Implications of Firms Having Both Highly Negative Accruals and Cash Flows for Test of Accruals Anomaly
研究发现，同时具有高度负应计项目和负现金流的企业未来股票收益极低，这会削弱应计异象并强化现金流异象，且这类企业可解释亏损企业应计异象的缺失。
SYNOPSIS This study provides evidence that the weak (asset-deflated) accruals anomaly is attributable to firms having both highly negative accruals and cash flows. These firms yield highly negative future stock returns, which weakens the accruals anomaly by depressing overall future stock returns of the lowest accruals portfolio while reinforcing the cash flows anomaly. Among accruals components, accounts payable, depreciation, and non-current accruals capture their declining economic fundamentals and drive away the accruals anomaly. Additionally, we document that firms having both highly negative accruals and cash flows can account for the nonexistence of the accruals anomaly for loss firms, and reconcile the weak asset-deflated accruals anomaly with the robust earnings-deflated accruals anomaly (i.e., percent accruals). Overall, our findings suggest that implications of negative accruals depend on the level of cash flows, and a small subset of firms having both highly negative accruals and cash flows may distort the results of accruals anomaly tests.