the balance sheet reports the common shareholders equity (B, for book value) as the residual claim on the net operating assets:B = NOA - NFO . (4) Thus the updating of the shareholders equity obeys the relation,B =

36、 NOA - NFO .(5)The change in NOA can be stated in terms of accrual and cash flow components. As I + operating accruals = OI - (C - I), by Eq. 2, the change in net operating assets in Eq. 3 can be restated asNOA = OI (C I). (6)Similarly, the change in net financial obligations is the difference betwe

37、en the net financial expenses (NFE) recorded in the income statement under accrual accounting and cash flow to net debtholders, F: NFO = NFE - F. But F = (C - I) - d, by the cash conservation Eq. 1, soNFO = NFE (C I) + d.(7)By taking the difference between Eqs. 6 and 7, the change in shareholders eq

38、uity is accounted for:B =OI ( C I ) - NFE + ( C I ) -d=OI - NFE d. (8)=Earnings - dwhere earnings are comprehensive earnings. Equation 8 is, of course, the clean surplus equation for updating shareholders equity, forced by the balance sheet Eq. 5 and the accounting for net operating assets and net f

39、inancial obligations in Eqs. 6 and 7.1.1.4 The normative prescriptions and the economics of cash flowsAs fixed relations, the accounting relations in Eqs. 18 are normative prescriptions that direct how one accounts for equity value. In particular, Eqs. 6 and 7 embed presumptions about the relevance

40、of earnings and free cash flow for determining equity value. By Eq. 6, operating income increases net operating assets, but free cash flow reduces net operating assets; indeed free cash flow reduces net operating assets dollar for dollar. By Eq. 7, free cash flow also reduces net financial obligatio

41、ns; free cash flow, net of dividends, reduces net indebtedness dollar for dollar. But, as shown in Eq. 8, free cash flow drops out of the calculation of shareholders equity: accrual accounting treats free cash flow as if it is irrelevant to the value of equity.These prescriptions are at the heart of

42、 accrual accounting; they articulate the exception that accrual accounting takes to cash accounting. They are, therefore, worthy of validation against the actual equity pricing in the stock market, and our empirical analysis does so. Specifically, it asks whether, given operating income, the stock m

43、arket prices free cash flow as a one-to-one reduction of the value of the firm, as in Eq. 6 and, given earnings, the market prices free cash flow as having no effect on the value of shareholders equity, as in Eq. 8.Source: Stephen H. Penman. Nir Yehuda,2009 “The pricing of earnings and cash flows an

44、d an affirmation of accrual accounting” .Springer Science,13 August, pp.453-458.譯文： 收入和現金流量的定價和權責發生制的確認本文探討了會計的核心理念，告訴每個會計初學者：權責發生制會計比現金會計，在制定企業報告時更為適當。會計不只是單純的通過現金賬簿來報告（增值）收入，還要把現金流量作為價值增加的計量方法。本文調查研究普通股在股票市場上的定價是否會根據會計預計收入和現金流量來影響股東權益。要制定一個包含計劃的規范的實證，第一次正式的文件規定了如何盈利和現金流量怎么與在會計系統的股東權益相關聯。隨著對股東的焦點轉移

45、，它產生了在兩個估價理論與企業之間和企業權益的會計之間的標準區別。根據權責發生制，企業收入使資產的賬面價值以及這些資產的股權債權的賬面價值都得到了增加。這當然是十分值得贊賞的。然而，被贊賞較少的，是在權責發生制下被嵌入關于現金流量的計劃：企業的凈現金流量，就是我們通常所說的自由現金流量，并不對股權（我們展示出來的）賬面價值產生影響，但降低了企業資產的賬面價值。以“一美元換一美元”的等額方式補償不再收回的償還債務。權責發生制的處理不可作為增值業務，但可作為一個從業務支出的現金流量。那項支出減少的商業價值，無需影響產權的附帶股息價值。實證分析表明，股票的市場價格和商業公司根據本公司股權計劃進行索賠

46、。我們發現，平均而言，無論是在公司的市場價值和市場價值年股權變動都被計入呈正相關的年度收益。然而，考慮到贏利能力，該公司市場價值的變化與從公司的現金流量比較，呈負相關。事實上，就平均而言，美元的自由現金流量是與大約一美元以下的上市公司價值，而股票市值變動與經營活動產生現金流量不相關。此外，分離出來的流動的自由現金流量的投資部分，我們發現，其余的“經營業務產生的現金流量” 與降低公司市場價值相聯系，“一美元換一美元”，并與權益價值的變化無關。相對于盈利的結果，當然，不是新產生的；一個在收益的變化、鮑爾股票報酬和布朗（1968）研究報告之間的正相關的關系調查，是權責發生制的確認，并且重復多次。德周

47、（1994年）和德周（1998年）等等，確認各種條件下的應計項目對現金流量的重要性。我們的分析，探討了會計附加功能：不僅促進權責發生制屬性作為主要估值收益（而不是現金流量），但實際上是把現金流量作為無關的股權估值來看待。我們的實證分析證實了這一觀點。相對于現金流量的結論可能會令人吃驚，一個典型的被認為是“良好的”現金流更多的現金流意味著更高的價值，并且分析師經常推薦的公司的股票都是有正現金流量的。然而，我們的結果并不令人驚訝，當人認識到經濟理論也肯定了會計：權責發生制會計確認的方式，并且承認了米勒和馬德奇洛尼（1961年）的概念位移和股息紅利無關的互補性概念。股息、現金的發行對股東而言，減少了

48、產權，但不影響股息的價值。現金流量，從該公司相應的分配（包括所有股東），影響了減少企業價值的企業的股息，但是它不影響企業的附帶股息價值。由于雙方的權益要求基于該公司的企業價值和現金流量，它是未受影響的由現金流量，但是相反地由企業的附帶股息價值體現。總之，權責發生制服從于現代金融的基本原則，并且公司股票的市場價格以及債權和股權也是根據這些原則制定的。論文中的結論似乎與先前的研究相沖突。在雷伯恩（1986年），威爾遜（1987年），德周（1994年），博文（1987年），克拉布（1995年）和弗朗西斯（2003年）等人的文獻中，作為回歸的回報的現金流量變量伴隨一個積極系數，有、無收入都包括在內。有

49、所不同的是圍繞著規范的問題。本文建立一個有條理的回歸說明（在第二節第1小標題），這樣，差異就容易被理解了。事實上，盡管收入和現金流量的價格是我們的實質性關注的，但是在資本市場中規范問題的研究是潛在的。在這方面，本文根據霍爾索森和瓦特'(2001) 批評的，關于資本市場的會計研究已經對標準制定者所面臨的規范問題沒有什么貢獻了。其中霍爾索森和瓦特認為有必要的是同時注意規范，我們對現金會計與權責發生制會計的業務報告使用問題，可以得出一個基本的規范性的結論。結果，我們沒有辦法完全反對其他文件的結論。事實上，以先前的結論看，我們可以調和一下看起來完全不同的結論。以盈利能力來解釋市場價值的變化取決

50、于如何計量收入。事實上，如果收益不容易測量，預測的現金流量所提供的信息，與現金流的收益相比，是一個盈利質量分析的判斷標準。（比如：1996年的斯隆; 德周和2002年多的德查夫；2008年中其他的人等）。我們建立了詳細的計劃書，來明確地認識到現金流量（和股息）可以對測量不良收益的信息做出反應。不過，根據美國一般公認會計原則對收益進行測量，我們發現，就平均而言，現金流量并不能解釋股票價格的變化。需要強調的是調查結果的平均適用非常重要，因為會計準則是為（大概）大眾普遍方面的廣泛應用而設計的。無法拋開的平均調查結果是權責發生制會計可能處理不足，以及與在特定情況下的現金流量有關。1 說明收益和現金流量

51、的回歸方程當證明相關關系時，多數早先的研究把股票價格與收益、現金流量聯系起來，或二者都不使用預先指定的模型。有些例外的是詹寧斯（1990年），他解決了盈利和現金流量回歸的一些規范的問題。還有巴特等人（1999年），他們提出估值模型來建立盈利和現金流量的回歸方程。在本文中，我們建立一個假設，然后測試它。該規范是出于產生收入和現金流量的數據的核算結構。我們首先制定出這一結構（1.1節），然后指定定價方程，根據采取的數據（2節）整合結構（1.2節）。含有的會計數據的回報回歸規范的一般性討論是在“附錄”中。1.1會計權責發生制會計關系的支配權責發生制會計，至少在名義上，跟蹤股東權益超過分立周期的演變；在每