The Persistence and Pricing of Earnings and Its Components When Firms Have Large Book-Tax-Differences

• Main Authors: Wen-Chen Luo, 羅文振
• Other Authors: Sung-Hung Lin
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/04975678898347971791

碩士 === 國立成功大學 === 會計學系碩博士班 === 94 === This study investigates the role of book-tax differences in indicating the persistence of earnings, accruals, cash flows and components of accruals and cash flows for one-period-ahead earnings. This study also examine whether the level of book-tax differences influences investors’ assessments of future earnings and its components persistence. The evidence find that firm-years with large book-tax differences have earnings that are less persistent than firm-years with small book-tax differences. Further, the evidence is consistent with investors interpreting large positive book-tax differences as a “red flag” and reducing their expectation of future earnings persistence for these firm-years. However, the evidence find that firm-years with large nagative book-tax differences as a “tax planning” and confounding investors’ assessments of future earnings and its components persistence. The study also supplement the Mishkin(1983) tests by estimating hedge portfolio returens using annual return regressions(Fama and MacBeth 1973). The evidence is consistent with prior results.