Este indicador foi criado por pesquisadores norte-americanos a partir da observaçãoade problemas contábeis ocorridos com empresas daquele país. A pesquisa foi realizada por Patricia Dechow e mais três colegas e consistiu na obtenção de um algoritmo que pudesse verificar se a empresa fez algo errado na sua contabilidade.
O índice mostra sensível para empresas que cresceram muito em termos de ativo, que pode ser considerado um padrão de eficiência, mas também de desastre.
Dechow's research doesn't purport to show that any of these companies are manipulating earnings. What it suggests is that they deserve a closer look. One key signal: the simultaneous occurrence of rising cash sales and a cash margin rate that is falling. "Cash sales" here means revenue minus the increase in accounts receivable. For "cash margin" you subtract from cash sales the sum of the cost of goods sold and the increase in inventory, and divide the result by cash sales. A confluence of these two trends could mean the company is extending credit to customers to make sales and building excess inventory. Enron displayed this combination in 2000.
The F-formula also penalizes companies with fast-rising stock prices that trade at high multiples of book value, perhaps because managers of such companies feel pressed to continue their winning streak. It penalizes them for goodwill that rises faster than cash revenue.
(...) Dechow's research builds on more than a decade of studies into so-called accruals, that being a catchall term to describe the divergence of book profits and cash results. A company piling up inventory and receivables, or capitalizing its expenses, can report terrific book profits at the same time that its bank account dwindles and it verges on bankruptcy. Apart from causing a liquidity problem, a rise in accruals suggests that managers are stretching the rules of accounting to report rosy results. Dechow's husband, Richard Sloan, whom she met at the University of Western Australia in the late 1980s, wrote some of the earliest papers showing that high-accrual firms tend to have lower stock returns.
(...) For their latest study Dechow and her colleagues broadened the search past accruals to include 27 variables they thought might predict earnings puffery. They identified 411 firms that had been sanctioned by the sec for manipulating at least one account between 1982 and 2005, and with some statistical analysis came up with the F-score, which, they say, reflects the odds a company will join those 411. One weakness in this kind of scoring is that companies may already be manipulating their way around it. If managers now know their stock will be penalized for high accruals, they may massage cash flow instead.
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