REVIEW OF ACCOUNTING STUDIES, SEP 2018
对企业盈利的市场、行业及公司组成进行分解：关于盈利预测的推论
作者：Jackson, AB (University of New South Wales);
Plumlee, MA (University of Utah);
Rountree, BR (Rice University)
摘要：学界与业界常常强调，整体市场和行业表现是与公司盈利水平相关的重要因素。然而，很少研究考虑到将公司的盈利能力分解为市场、行业及特质组成部分来进行分析，相关研究常常假定市场及行业组成部分在横截面上是常数。本文考察单个企业在市场、行业及特质经济冲击下的特有敏感度变化，并进一步分析这样的分解是否或何时提高了对盈利水平的预测能力。全样本来看，本文发现预测误差的量级和出现频率有了显著的改进，而且基于分解值的预测优于仅使用总盈利能力的预测。遍及全部样本，对盈利能力的分解在超过三分之二的时间里给出了更准确的预测（在某些子样本中增加到近80%）。我们的结论为企业特有估计方法下的市场与行业因素在公司盈利能力预测方面的表现提供了强有力的支持，而且突出了分解分析法在预测未来盈利能力变化上的最大优势。
关键词：宏观经济；市场；行业；盈利；预测；企业特有估计
Decomposing the market, industry, and firm components of profitability: implications for forecasts of profitability
Jackson, AB (University of New South Wales); Plumlee, MA (University of Utah); Rountree, BR (Rice University)
ABSTRACT
Academics and practitioners frequently highlight that overall market and industry performance is an important aspect of a firm's profitability. However, few studies allow for the decomposition of a firm's profitability into market, industry, and idiosyncratic components, and those that do often assume that the market and industry components are cross-sectional constants. In this study, we allow for variation in firm-specific sensitivities to market, industry, and idiosyncratic economic shocks, and then assess whether and when this decomposition results in improved forecasts of profitability. For the overall sample, we find significant improvements in terms of the magnitude of forecast errors and the frequency with which forecasts based on the decomposed values are superior versus forecasts using only total profitability. Across the sample as a whole, decomposing profitability in the forecasting process results in more accurate forecasts greater than two-thirds of the time (increasing to almost 80% within certain subsamples). Our results provide strong support for the role that firm-specific measures of market and industry profitability play in predicting a firm's future performance, as well as highlighting settings where the decomposition provides the greatest benefit in terms of predicting future changes in profitability.
Keywords: macroeconomy, market, industry, profitability, forecasting, firm-specific estimates
原文链接：
https://link.springer.com/article/10.1007/s11142-018-9446-2
翻译：谭丰林
