CAJ | 학술논문

以2003－2012年期间我国上市公司盈余公告作为研究样本，将未预期盈余分解为未预期现金流量和未预期会计应计，以此来检验PEAD的两个主流解释：反应不足和风险调整。研究结果表明，与未预期应计相比，未预期现金流量与股票未来回报之间的正相关关系更强。此外，未预期现金流量对股票未来回报的预测能力大于未预期会计应计。经验证据支持了PEAD的反应不足解释。
이2003－2012년기간아국상시공사영여공고작위연구양본，장미예기영여분해위미예기현금류량화미예기회계응계，이차래검험PEAD적량개주류해석：반응불족화풍험조정。연구결과표명，여미예기응계상비，미예기현금류량여고표미래회보지간적정상관관계경강。차외，미예기현금류량대고표미래회보적예측능력대우미예기회계응계。경험증거지지료PEAD적반응불족해석。
This paper sets the earnings announcements of China's listed companies during 2003-2012 as the study sample , and divides the unexpected earnings into the unexpected cash flow and the unexpected accruals to test the two mainstream interpretations of PEAD: underreaction and risk adjustment .The results show that be-tween the unexpected cash flow and the future stock returns the positive correlation is stronger compared with the unexpected accruals .In addition , the predictive capability of the unexpected cash flow for the future stock re-turns is greater than the unexpected accruals'.The empirical evidence supports the underreaction interpretation of PEAD.