This dissertation examines the general research issue of whether the components of earnings are informative and specifically 1) how analysts consider earnings components when predicting future earnings and 2) whether the information content in, and analysts’ use of, earnings components have changed through time. Although earnings components have predictive value for future earnings based on each component’s persistence, extant research provides only a limited understanding of whether and how analysts consider this when forecasting. Using an integrated income statement and balance sheet framework to estimate the persistence of earnings components, I first establish that disaggregation based on the earnings components framework in this study is helpful to predict future earnings and helps explains contemporaneous returns. I then find evidence suggesting that although analysts consider the persistence of various earnings components, they do not fully integrate this information into their forecasts. Interestingly, analysts appear to be selective in their incorporation of the information in earnings components, seeming to ignore information from components indicating lower persistence, which results in higher forecast errors. Conversely, when a firm’s income is concentrated in high persistence items, analysts appear to incorporate the information into their forecasts, reducing their forecast errors. I also report that the usefulness of components relative to aggregate earnings has dramatically and continuously increased over the past several decades, and contemporaneous returns appear to be much better explained by earnings components than aggregate earnings (than historically). Finally, the relation between analyst forecast errors and the differential persistence of earnings components has also declined over time, indicating that analysts appear to recognize the increasing importance of earnings components through time. / text

本研究從損益表角度切入，驗證分析師盈餘預測之修正與未預期盈餘組成項目變動之關係，是否有助於分析師預測公司未來盈餘的波動。實證結果顯示，分析師在不同時間點所做的預測修正與未預期盈餘組成項目變動顯著相關。分析師預測公司當期及次期盈餘時，會考量其未預期盈餘組成項目。此外，分析師預測修正與未預期盈餘組成項目之關連性與兩者之時距呈反向關係，亦即次期盈餘預測之修正與當期未預期盈餘組成項目之關係顯著較低。再者，分析師對當期（以月份為基礎）盈餘的累積預測修正與上一期的未預期盈餘組成項目息息相關，且隨著時間的推移，二者之關連程度愈趨明顯。整體而言，損益表盈餘組成項目之變動對分析師在不同時間點所做之盈餘預測，具有價值攸關性。 / This study examines whether earnings components can help financial analysts predict firms’ earnings by investigating the association between analysts’ forecast revisions and firms’ unexpected changes in earnings components. Our results show that analysts’ forecast revisions made in different time horizons are consistently associated with unexpected changes in earnings components. Financial analysts are able to incorporate current-year unexpected earnings components into their current and future earnings forecasts even before firms officially release this information. Current-year’s unexpected earnings components are, however, not fully incorporated into analysts’ forecasts of future earnings. Analysts appear to wait for more information releases regarding firms’ future earnings and delay their revisions of future earnings forecasts. This is consistent with the evidence that the cumulative revisions of current earnings forecasts are generally associated with its prior-year’s unexpected earnings components, and the association appears to be stronger as time progresses. Overall, this study provides evidence suggesting that earnings components do have value relevance and can help financial analysts identify firms’ earnings changes over time.