The Incremental Information Content of Accruals: Evidence Based on the Exponential Smoothing of Levels and Trends in Pre‐Tax Earnings, Funds Flow and Cash Flow
通过将应计会计恒等式组织为市场响应模型层级，检验当期与非当期应计项目是否具有超出收益的增量信息含量。结果发现，通过指数加权估计报告数字的意外部分，可提高资金流量和现金流量披露的解释力。
By arranging the accrual accounting identity as a hierarchy of market response models, this paper investigates whether current and noncurrent accruals have incremental information content beyond earnings. The results indicate that the increase in explanatory power attributable to funds flow and cash flow disclosure can be improved upon by estimating the surprises in reported numbers by exponentially weighting prior values. The unexpected information simplifies to the weighted sum of deviations from the estimated level and estimated trend. Further improvements are obtained by allowing components of the error to vary with time and by company in a non‐autoregressive, homoscedastic pooling scheme which takes account of the joint presence of time series disturbance and cross sectional disturbance.