Economists have long observed that stock price bubbles are associated with corporate overinvestment. We study the ex-ante identification of bubbles (i.e. stock price booms followed by busts) by examining industry-level investments in net operating asset (NOA) accruals and stock returns for 49 countries around the world. Consistent with overinvestment in operating assets being key to bubble formation, we document five findings: (1) NOA accruals positively forecast the eventual crash of an industry price run-up; (2) NOA accruals negatively forecast stock returns following a run-up; (3) NOA accruals are positively associated with investor sentiment; (4) higher NOA accruals forecast more disappointing earnings relative to analysts’ expectations for run-up industries; and (5) NOA accruals are sharply stronger predictors of crashes, returns and analyst forecast errors following run-ups compared to other periods. Our results provide the first evidence that accounting information identifies stock price bubbles and suggest that financial statements are important for detecting and anticipating industry- and market-level inefficiencies.

中文翻译：

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会计信息是否识别了 Fama 的气泡？应计项目的证据


经济学家长期以来一直观察到，股价泡沫与企业过度投资有关。我们通过检查全球 49 个国家/地区的净经营资产 （NOA） 应计项目和股票回报的行业级投资，研究泡沫的事前识别（即股价上涨后萧条）。与运营资产的过度投资是泡沫形成的关键一致，我们记录了五个发现：（1） NOA 应计项目积极预测了行业价格上涨的最终崩溃;（2） NOA 应计项目对上涨后的股票回报持负预期;（3） NOA 应计项目与投资者情绪呈正相关;（4） 相对于分析师对增长行业的预期，更高的 NOA 应计项目预示着更令人失望的收益;（5） 与其他时期相比，NOA 应计项目对上升后的崩盘、回报和分析师预测误差的预测指标要强得多。我们的结果提供了第一个证据，证明会计信息识别了股票价格泡沫，并表明财务报表对于检测和预测行业和市场层面的低效率很重要。