公司盈余预测与资本成本估算——截面回归模型预测VS.分析师预测
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摘要
盈余预测数据的合理利用有助于提高资本成本估算的准确度,截面回归预测模型是近几年来盈余预测研究的热点问题。本文基于中国上市公司的数据以及分析师的盈余预测数据,对公司盈余预测质量以及与资本成本估算质量之间的关系进行了检验。结果显示,中国分析师的盈余预测质量较高,但是根据预测盈余估算的资本成本与可实现报酬率、与风险因素的关系,截面回归预测模型尤其是基于HVZ模型的盈余预测可以取得更好的资本成本估算结果。
The rational use of earnings forecast data helps improving the accuracy of cost of capital estimation, and cross-section regression forecast model is the hot topic of earnings forecast research in recent years. Based on the data of Chinese listed companies and analysts' earnings forecasts, the paper tests the quality of company earnings forecast, and the relationship between earnings forecast with the quality of cost of capital estimation. The empirical results show, Chinese analysts forecast quality is relatively high, but according to the relationship between cost of capital estimates using forecast earnings and the realized rate of return, and risk factors, cross-section regression forecast models, especially the earnings forecast based on HVZ model, can get better cost of capital estimation results.
The rational use of earnings forecast data helps improving the accuracy of cost of capital estimation, and cross-section regression forecast model is the hot topic of earnings forecast research in recent years. Based on the data of Chinese listed companies and analysts' earnings forecasts, the paper tests the quality of company earnings forecast, and the relationship between earnings forecast with the quality of cost of capital estimation. The empirical results show, Chinese analysts forecast quality is relatively high, but according to the relationship between cost of capital estimates using forecast earnings and the realized rate of return, and risk factors, cross-section regression forecast models, especially the earnings forecast based on HVZ model, can get better cost of capital estimation results.
引文
[1] Elton E J. Expected return, realized return, and asset pricing tests[J]. Journal of Finance, 1999,54(4):1198-1220.
[2] Blume M E, Friend I. A new look at the capital asset pricing model[J]. Journal of Finance, 1973,28(1):19-34.
[3] Froot K A, Frankel J A. Forward discount bias:Is it an exchange risk premium?[J]. The Quarterly Journal of Economics, 1989, 104(1):139-161.
[4] Fama E F, French K R. Industry costs of equity[J]. Journal of Financial Economics, 1997, 43(2):153-193.
[5] Gordon J R, Gordon M J. The finite horizon expected return model[J]. Financial Analysts Journal,1997, 53(3):52-61.
[6] Gebhardt W R, Lee C, Swaminathan B. Toward an implied cost of capital[J]. Journal of Accounting Research, 2001, 39(1):135-176.
[7] Claus J, Thomas J. Equity premia as low as three percent? Evidence from analysts'earnings forecasts for domestic and international stock markets[J]. Journal of Finance, 2001, 56(5):1629-1666.
[8] Easton P D. PE ratio, PEG ratios, and estimating the implied expected rate of return on equity capital[J]. The Accounting Review, 2004, 79(1):73-95.
[9] Ohlson J A, Juettner-Nauaroth B E. Expected EPS and EPS growth as determinants of value[J].Journal of Business Finance and Accounting, 2005, 10(2-3):349-365.
[10] Hou K, Van Dijk M A, Zhang Y. The implied cost of capital:A new approach[J]. Journal of Accounting and Economics, 2012, 53(3):504-526.
[11] Francis J, Philbrick D. Analysts'decisions as products of a multi-task environment[J]. Journal of Accounting Research, 1993, 31(2):216-230.
[12] Lin H, Mcnichols M F. Underwriting relationships, analysts'earnings forecasts and investment recommendations[J]. Journal of Accounting and Economics, 1998, 25(1):101-127.
[13] Easton P D, Sommers G A. Effect of analysts'optimism on estimates of the expected rate of return implied by earnings forecasts[J]. Journal of Accounting Research, 2007, 45(5):983-1015.
[14] Easton P D, Monahan S J. An evaluation of accounting-based measures of expected returns[J]. The Accounting Review, 2005, 80(2):501-538.
[15] Abarbanell J S, Bushee B J. Fundamental analysis, future earnings, and stock prices[J]. Journal of Accounting Research, 1997, 35(1):1-24.
[16] Francis J, Olsson P, Oswald D R. Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates[J]. Journal of Accounting Research, 2000, 38(1):45-70.
[17] Porta R. Expectations and the cross-section of stock returns[J]. Journal of Finance, 1996, 51(5):1715-1742.
[18] Hong H, Lim T, Stein J C. Bad news travels slowly:Size, analyst coverage, and the profitability of momentum strategies[J]. Journal of Finance, 2000, 55(1):265-295.
[19] Diether K B, Malloy C J, Scherbina A. Differences of opinion and the cross section of stock returns[J]. Journal of Finance, 2002, 57(5):2113-2141.
[20] Brown L D, Rozeff M S. The superiority of analyst forecasts as measures of expectations:evidence from earnings[J]. Journal of Finance, 1978, 33(1):1-16.
[21] Hou K, Van Dijk M. Profitability shocks and the size effect in the cross-section of expected stock return[EB/OL]. Fisher College of Business Working Paper, 2010, 03-001.
[22] Freeman R N, Penman S H. Book rate-of-return and prediction of earnings changes:An empirical investigation[J]. Journal of Accounting Research, 1982, 20(2):639-653.
[23] Collins D W, Kothari S P. An analysis of intertemporal and cross-sectional determinants of earnings response coefficients[J]. Journal of Accounting and Economics, 1989, 11(2):143-181.
[24] Easton P D, Zmijewski M E. Cross-sectional variation in the stock market response to accounting earnings announcements[J]. Journal of Accounting and Economics, 1989, 11(2-3):117-141.
[25] Ou J A, Penman S H. Accounting measurement, price-earnings ratio, and the information content of security prices[J]. Journal of Accounting Research, 1989, 27(1):111-144.
[26] Basu S. The conservatism principle and the asymmetric timeliness of earnings[J]. Journal of Accounting and Economics, 1997, 24(1):3-37.
[27] Fama E F, French K R. Forecasting profitability and earnings[J]. Journal of Business, 2000, 73(2):161-175.
[28] Fama E F, Macbeth J D. Risk, return, and equilibrium:empirical tests[J]. Journal of Political Economy, 1973, 81(3):607-636.
[29] Miller M H, Modigliani F. Dividend policy, growth, and the valuation of shares[J]. Journal of Business, 1961, 34(4):411-433.
[30] Fama E F, French K R. The corporate cost of capital and the return on corporate investment[J].Journal of Finance, 1999, 54(6):1939-1967.
[31] Fama E F, French K R. Profitability, investment and average returns[J]. Journal of Financial Economics, 2006, 82(3):491-518.
[32] Hou K, Robinson D T. Industry concentration and average stock returns[J]. Journal of Finance,2006, 61(4):1927-1956.
[33] Patatoukas P N. Customer-base concentration:implications for firm performance and capital markets:American accounting association competitive manuscript award winner[J]. The Accounting Review, 2011, 87(2):363-392.
[34] Jones C S, Tuzel S. Inventory investment and the cost of capital[J]. Journal of Financial Economics,2013, 107(3):557-579.
[35]毛新述,叶康涛,张镧.上市公司权益资本成本的测度与评价一基于我国证券市场的经验检验[J].会计研究,2012,(11):12-22.
[36]王春飞,陆正飞,伍利娜.企业集团统一审计与权益资本成本[J].会计研究,2013,(6):75-96.
[37]郝东洋,王静.审计师行业专长降低了公司权益资本成本吗?一基于法制环境与产权性质的分析[J].财经研究,2015,(3):132-144.
[38] Gerakos J, Gramacy R B. Regression-based earnings forecasts[EB/OL]. Chicago Booth Research Paper, 2013, 12-26.
[39] Gode D, Mohanram P. Inferring the cost of capital using the Ohlson-Juettner model[J]. Review of Accounting Studies, 2003, 8(4):399-431.
[40] Li K K, Mohanram P. Evaluating cross-sectional forecasting models for implied cost of capital[J].Review of Accounting Studies, 2014, 19(3):1152-1185.
[41] Richardson S A, Sloan R G, Soliman M T, Tuna I. Accrual reliability, earnings persistence and stock prices[J]. Journal of Accounting and Economics, 2005, 39(3):437-485.
[42] Hribar P, Collins D W. Errors in estimating accruals:Implications for empirical research[J]. Journal of Accounting Research, 2002, 40(1):105-134.
[43]纪茂利.应计盈余的计量比较及对资产负债表法的质疑[J].审计与经济研究,2009,(5):64-69.
[44] Sloan R. Do Stock prices fully reflect information in accruals and cash flows about future earnings?[J]. The Accounting Review, 1996, 71(3):289-315.
[45] Gordon M J. The Investment, Financing, and Valuation of the Corporation[M]. RD Irwin, 1962.
[46] Lee C M C, So E, Wang C. Evaluating implied cost of capital estimates[EB/OL]. SSRN eLibrary,2010, 6:51.
[47]周嘉南,雷霆.股权激励影响上市公司权益资本成本了吗?[J].管理评论,2014,(3):39-52.
[48]邹颖,汪平,张丽敏.股权激励、控股股东与股权资本成本[J].经济管理,2015,(6):98-109.
[49]王想,聂富强.中国股票市场的非对称动态相关性研究[J].数理统计与管理,2016, 35(5):907-915.
[50]史美景,宋婷.股票市场长期波动趋势度量及影响因素分析—基于Spline-GARCH模型[J].数理统计与管理,2015, 34(1):175-182.
[51]毛洪涛,邓博夫.产权性质、真实和应计盈余管理与股权资本成本一来自A股上市公司的经验证据[J].财务研究,2015,(3):37-49.
[52]汪炜,蒋高峰.信息披露,透明度与资本成本[J].经济研究,2004,(7):107-114.
[53]蒋勇,吴武清,王国长,刘幸.会计盈余的均值回复、年度审计效应和跨年效应[J].数理统计与管理,2016,35(3):411-423.
[2] Blume M E, Friend I. A new look at the capital asset pricing model[J]. Journal of Finance, 1973,28(1):19-34.
[3] Froot K A, Frankel J A. Forward discount bias:Is it an exchange risk premium?[J]. The Quarterly Journal of Economics, 1989, 104(1):139-161.
[4] Fama E F, French K R. Industry costs of equity[J]. Journal of Financial Economics, 1997, 43(2):153-193.
[5] Gordon J R, Gordon M J. The finite horizon expected return model[J]. Financial Analysts Journal,1997, 53(3):52-61.
[6] Gebhardt W R, Lee C, Swaminathan B. Toward an implied cost of capital[J]. Journal of Accounting Research, 2001, 39(1):135-176.
[7] Claus J, Thomas J. Equity premia as low as three percent? Evidence from analysts'earnings forecasts for domestic and international stock markets[J]. Journal of Finance, 2001, 56(5):1629-1666.
[8] Easton P D. PE ratio, PEG ratios, and estimating the implied expected rate of return on equity capital[J]. The Accounting Review, 2004, 79(1):73-95.
[9] Ohlson J A, Juettner-Nauaroth B E. Expected EPS and EPS growth as determinants of value[J].Journal of Business Finance and Accounting, 2005, 10(2-3):349-365.
[10] Hou K, Van Dijk M A, Zhang Y. The implied cost of capital:A new approach[J]. Journal of Accounting and Economics, 2012, 53(3):504-526.
[11] Francis J, Philbrick D. Analysts'decisions as products of a multi-task environment[J]. Journal of Accounting Research, 1993, 31(2):216-230.
[12] Lin H, Mcnichols M F. Underwriting relationships, analysts'earnings forecasts and investment recommendations[J]. Journal of Accounting and Economics, 1998, 25(1):101-127.
[13] Easton P D, Sommers G A. Effect of analysts'optimism on estimates of the expected rate of return implied by earnings forecasts[J]. Journal of Accounting Research, 2007, 45(5):983-1015.
[14] Easton P D, Monahan S J. An evaluation of accounting-based measures of expected returns[J]. The Accounting Review, 2005, 80(2):501-538.
[15] Abarbanell J S, Bushee B J. Fundamental analysis, future earnings, and stock prices[J]. Journal of Accounting Research, 1997, 35(1):1-24.
[16] Francis J, Olsson P, Oswald D R. Comparing the accuracy and explainability of dividend, free cash flow, and abnormal earnings equity value estimates[J]. Journal of Accounting Research, 2000, 38(1):45-70.
[17] Porta R. Expectations and the cross-section of stock returns[J]. Journal of Finance, 1996, 51(5):1715-1742.
[18] Hong H, Lim T, Stein J C. Bad news travels slowly:Size, analyst coverage, and the profitability of momentum strategies[J]. Journal of Finance, 2000, 55(1):265-295.
[19] Diether K B, Malloy C J, Scherbina A. Differences of opinion and the cross section of stock returns[J]. Journal of Finance, 2002, 57(5):2113-2141.
[20] Brown L D, Rozeff M S. The superiority of analyst forecasts as measures of expectations:evidence from earnings[J]. Journal of Finance, 1978, 33(1):1-16.
[21] Hou K, Van Dijk M. Profitability shocks and the size effect in the cross-section of expected stock return[EB/OL]. Fisher College of Business Working Paper, 2010, 03-001.
[22] Freeman R N, Penman S H. Book rate-of-return and prediction of earnings changes:An empirical investigation[J]. Journal of Accounting Research, 1982, 20(2):639-653.
[23] Collins D W, Kothari S P. An analysis of intertemporal and cross-sectional determinants of earnings response coefficients[J]. Journal of Accounting and Economics, 1989, 11(2):143-181.
[24] Easton P D, Zmijewski M E. Cross-sectional variation in the stock market response to accounting earnings announcements[J]. Journal of Accounting and Economics, 1989, 11(2-3):117-141.
[25] Ou J A, Penman S H. Accounting measurement, price-earnings ratio, and the information content of security prices[J]. Journal of Accounting Research, 1989, 27(1):111-144.
[26] Basu S. The conservatism principle and the asymmetric timeliness of earnings[J]. Journal of Accounting and Economics, 1997, 24(1):3-37.
[27] Fama E F, French K R. Forecasting profitability and earnings[J]. Journal of Business, 2000, 73(2):161-175.
[28] Fama E F, Macbeth J D. Risk, return, and equilibrium:empirical tests[J]. Journal of Political Economy, 1973, 81(3):607-636.
[29] Miller M H, Modigliani F. Dividend policy, growth, and the valuation of shares[J]. Journal of Business, 1961, 34(4):411-433.
[30] Fama E F, French K R. The corporate cost of capital and the return on corporate investment[J].Journal of Finance, 1999, 54(6):1939-1967.
[31] Fama E F, French K R. Profitability, investment and average returns[J]. Journal of Financial Economics, 2006, 82(3):491-518.
[32] Hou K, Robinson D T. Industry concentration and average stock returns[J]. Journal of Finance,2006, 61(4):1927-1956.
[33] Patatoukas P N. Customer-base concentration:implications for firm performance and capital markets:American accounting association competitive manuscript award winner[J]. The Accounting Review, 2011, 87(2):363-392.
[34] Jones C S, Tuzel S. Inventory investment and the cost of capital[J]. Journal of Financial Economics,2013, 107(3):557-579.
[35]毛新述,叶康涛,张镧.上市公司权益资本成本的测度与评价一基于我国证券市场的经验检验[J].会计研究,2012,(11):12-22.
[36]王春飞,陆正飞,伍利娜.企业集团统一审计与权益资本成本[J].会计研究,2013,(6):75-96.
[37]郝东洋,王静.审计师行业专长降低了公司权益资本成本吗?一基于法制环境与产权性质的分析[J].财经研究,2015,(3):132-144.
[38] Gerakos J, Gramacy R B. Regression-based earnings forecasts[EB/OL]. Chicago Booth Research Paper, 2013, 12-26.
[39] Gode D, Mohanram P. Inferring the cost of capital using the Ohlson-Juettner model[J]. Review of Accounting Studies, 2003, 8(4):399-431.
[40] Li K K, Mohanram P. Evaluating cross-sectional forecasting models for implied cost of capital[J].Review of Accounting Studies, 2014, 19(3):1152-1185.
[41] Richardson S A, Sloan R G, Soliman M T, Tuna I. Accrual reliability, earnings persistence and stock prices[J]. Journal of Accounting and Economics, 2005, 39(3):437-485.
[42] Hribar P, Collins D W. Errors in estimating accruals:Implications for empirical research[J]. Journal of Accounting Research, 2002, 40(1):105-134.
[43]纪茂利.应计盈余的计量比较及对资产负债表法的质疑[J].审计与经济研究,2009,(5):64-69.
[44] Sloan R. Do Stock prices fully reflect information in accruals and cash flows about future earnings?[J]. The Accounting Review, 1996, 71(3):289-315.
[45] Gordon M J. The Investment, Financing, and Valuation of the Corporation[M]. RD Irwin, 1962.
[46] Lee C M C, So E, Wang C. Evaluating implied cost of capital estimates[EB/OL]. SSRN eLibrary,2010, 6:51.
[47]周嘉南,雷霆.股权激励影响上市公司权益资本成本了吗?[J].管理评论,2014,(3):39-52.
[48]邹颖,汪平,张丽敏.股权激励、控股股东与股权资本成本[J].经济管理,2015,(6):98-109.
[49]王想,聂富强.中国股票市场的非对称动态相关性研究[J].数理统计与管理,2016, 35(5):907-915.
[50]史美景,宋婷.股票市场长期波动趋势度量及影响因素分析—基于Spline-GARCH模型[J].数理统计与管理,2015, 34(1):175-182.
[51]毛洪涛,邓博夫.产权性质、真实和应计盈余管理与股权资本成本一来自A股上市公司的经验证据[J].财务研究,2015,(3):37-49.
[52]汪炜,蒋高峰.信息披露,透明度与资本成本[J].经济研究,2004,(7):107-114.
[53]蒋勇,吴武清,王国长,刘幸.会计盈余的均值回复、年度审计效应和跨年效应[J].数理统计与管理,2016,35(3):411-423.