中国上市公司年报重述公告效应研究

本文首次在细分年报重述类型的基础上,对我国上市公司年报重述的公告效应进行了较为系统的研究。以2004年1月1日至2007年12月31日之间发布年报补充或更正公告的691家上市公司为样本,实证发现,重述公告整体而言具有微弱的负面市场反应,但不同类型重述公告的市场反应各异,投资者关注重述公告的焦点在于重述是否影响公司价值判断。具体而言,更正公告、因会计问题导致的重述、重述内容涉及核心会计指标或调低了公司盈余、重述涉及多个会计年度以及重述消息是坏消息时,市场反应显著为负;极少数重述公告带来了好消息,市场反应显著为正。重述公告的市场价值相关性表明,进一步引导和规范上市公司的年报重述行为以保护投资者利益显得极为迫切。     

财务重述、盈余质量与市场认知的系统性偏差

本文以1999—2006年财务重述公司为研究样本,试图回答两个问题:财务重述公司是否在重述前盈余信息质量就比较低?市场是否能够对这一较低的盈余质量做出正确的预期,即市场对盈余质量的认知是否存在系统性偏差?我们的研究结果发现相对于对照样本,重述样本在重述前,盈余的波动性显著偏高,盈余的持续性显著偏低,说明其盈余质量一贯较差。在重述前,市场高估了重述公司应计盈余的持续性,但是在公司重述后,市场对其错误的预期会进行修正。     

财务重述公司盈余反应系数研究——基于中国上市公司年报财务重述的经验证据

GAO(2002)的研究报告指出,投资者对财务报告的信心是证券市场有效运作的重要保证。近年来,财务重述现象在国内外呈现出蔓延局势,国外一系列研究表明财务重述对公司价值产生负面影响,而比短期的市场价值受损更可怕的是投资者对重述公司的信任度大打折扣,对整个资本市场的信心下降。中国上市公司的重述现象也不容乐观,但是对于财务重述经济后果的研究相对较少。因此本文主要考察重述报告对重述公司的盈余反应系数的影响,通过理论分析与数据检验投资者对财务重述公司盈余信息的反应程度,研究发现重述公告使重述公司特别是涉及核心会计指标重述公司盈余反应系数降低。以期通过本文的研究为上市公司敲响警钟,并为监管部门对财务重述行为进行规范监管提供经验证据。     

财务重述对银行贷款契约影响的实证研究

近年来,财务重述现象在国内外呈现出"蔓延"局势,上市公司进行财务重述的数量与比例逐年攀升,使得财务重述成为学术界和监管部门关注的焦点。财务重述造成的经济后果和影响绝不仅限于公司市场价值损失,财务重述还将导致大量投资者减持股票和减少交易;也可能导致代价高昂的诉讼和赔偿;还可能导致市场信息不对称性的加剧、公司盈余质量下降以及公司资本成本显著增加等。     

财务报表重述公司审计质量研究

以财务报表重述公司为研究对象,考察财务报表重述公司年报审计质量。结果表明:财务报表重述的幅度对非标审计意见的出具有显著的影响力;初始差错年和报表重述年,注册会计师都能在一定程度上识别上市公司的盈余管理动机,并在审计意见中有所反映;审计师任期和对财务报表重述公司出具非标审计意见之间没有显著的相关性;事务所规模和非标审计意见的相关性并不显著,结论没有支持大事务所更有可能对重述公司出具非标审计意见。     

2005年至2010年中小板上市公司年报重述行为的趋势和特征

本为以2005年2010年91家中小板上市公司发布的122份年报重述公告为研究对象,分析了中小板上市公司6年来年报重述行为的趋势和特征。分析结果显示:中小板上市公司报重述的现象较严重。主要体现为重述公司的数量居高不下,重复进行重述的公司比例加大;调减前期利润的行为呈现上升趋势;重述公告的发布具有一定的时滞性。年报重述的现象应该引起整个市场的高度关注。     

事务所变更、审计意见类型与财务重述

本文以2005-2009年间中国A股上市公司补充与更正报告中出现"会计差错更正"项目的公司为研究对象,分别以是否发生财务重述和重述调整方向为因变量,系统研究了事务所变更、审计意见类型对财务重述的影响。形成的结论主要有:被出具标准审计意见的公司,发生财务重述以及负向财务重述的概率均低于被出具非标审计意见的公司;没有发现事务所变更的公司发生财务重述和负向重述的概率高于事务所未变更的公司;而被出具标准审计意见的公司在事务所变更后发生负向重述的概率高于事务所未变更的公司,但没有发现其发生财务重述的概率高于事务所未变更的公司;未更换事务所的公司其前期被出具标准审计意见与发生财务重述的概率负相关,而与负向财务重述的关系不显著。     

年报及时性的信号效应——基于2004-2006A股上市公司年报的实证检验

基于2004—2006年A股市场年报披露时间的数据,本文通过考察年报及时性的市场反应检验年报及时性的当期信号效应,通过考察年报及时性与下一时点会计信息透明度的关系检验年报及时性的未来信号效应,进而说明提前或者延迟披露年报是否具有信号效应。研究发现:年报及时性与市场反应显著负相关,提前披露公司下一时点的会计信息有较强的透明度和较低的盈余管理水平,延迟披露公司下一时点的会计信息有较低的透明度和较高的盈余管理水平。这说明,公司不同的披露时机选择传递了不同的信号。     

投资者有限关注与盈余公告市场反应——来自央视年报排行榜的证据

本文以上市公司年报为契机从有限关注的角度研究了盈余公告的市场反应。选取2005年至2010年上市公司年报,采用数据统计方法对比了进入央视《交易时间》栏目的年报排行榜的各上市公司年报与未上榜公司年报受投资者关注程度的差异;并对年报的市场反应进行了实证分析,发现我国年报披露市场存在注意力的"显眼效应",进入年报排行榜的公司在上榜当天比未入榜的公司有更强的市场反应,且这种效应的来源是排行榜的作用,而非公司本身。     

控制权、媒介功用与市场治理效应:基于财务报告重述的实证研究

本文以财务报告重述为研究视角,实证检验了我国转轨市场环境下媒介功用改善对大股东控制权治理的效应。研究表明,财务报告重述导致市场风险与不确定性的增加,但与控制权的负相关性并不显著,彰显近年来控制权治理缺陷纠偏的动态成效初见。同时,控制权治理效应受媒介机制作用,在媒介功用发挥弱的市场环境下,控制权提升加剧了低质量会计信息引致的资源错配,体现为显著的负市场治理效应;而随着媒介环境改善和监督功用的增强,控制权治理效应得以修正,表明媒体对约束大股东行为起到积极的治理功能。此外,审计委员会、审计意见和重述及时性同样具有显著影响。本文结论为监管机构倡导和加强媒体在资本市场上的作用提供了初步证据支持。     

Financial Restatements, Cost of Debt and Information Spillover: Evidence From the Secondary Loan Market

Abstract:  In this paper, we investigate the effect of financial restatements on the debt market. Specifically, we focus on the secondary loan market, which has become one of the largest capital markets in the US, and ask the following: (1) whether financial restatements increase restating firm's cost of debt financing and (2) whether the information about restatements arrives at the secondary loan market earlier than at the stock market? Using 176 restatement data, we find significant negative abnormal loan returns and increased bid-ask spreads around restatement announcements. Furthermore, this negative loan market reaction is more pronounced when the restatement is initiated by either the SEC or auditors, and when the primary reason for restatement is related to revenue recognition issues. Additionally, we find restatement information arrives at the secondary loan market earlier than at the equity market, and that such private information quickly flows into the equity market. We also show that stock prices begin to decline approximately 30 days prior to the restatement announcements for firms with traded loans. However, we do not find such informational leakage for firms without traded loans. Collectively, the results of this paper suggest: (1) increased cost of debt financing after restatements and (2) superior informational efficiency of the secondary loan market to the stock market.     

Information asymmetry and accounting restatement: NYSE-AMEX and NASDAQ evidence

We examine the impact of accounting restatement announcement on firms’ value and information asymmetry for both auction market (NYSE-AMEX) and dealer market (NASDAQ) using a public sample of restatement announcements from 1997 to 2005. In both markets, we document economically and significantly negative mean cumulative abnormal returns around the announcement dates. The restatements attributed to auditors are associated with more negative returns than those attributed to management and the SEC. However, there is no significant difference between market reactions arising from the core and non-core restatements. We also find a significant increase in volume, number of transactions, average order size, volatility, and various measures of spreads after the restatement announcement indicating that restatement announcements diminish company prospects and contribute to increased uncertainty and information asymmetry. Finally, we find that the information asymmetry in the NASDAQ market around the event date is less pronounced than in the NYSE-AMEX market.     

Corporate Investments: Learning from Restatements

This study analyzes the information conveyed by the restatements of financial reports. We argue that restatements contain news about the investment projects of the restating firms' competitors. This news causes competitors to revise their beliefs about the projects' value, and to modify their subsequent investment decisions. Accordingly, we hypothesize that changes in competitors' investments after restatement announcements are related to news in the restatements. Consistent with our prediction, we find that changes in competitors' investments following restatement announcements are significantly related to various proxies for news in the restatements, such as competitors' and restating firms' abnormal returns at the restatement announcements. We conclude that restatements convey information about the investment projects of restating firms' competitors.     

VALUATION EFFECT OF ISSUING NONSUBORDINATED VERSUS SUBORDINATED DEBT

Recent studies analyzing stock market reaction to announcements of straight debt offerings report, in general, insignificant abnormal stock returns. In this study we examine the effect of debt seniority on market reaction. The evidence shows weakly positive abnormal returns upon the announcements of nonsubordinated straight debt offerings. In contrast, announcements of subordinated straight debt offerings induce significantly negative abnormal returns. Our findings generally support the information release hypothesis.     

Does the Medium Matter? The Relations among Bankruptcy Petition Filings,Broadtape Disclosure,and the Timing of Price Reactions

Drawing on a comprehensive sample of 330 bankruptcy petition filings from 1980 to 1993, we find that most of the market reaction does not occur on the bankruptcy petition filing date when the information becomes publicly available. Rather, most of the reaction occurs when news of the bankruptcy filing is more widely disseminated via the Broadtape. This "Broadtape announcement effect" persists after controlling for firm size, exchange listing, and predisclosure information. These are primarily timing differences since abnormal returns cumulated over an 11-day window centered on the filing date do not differ significantly across Broadtape disclosure date classifications.     

Does the stock market reward innovation? European stock index reaction to negative news during the global financial crisis

This study uses data on 27 European stock indices over the period from January 2007 to December 2012 to investigate the relationship between innovations and the market reaction to negative news during the financial crisis. We use the bivariate BEKK-GARCH approach to estimate time-varying betas and abnormal returns. We show that index prices of countries in the high (low) innovation groups experience significantly positive (negative) abnormal returns on and following the negative news announcement dates. We also find that index beta changes following the arrival of bad news is negatively associated with a country's innovativeness. This finding suggests that innovations promote economic stability and enhance investors' confidence in a country's ability to cope during difficult times. Thus, policy makers who are concerned with sustainable growth should encourage R&D investments by adopting effective policies and avoid unnecessary cuts in R&D expenditures even during times of crisis. A study of the pre-crisis period from January 2001 to December 2006, using the same methods, indicates that investors value innovation more during difficult times.     

The effect of option transaction costs on informed trading in the options market around earnings announcements

We investigate the effect of option market transaction costs (a form of market imperfection) on the ability of option implied volatility-based measures to predict future stock returns and volatility around quarterly earnings announcements. We find that the predictability is significantly stronger for firms with lower option relative bid-ask spreads. The effect is more pronounced around positive rather than negative earnings news. We find no significant effect of option transaction costs around randomly chosen dates when there is no clustering of major information events. Trading strategies based on option market predictors and transaction costs earn monthly abnormal returns of 1.39% to 1.91%.     

The CDS market reaction to restatement announcements

I investigate the credit market's reaction to restatement announcements through changes in credit default swap (CDS) spreads. I document an overall positive association between CDS returns and restatement announcements. Specifically, I find that more positive CDS returns are associated with restatements (1) involving fraud and (2) affecting more accounts. Moreover, these reactions are sensitive to the underlying entities’ credit ratings and the market‐wide investor sentiment. Next, I compare CDS and stock market reactions and find that more negative stock returns are associated with restatements (1) involving fraud and (2) decreasing reported income.     

Are Investors Sensitive to the Quality and the Disclosure of Financial Statements?

This paper investigates the influence of Swiss firms' disclosurepolicy and of their financial analysts' coverage on stock priceabnormal reactions to the publication of the annual reports.It first shows that, after controlling for the number of analysts,the absolute abnormal returns are significantly and positivelyaffected by the rating measure used as a proxy of the informationalquality of annual reports. It furthermore emphasises asymmetryin the relationship between stock price abnormal reactions andtwo informational variables, namely the quality of the firm'sdisclosure policy and its financial analysts' coverage. It appearsthat while positive abnormal returns are significantly and positivelyrelated to the rating variable, negative abnormal returns areonly affected by the number of financial analysts. The inverserelationship between abnormal negative returns and the financialanalysts' coverage supports the fact that competition amonganalysts reduces investors' adverse selection problem. Finally,the study evidences a non-linear relationship between ratingand positive abnormal returns which is meaningful for the "good"and "very good type" firms and thus emphasises the signalingrole played by a firm's financial disclosure policy.