全权应计交易策略与基本面分析之价值Discretionary accruals trading strategy and the value of fundamental analys
The accrual anomaly was first identified by Sloan (1996), demonstrating the negative relationship
between persistence of earnings performance and the magnitude of accrual earnings in the US
capital markets, stemming from an inability of the capital market to recognise differences in
persistence between the accrual and cash flow components. Taking this further, Subramanyam
(1996) used the modified Jones (1991) model to separate the accruals into non-discretionary and
discretionary components, finding that discretionary accruals were fundamental to enhance the
informativeness of earnings measurement and are not pure noise in earnings, as previously
assumed (Guay et al, 1996)