Why Are Accruals Associated with Analyst Forecast Errors?
利用分析师对非盈余指标的预测和详细的应计数据集，评估了四种解释应计项目与分析师预测误差关联的原因，发现产品市场冲击是最佳解释。
ABSTRACT We exploit analysts’ forecasts of nonearnings measures and a granular accruals dataset to assess different explanations for why accruals are associated with analyst forecast errors. We evaluate four explanations: one accounting-based (the estimation error hypothesis) and three economics-based (related to investment activity, demand slowdowns, and product-market shocks). We find earnings forecast errors are stable over time, almost completely explained by revenue and cash flow errors, span multiple years, and are more pronounced in the presence of product-market shocks. Using a novel dataset of accruals not available in Compustat, we find no evidence that accruals with higher reporting discretion explain analyst forecast errors. Collectively, our evidence suggests that analysts’ forecast errors are best explained by a positive correlation between accruals and product-market shocks, indicating that these errors stem from the challenge of predicting how economic shocks affect future earnings rather than a failure to understand accounting principles or detect earnings management. Data Availability: The data used in this study are commercially available. JEL Classifications: G1; G14; M4; M41.