会计信息预测宏观经济增长的实现路径:盈余传导与风险感知

The Effect Paths of Forecasts of Macro-economic Growth by Accounting Information: Earnings Conduction and Risk Perception

会计信息对宏观经济增长的预测功能已得到证实,但这一预测功能的实现路径尚不清楚。文章基于国民经济核算体系内在逻辑与会计稳健性原则,将净利润分解为资产减值项目和调整会计盈余两部分,考察了会计信息的宏观经济预测功能的实现路径。研究发现,汇总的资产减值损失和汇总的调整会计盈余对GDP增长均具有预测功能。但资产减值损失主要通过稳健性原则将对宏观经济运行风险的估计提前反映在盈余信息中,预测路径表现为"风险感知";而调整会计盈余的预测功能主要通过与GDP收入法下营业盈余的相关性来实现,体现为"盈余传导"。进一步研究发现,当经济下行压力加大时,资产减值项目与未来GDP增长的负向关系更加显著,而调整会计盈余与未来GDP增长的正向关系在不同经济运行状态下没有显著差异。文章的研究拓展了会计信息有用性的文献,且对宏观经济分析和预测具有重要的现实意义。

With the rise in ＂from micro to macro＂ paradigm recently, the information of aggregate earn- ings gets much attention and its predictability for economic growth has been confirmed. As Ball and Sadka （2015 ）points out, however, the predictability of aggregate earnings is not the only accumulation of firm-level earnings, researchers should focus on the effect paths of forecasts of macro-economic growth by ac-counting information. Based on the intrinsic logic of national economic accounting system and accounting conservatism principle, this paper decomposes earnings into assets impairment losses （AIL）and adjusted ac- counting earnings （AAE）, and investigates the paths of forecasts of future GDP growth by accounting inform- ation. The theoretical logic for our design is following. The accounting earnings are the matching result of in- come and costs using the accrual basis, which reflect the events and transactions in the past, and its measure- ment attribute is mainly historical costs. As the component of GDP, operating surpluses are highly compatible with accounting earnings in concept and calculation. We thus propose that the predictability of aggregate earn- ings largely drives from the mathematical correlation of accounting earnings and operating surpluses. In other words, there might be a path function as ＂current AAE-future operating surpluses-future GDP growth＂, which is defined as ＂earnings conduction＂. However, the predictability of AIL follows a different logic from AEE. First, the AlL embodies the conser- vatism principle, which requires that the expected future losses should be recognized in advance. Therefore, the AIL item in annual reports indicates the managerial estimation about the business risks and negative macro shocks, and manifests the consequences of fair value measurement. Second, the AAE is highly serially correl- ated, while the recognition of AIL is accidental and is excluded from the national economic accounting system. Third, as the AIL is the result from managerial judgment and estimation on risks, it contains much private in- formation about macro risks. The AIL might be manipulated for earnings management purpose; nevertheless the aggregation progress could offset the noises and thus reflects systematical estimation of further macro-eco- nomic risks. Therefore, we define the predictability of the AIL driving from the systematical estimation of fu- ture macro-economic risks as ＂risk perception＂. Based on the aggregately quarter data of Shanghai and Shenzhen A-share companies from 2003 to 2016, this paper confirms that both AIL and AAE could predict future GDP growth, but both predictability follows different paths. By adopting the mediating effect model, the macro-economic risk has a significantly mediat- ing effect in the prediction process of AIL, but not significant in the prediction process of AAE, confirming the ＂risk perception＂ path. Meanwhile, the reverse regression tests show that the predictability of AAE mainly comes from its mathematic correlation with operating surpluses, and the correlation of AIL and GDP growth is not affected by operating surpluses, which is consistent with the ＂earnings conduction＂ path. Furthermore, we find that the negative relation between AIL and future GDP growth is stronger during economic downturn period than during economic upswing period, while the prediction function of AAE has no difference during economic downturn or upswing periods. The potential contributions of this paper are as follows. First, through integrating the conservatism prin- ciple with the national economic accounting system, we firstly propose and demonstrate the effect paths of forecasts of macro-economic growth by accounting information： ＂earnings conduction＂ and ＂risk perception＂. Second, a stream of literature investigates the micro-level consequence of conservatism principle and also studies its relation to AIL, but little examines its macro-level consequences from the macro-perspective except Crawley （2015） that finds accounting conservatism could impact monetary policy. This paper provides further evidence for the macro-economic consequences of accounting conservatism.