摘要：We test the persistence (H1) and pricing (H2) results found by Sloan (1996) in the Australian market. Our results generally support H1, showing that earnings are persistent, however the persistence of losses appears just as high as that of profits. When earnings are decomposed into future cash flows (FCF) and accruals, the persistence of FCF is generally greater than that of accruals. For H2, earnings are significantly underpriced, a result that contrasts with Sloan (correctly priced) and Dechow et al. (2006) (overpriced). The extent of mispricing appears lower for profits and greater for losses. When earnings are decomposed into FCF and accruals, results show significant mispricing for all samples – Australian investors significantly underestimate the persistence of FCF. This is especially so for firms with negative earnings and negative FCF. In contrast to Sloan (1996), our results indicate that the Australian market never overestimates the persistence of accruals.
关键词：earnings persistence; accruals; cash flows; Australia
