Extant literature documents that aggregate accruals positively predict future market returns and attributes this relation to either changes in discount rates or systematic earnings management. We offer an alternative explanation: aggregate merger and acquisition (M&A) activity drives this relation. M&A activity affects the magnitude of accruals, which in turn drives the market return predictability of aggregate accruals. We find that the ability of both aggregate accruals and discretionary aggregate accruals (a measure of systematic earnings management) to predict market returns disappears after controlling for aggregate M&A activity. Furthermore, aggregate M&A activity predicts future market returns, consistent with a price response to improvements in macroeconomic outcomes due to aggregate M&A activity.

现有的文献文件表明，累计应计项目积极地预测了未来的市场回报，并将这种关系归因于贴现率的变化或系统的盈余管理。我们提供了另一种解释：总体并购 (M&A) 活动推动了这种关系。并购活动会影响应计项目的规模，进而推动应计项目的市场回报可预测性。我们发现，在控制了总并购活动后，总应计费用和可自由支配的总应计费用（衡量系统盈余管理的一种衡量标准）预测市场回报的能力都消失了。此外，总体并购活动预测了未来的市场回报，这与总体并购活动导致的宏观经济结果改善的价格反应一致。