盈余中现金流成分的分解及其持续性研究

A Study on the Persistence of the Cash Component of Earnings

盈余成分的分解及其不同持续性的研究是盈余持续性研究的重要方向,对证券市场基本面分析和证券定价具有重要的意义。传统的盈余分解思路沿袭Sloan(1996)基于现金流和应计项的分解,主要集中于对应计项的进一步分解和定价,而现金流的分解却较少有文献关注。本文尝试从计量观以及区分自由现金流来源和应用角度进一步分解现金流成分。研究结果表明:盈利中自由现金流的持续性明显高于资产增值部分的持续性;同时,自由现金流中留存的现金成分的持续性高于分配给投资者的现金成分的持续性;并且,在分配给投资者的现金流中,分配给债权人的现金成分的持续性高于分配给股东的现金成分的持续性。

The decomposition of earning components and their different persistence are two important directions in the field of earning persistence. Studies on these issues have important implications for securities fundamental analysis and securities pricing. Following Sloan （1996）, the traditional research on the earning decomposition is based on the decomposition of cash flow and accrual, and most of these literature focus on the decomposition of accrual. However, the decomposition of cash flow receives little attention. This paper will decompose cash flow and investigate its persistence, from the perspective of accounting measurement as well as the origins and applications of free cash flow. Our results show that, firstly, the free cash flow component of earnings is more persistent than the value change of assets, and this result is more significant when free cash flow is positive. Secondly, the cash component of earnings that is retained by the firm is more persistent than the cash component of earnings that is distributed to capital providers, and this result holds for both positive and negative free cash flow samples. Finally, the cash component of earnings that is distributed to debt holders is more persistent than the cash component of earnings that is distributed to equity holders, and this result also holds for both positive and negative free cash flow samples. Our results are not fully consistent with the findings of Dechow et al （2008）, which is based on the developed countries. Our results suggest that the difference of institutional background maybe lead to the different findings in developing countries and developed countries when studying the persistent of the cash component of earnings. Our paper provides new insights on the study of the decomposition of earning components and their different persistence.