La Investigación sobre la Capacidad Predictiva de la Información Financiera: Revisión Crítica y Perspectivas de Futuro

Research on the Predictive Ability of Financial Information for Future Earnings: Critical Review and Future Prospects

  • Carmelo Reverte Maya Universidad Politécnica de Cartagena
Palabras clave: capacidad predictiva, modelo de Ohlson

Resumen

En el presente trabajo se ofrece una revisión crítica de una de las áreas más importantes dentro de la investigación centrada en los mercados de capitales, cual es la relativa a la utilidad de la información financiera para la predicción de los resultados futuros de la empresa. Asimismo, se realiza un análisis de la situación actual de esta línea de investigación, así como de las perspectivas futuras a las que se enfrenta. La principal conclusión extraída de la revisión efectuada es que dicha área ha pasado de ser un mero instrumento secundario dentro de la investigación orientada al mercado a convertirse en una de las líneas de investigación con un futuro más prometedor, especialmente a raíz de la aparición de los modelos de valoración basados en magnitudes contables como los de Ohlson (1995) Y Feltham y Ohlson (1995). Los estudios más recientes incorporan como predictores, además de cifras contables, a los precios de mercado con el fin de paliar la insuficiencia del sistema contable en captar de una forma oportuna acontecimientos relevantes para evaluar los resultados futuros de la empresa. Los posibles desarrollos en este área pueden dirigirse a determinar qué otro tipo de información no reflejada en las cuentas anuales puede resultar útil para predecir resultados y, por tanto, puede ser la que origine que los precios de mercado tengan capacidad predictiva. Asimismo, otra área de interés es la tendente a verificar si el poder predictivo de la información financiera varía como consecuencia de diferencias contables e institucionales entre los distintos sistemas contables.

Descargas

La descarga de datos todavía no está disponible.

Citas

ABARBANELL, J. S. y B. J. BUSHEE (1997): "Fundamental Analysis, Future Earnings and Stock Prices", Journal of Accounting Research, 35, p. 1-24.

ABOODY, D., M. E. BARTH y R. KASZNIK (1999): "Revaluations of Fixed Assets and Future Firm Performance: Evidence from the UK", Journal of Accounting and Economics, Vol. 26, p. 149-178

ALBRETCH, W. S., L. LOOKABILL y J. MCKEOWN (1977): "The Time Series Properties of Annual Earnings", Journal of Accounting Research 15, p. 226-244.

AL-DEBIE, M. y M. WALKER (1999): "Fundamental Information Analysis: An Extensíon and UK Evidence", BritishAccounting Review 31, p. 261-280.

AMIR, E. y B. LEV (1996): "Value-relevance of Nonfinancial Information: The Wireless Communi­cation Industry", Journal of Accounting and Economics, 22, p. 3-30.

APELLÁNIZ GÓMEZ, P. (1998): La información de flujos de tesorería. Normalización contable e investigación empírica, ICAC, Madrid.

ARCE GISBERT, M. y C. REVERTE MAYA (1998): "La investigación empírica en el mercado de capítales español: revisión crítica y perspectivas de futuro", Comunicación presentada al VIII Encuentro de Profesores Universitarios de Contabilidad, Alicante.

BALL, R. y P. BROWN (1968): "An Empirical Evaluation of Accounting Numbers", Journal of Accounting Research, Vol.6, Autumn, p. 159-178.

BALL, R. y R. WATTS (1972): "Sorne T'une Series Properties of Accounting Income", Journal of Finance 27, p. 663-68l.

BALL, R.; P. KOTHARI y A. ROBIN (2000): "The Effect of Intemational Institutional Factors on Properties of Accounting Earnings", Journal of Accounting and Economics, 29, p. 1-51.

BARTH, M. E., D. P. CRAM y K. K. NELSON (2001): "Accruals and the Prediction of Future Cash Flows", The Accounting Review, 76, enero, p. 27-58.

BASU, S. (1997): "The Conservatism Principie and the Asymmetric Timeliness of Earnings", Journal of Accounting and Economics, 24, p. 3-37.

BAUMAN, M. P. (1996): "A Review of Fundamental Analysis Research in Accounting", Journal of Accounting Literature, Vol.15, p. 1-33.

BEAVER, W. H. y D. MORSE (1978): "Wbat Determines Price-Earnings Ratios?", Financia/ Analysts Journal, 34, p. 65-76.

BEAVER, W. H., R. A. LAMBERT y D. MORSE (1980): ''The Information Content of Security Prices", Journal of Accounting and Economics 2, p. 3-28.

BEAVER, W. H., R. A. LAMBERT y S. G. RYAN (1987): "The Information Content of Security Prices: A Second Look", Journal of Accounting and Economics 9, p. 139-157.

BEAVER, W. H., M. L. MCANALLY y C. H. STINSON (1997): "The Information Content of Earnings and Prices: A Simultaneous Equations Approach", Journal of Accounting and Economics, 23, p. 53-81.

BERNARD, V. (1995), "The Feltham-Ohlson Framework: Implications for Empiricists", Contemporary Accounting Research, Spring, Vol.11, No. 2, p. 733-747.

BERNARD, V. y J. NOEL (1991): "Do Inventory Disclosures Predict Sales and Earnings?", Journal of Accounting, Auditing and Finance 6, p. 145-181.

BOX, G. E. P. y G. M. JENKINS (1976): Time Series Analysis: Forecasting and Control, 2nd Edition, Holden-Day, San Francisco, CA.

BROOKS, L. D. y D. A. BUCKMASTER (1976): "Further Evidence of the Time Series Properties of Accounting Income", Journal of Finance 31, p. 1359-1373.

BROWN, L. D. (1993): "Earnings Forecasting Research: Its Implications for Capital Markets Research", lnternational Journal of Forecasting. No.9. p. 295-324.

BROWN, L. D. y M. S. ROZEFF (1979): "Univariate Time Series Models of Quarterly Accounting Earnings Per Share: A Proposed Model", Journal of Accounting Research 17, p. 179-189.

BROWN, L. D. y J. HAN (2000): "Do Stock Prices Reflect the Implications of Current Earnings for Future Earnings for AR1 Firms?, Journal of Accounting Research, Vol.38, No.l, Spring, p. 149-164.

CAÑIBANO CALVO, L., M. GARCÍA-AYUSO COVARSÍ y M. P. SÁÑCHEZ MUÑOZ (2000): "La Valoración de los Intangibles: Estudios de Innovación vs Información Contable-financiera", Análisis Financiero, No. 80, Primer Cuatrimestre: 6-24.

CHARITOU, A. y G. PANAGIOTIDES (1999): "Financial Analysis, Future Earnings and Cash Flows, and the Prediction of Stock Returns: Evidence for the UK", Accounting and Business Research, 29, No.4, p. 281-298.

CHEN, N., R. ROLL y S. A. ROSS (1986): "Economic Forces and Stock Market", Journal of Business, No.56, p. 383-403.

COLLINS, D. W., S. P. KOTHARI y J. RAYBURN (1987): "Firm Size and the Information Content of Prices with Respect to Earnings", Journal of Accounting and Economícs, 9 (2), p. 111-138.

COLLINS, D. W., S. P. KOTHARI (1989): "An Analysis of Intertemporal and Cross-Sectional Determinants of Earnings Response Coefficients", Journal of Accounting and Economics, Vol. 11, p. 143-181.

COLLINS, D. W., S. P. KOTHARI; J. SHANKEN y R. G. SLOAN (1994): "Lack of Timeliness Versus Noise as Explanations for Low Contemporaneous Return-Earnings Association", Journal of Accounting and Economics 18, p. 289-324.

COLLINS, D. W., E. L. MAYDEW e I. S. WEISS (1997) "Changes in the Value-Relevance of Earnings and Book Values over the Past Forty Years", Journal of Accounting and Economics 24, p. 39-67.

COLLINS, D. W., M. PINCUS y H. XIE (1999) "Equity Valuation and Negative Earnings: The Role of Book Value of Equity", The Accounting Review, 74 (1), p. 29-61.

DECHOW, P. M., S. P. KOTHARI y R. L. WATTS (1998): "The Relation Between Earnings and Cash Flows", Journal of Accounting and Economics, Vol.25, p.133-168.

DONNELLY, R. y M. WALKER (1995): "Share Price Anticipation of Earnings and the Effect of Earnings Persistence and Finn Size", Journal of Business Finance and Accounting, 22(1), p. 5-18.

EASTON, P. D. y M. E. ZMIJEWSKI (1989): "Cross-sectional Variation in the Stock Market Response to Accounting Earnings Announcements", Journal of Accountíng and Economics, Vol. 11, p. 117-141.

EASTON, P. D.; T. S. HARRIS y J. A. OHLSON (1992): "Aggregate Accounting Earnings Can Explain Most of Security Returns. The Case of Long Return Intervals". Journal of Accounting & Economics, 15, p. 119-142.

FAIRFIELD, P.M., R. J. SWEENEY y T. L. YOHN (1996): "Accounting Classification and the Predictive Content of Earnings", The Accounting Review, Vol. 71, No. 3, p. 337-355.

FELTHAM, G. y J. OHLSON (1995): "Valuation and Clean Surplus Accounting for Operating and Financial Activities", Contemporary Accounting Research, Spring, Vol. 11, No. 2, p. 689-731.

FINANCIAL ACCOUNTING STANDARDS BOARD (1978); Objectives of Financia/ Reporting by Business Enterprises. Statement of Financial Accounting Concepts No.1, Stamford, CT.

FOSTER, G. (1977): "Quarterly Accounting Data: Time-Series Properties and Predictive-Ability Results", The Accounting Review, No. 52, p. 1-21.

FREEMAN, R. N., J. A. OHLSON y S. H. PENMAN (1982): "Book Rate of Return and Prediction of Earnings Changes: An Empirical Investigation", Journal of Accounting Research, 20, p.639-653.

GABÁS TRIGO, F. y P. APELLÁNIZ GÓMEZ (1994): "Capacidad predictiva de los componentes del beneficio: Flujos de tesorería y ajustes corto-largo plazo", Revista Espaítola de Financiación y Contabilidad, Vol. :xxm, núm. 78, p. 107-142.

GINER INCHAUSTI, B. (1999): "La vuelta al análisis fundamental en la ínvestigación relacionada con el mercado de capitales", Ponencia presentada en la V Jornada de Trabajo sobre Análisis Contable, ASEPUC, Cádiz.

GINER INCHAUSTI, B. y A. SANCHO (1996): "Análisis dinámico de la capacidad de los flujos de fondos para determinar los futuros flujos de caja", Revista Española de Financiación y Contabilidad, Vol. XXV, No.86, p. 9-35.

GINER INCHAUSTI, B. y W. REES (2001): "On the Asymmetric Recognition of Good and Bad News in France, Germany and the United Kingdom", Journal of Business, Finance and Accounting, 28 (9 & 10), p. 1285- 1331.

GREIG, A. C. (1992): "Fundamental Analysis and Subsequent Stock Returns", Journal of Accounting and Economics, 15, p. 413-442.

GRIFFIN, P. A. (1977): "The Time-Series Behavior of Quarterly Earnings: Preliminary Evidence", Journal of Accounting Research 15, p. 71-83.

GUERRA GUERRA, A. (1999): "La predicción de beneficios futuros por medio del beneficio y el dividendo", Actualidad Financiera, No.9, p. 5-19

HE, J. y L. K. NG (1994): "Economic Forces, Fundamental Variables, and Equity Returns", Journal of Business, 64, p. 599-609.

HEALY, P.M. y J. M. WAHLEN (1999): "A Review of the Earnings Management Literature and Its Irnplications for Standard Setting", Accounting Horizons, Vol. 13, p.365-383.

HOLTHAUSEN, R. W. y D. F. LARCKER (1992): "The Prediction of Stock Returns Using Financial Statement Information", Journal of Accounting and Economics, 15, p. 373-411.

JOOS, P. y JOOS, P. (1998): "The Prediction ofROE: Fundamental Signals, Accounting Recognition and Industry Characteristics", Working paper, INSEAD, 98/11/AC.

KOTHARI, S. P. (1992): "Price-Earnings Regressions in the Presence of Prices Leading Earnings", Journal of Accounting and Economics 15, p. 173-202.

KOTHARI, S. P. y R. G. SLOAN (1992): "Information in Prices About Future Earnings: Implications for Earnings Response Coefficíents", Journal of Accounting and Economics 15, p. 143-171.

KOTHARI, S. P. (2001): "Capital Markets Research in Accounting", Journal of Accounting and Economics, 31, p. 105- 231.

LARRÁN JORGE, M. (1994): Los estados de flujos de tesorería: origen, utilidad y normalización, Tesis Doctoral, Universidad de Cádiz.

LEE, C. M. (1999): "Accounting-Based Valuation: Impact on Business Practices and Research", Accounting Horizons, Vol. 13, No. 4: 413-425.

LEV, B. (1989): "On the Usefulness of Eamings and Earnings Research: Lessons and Directions from two Decades of Empírica! Research", Journal of Accounting Research, Vol. 27, Supplement, p. 153-193.

LEV, B. y S. THIAGARAJAN (1993): "Fundamental Information Analysis", Journal of Accounting Research, Vol. 31, No. 2, Autumn, p. 190-215.

LEV, B. y T. SOUGIANNIS (1996): "The Capitalization, Arnortízation, and the Value-Relevance of R&D", Journal of Accounting a11ti Economics, Vol. 21, p.107-138.

LIPE, R. C. y R. KORMENDI (1994): "Mean Reversion in Annual Earnings and its Implications for Security Valuation", Review of Quantitative Finance and Accounting, Vol.4, p. 27-46.

LID, J. y J. A. OHLSON (2000): "The Feltham-Ohlson (1995) Model: Empírica! Implications", Journal of Accounting, Auditing and Finance, Vol.15(3): 321-331.

MILLER, M. H. y K. ROCK (1985): "Dividend Policy Under Asymmetric Information", Journal of Finance, Vol. XL, No.4, p. 1031-1051.

MORA ENGUÍDANOS, A. y J. M. GARCÍA LARA (2001): "Conservatism and the Asymmetric Timeliness of Earnings in Europe. An Alternative Approach to Exclude Market Wide Effects", Comunicación presentada en el 24º Congreso de la European Accounting Association, Atenas.

NEILL, J. D., T. F. SHAEFER, P. R. BAHNSON y M. E. BRADBURY (1991): "The Usefulness of Cash Flow Data: A Review and Synthesis", Journal of Accounting Literature, Vol. 10, p. 117-150.

NISSIM, D. y S. H. PENMAN (1999): "Ratio Analysis and Equity Valuation'', Ponencia presentada en el Symposium on Market Based Accounting Resear_ch wíth Special Focus on Risk, Valuation and Financial Statement Analysis, Copenhague, Noviembre 1999.

OHLSON, J. A. (1995): "Earnings, Book Values and Dividends in Equity Valuation", Contemporary Accounting Research, Spring, Vol.11, No. 2, p. 661-687.

OU, J. (1990): "The Information Content of Nonearnings Accounting Numbers as Earnings Predictors", Journal of Accounting Research, No.28, p. 144-163.

OU, J. y S. H. PENMAN (1989a): "Financial Statement Analysis and the Prediction of Stock Returns", Journal of Accounting and Economics, Vol. 11, p. 295-329.

OU, J. y S. H. PENMAN (1989b); "Accounting Measurement, Price-Earnings Ratios, and the Information Content of Security Prices", Journal of Accounting Research, 27, Supplement, p. 111-144.

PENMAN, S. H. (1992): "Financial Statement Information and the Pricing of Earnings Changes", The Accounting Review, Vol.67, No.3, p. 563-577.

PENMAN, S. H. (1998): "Combining Earnings and Book Value in Equity Valuation", Contemporary Accounting Research, Vol.15 No.3, p. 291-324.

PINEDA GONZÁLEZ, C. (2000a): "Determínantes de la calidad del resultado", Revista de Contabilidad, Vol. 3 No.5, enero-junio, p. 149-182.

PINEDA GONZÁLEZ, C. (2000b): "Un análisis empúico de la persistencia de los resultados en las empresas norteame­ricanas", Revista Española de Financiación y Contabilidad, Vol. XXIX, No.106, oct-dic., p. 1069-1111.

POPE, P. F. y M. WALKER (1999): "International Differences in the Timeliness, Conservatism and Classification of Earnings", Journal of Accounting Research, Vol. 37, Supplement: 53-87.

RAMAKRISHNAN, R. T. S. y J. K. THOMAS (1998) "Valuation of Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings", Journal of Accounting, Auditing and Finance, Vol. 13, No.3, p. 301-335.

REVERTE MAYA, C. (2002): "Evidencia empúica sobre la utilidad de la información financiera para la predicción de los resultados futuros", Revista Española de Financiación y Contabilidad, vol. XXXI, No.111, enero-marzo, p. 189-224.

REVERTE MAYA, C. y N. C. STRONG (1999): "Income Smoothing and the Predictive Ability of Earnings Components for Future Returnon Equity: Evidence from Spanish Firms", Working paper, Manchester School of Accounting and Finance, June 1999.

SALAMON, G. y E. SMITH (1977): "Additional Evidence on the Time Series Properties of Reported Earnings Per Share: Comment", Journal of Finance, No. 32, p. 1795-1801.

SETIONO, B. y N. C. STRONG (1998): "Predicting Stock Returns Using Financial Statement Information", Journal of Business Finance & Accounting, 25 (5) & (6), p. 631-657.

SHARPE, W. F. (1964): "Capital asset prices: A Theory of Market Equilibrium Under Conditions of Risk", Journal of Finance, p. 425-442.

SHROFF, P. K. (1999): "The Variability of Earnings and Non-Earnings Information and Earnings Prediction", Journal of Business Finance & Accounting, 26(7) & (8), p. 863-882.

SLOAN, R. G. (1996): "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?", The Accounting Review, Vol.71, No.3, p. 289-315.

SOUGIANNIS, T. (1994): "Toe Accounting Based Valuation of Corporate R&D", The Accounting Review, January, Vol. 69, No. l, p. 44-68.

STOBER, T. L. (1992): "Summary Financial Statement Measures and Analysts' Forecast of Earnings", Journal of Accounting and Economics, No. 15, p. 347-372.

STOBER, T. L. (1993): 'The Incremental Information Content of Receivables in Predicting Sales, Earnings and Profit Margins", Journal of Accounting, Auditing and Finance, No. 8, p. 447-473.

TIJA PEREDA, J. (1998): "La investigación empírica en España. Un camino vinculado al desarrollo económico". Ponencia presentada al VIII Encuentro de Profesores Universitarios de Contabilidad, Alicante.

WARFlELD, T. D. y J. J. WILD (1992): "Accounting Recognition and the Relevance of Earnings as an Explanatory Variable for Returns", The Accounting Review, Vol.67, No.4, p.821-842.

WATTS, R. L. (1975): 'The Time-Series Behavior of Quarterly Earnings", Working paper, University of Newcastle.

WATTS, R. L. y R. LEFfWICH (1977): "The Time Series of Annual Accounting Earnings", Journal of Accounting Research, No.15, p. 253-271.

WHITE, G. l., A. C. SONDHI y D. FRIED (1998): The Analysis and Use of Financial Statements. New York. John Wíley and Sons.
Publicado
01-07-2002
Cómo citar
Reverte Maya, C. (2002). La Investigación sobre la Capacidad Predictiva de la Información Financiera: Revisión Crítica y Perspectivas de Futuro. Revista De Contabilidad - Spanish Accounting Review, 5(10), 105-136. Recuperado a partir de https://revistas.um.es/rcsar/article/view/386481
Sección
Artículos