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论文编号：	9472
作者编号：	1120130787
上传时间：	2017/12/6 11:43:29
中文题目：	财务重述市场反应的行业传染效应研究
英文题目：	Industry Contagion Effect in Market Responses of Financial Restatements
指导老师：	周晓苏
中文关键字：	财务重述；传染效应；资本市场异象；会计信息可比性
英文关键字：	Financial Restatement; Contagion Effect; Capital Market Anomalies; Accounting Information Comparability
中文摘要：	信息作为资本市场上的核心要素，是连接上市公司和投资者的桥梁，决定了资本市场的资源配置效率。会计信息是投资者进行投资决策的主要信息来源之一，因而高质量的会计信息不仅是资本市场正常运转的前提，也是投资者利益得到保护的重要保障。财务报告作为上市公司对外披露信息的主要载体，是投资者获取公司信息的重要途径。而近年来，上市公司对历史财务报告进行重新表述的现象日渐频繁，发生财务重述的公司股票价格大幅下跌，致使投资者遭受了巨大损失，财务重述在资本市场层面的经济后果引起了学术界和监管部门的共同关注。当前的研究发现，财务重述表明公司之前财务报告的低质量和不可信，增大了公司未来经营的不确定性，市场也一般视其为不好的事件，将注意力集中于发布财务重述公告的公司。本文利用上市公司的股票收益率数据，基于信息披露外部性理论考察了财务重述在市场反应层面的传染效应，并分析了财务重述市场反应传染效应的资本市场异象，以及重述公司与未重述公司之间的可比程度对财务重述传染效应异象的影响，为研究财务重述在市场反应方面的经济后果提供了更多的实证证据。具体来说，本文的研究结果主要包括以下三个方面： 首先，本文发现了财务重述存在基于市场反应层面的传染效应，即重述公司发布的财务重述公告引起了同行业其他未重述公司股价的变动。这个结果表明，重述公司的财务重述公告促使投资者及时调整了对同行业其他未重述公司的市场预期。进一步的检验结果显示，产品市场竞争程度、财务杠杆水平以及公司之间的相似程度都对上述传染效应产生了影响。最后，不同类型财务重述公告的传染效应也存在差异。 其次，本文发现重述公司发布财务重述公告后，用分析师每股盈余预测修正来表征的投资者对未重述公司经济前景的预期进行了向下的调整，并且分析师的每股盈余预测修正与未重述公司的市场反应也存在显著的相关关系，也就是说重述公司的财务重述公告改变了投资者对同行业未重述经济前景的预期，引起了财务重述的传染效应。进一步的，研究发现未重述公司的会计信息质量影响了未重述公司在重述公司发布财务重述公告期间的市场反应，这个结果表明投资者在重述公司发布财务重述公告期间对同行业其他未重述公司的会计信息质量进行了重新评估。最后，在控制了未重述公司的会计信息质量后，还发现投资者更加关注未重述公司与重述公司会计信息质量的相对水平，即未重述公司的会计信息质量相对于重述公司的会计信息质量越低，财务重述的传染效应就越显著。 最后，本文从行为金融学的角度检验了财务重述传染效应的资本市场异象。结果显示，总体上财务重述的传染效应存在过度反应异象，但是当用财务重述公告的消息性质将未重述公司区分开来时，发现对于市场反应为负的重述公司所对应的同行业未重述公司来说过度反应异象尤为明显，而对于市场反应为正的重述公司所对应的同行业未重述公司来说并不存在过度反应。进一步的，针对投资者会通过对比未重述公司与重述公司之间的会计信息质量来对未重述公司的价值进行重新评估，本文进一步研究了重述公司与未重述公司的会计信息可比性对财务重述传染效应的影响，发现会计信息可比性提高了未重述公司投资者利用重述公司的财务重述公告进行重新定价的能力，表现为减少了财务重述公告尤其是市场反应为负的财务重述公告在资本市场上传染效应的过度反应异象。
英文摘要：	Information is the core factor of capital market, is a bridge between listed companies and investors, determining the resource allocation efficiency of capital market. Accounting information is one of the main sources of information on which the investors make decisions, so high-quality accounting information is not only the premise of normal operation of the capital market, but also the important security of the protection of the interests of investors. Financial report is the main carrier of information disclosed by listed companies and the main methods to obtain firm information of investors. However, in recent years the phenomenon of financial restatements become more and more frequent and result in serious economic consequences such as the loss of market value of the company, and made investors suffer from great losses. The economic consequence of financial restatements at the capital market becomes a critical issue concerned by both the academics and regulators. Previous studies have found that financial restatement indicate the low-quality and unreliable of the company’s financial statements, increased the uncertainty about the company’s future operations and the market also regards it as a bad event, the above research focus on the company that issues financial restatement announcements. Based on the data about stock returns in china, this paper focuses on the contagion effect of restatements at the capital market level by the externality theory of information disclosure, and examining the capital market anomalies of the contagion effect of restatements. Finally, the effect of accounting information comparability on the contagion effect between restating firm and non-restating firm was tested. The main empirical results are summarized as following: First, we find the existence of contagion effect of restatements at the capital market level that the financial restatements at the restating firm also induce share price movements among non-restating firms in the same industry. This suggests that the restating firm’s financial restatements cause investors to adjust their market expectations for the non-restating firms in the same industry. Further investigation shows that the contagion effect of restatements was affected by the level of product market competition, the level of financial leverage and the correlation between the stock returns of the restating-firm and its peer firms. Finally, we find that the types of restatement also affect contagion effects at the capital market level. Second, from the perspective of transmission mechanism of contagion effect，our empirical results show that the peer firms experience downward earnings forecast revisions when the restatements are announced and the EPS forecast revisions are statistically related to the abnormal stock returns of peer firms. What’s more, these share price fluctuations seem to reflect investors’ accounting quality concerns, the results show that some financial restatements cause investors to reassess the financial statement information previously released by non-restating firms. Finally, after controlling the quality of the non-restating firm’s accounting information, we find investors pay more attention to the “relative quality” between the restating-firm and its peer firms, this is, the non-restating firm’s accounting information quality is much lower than the restating firm’s accounting information quality, the more significant the contagion effects of financial restatements. Finally, we investigate the capital market anomalies of the contagion effect from the perspective of behavioral finance. Overall, the investors in capital market generally over-react to restatement events. However, after dividing the sample into two subsamples according to the sign of the restating firm’s cumulative abnormal return, we find the investor’s over react anomalies are more pronounced in the subsamples when the restating firm has negative abnormal returns, but find no anomalies in another subsamples. Then on the base of these, we examine the effect of accounting information comparability on the contagion effect, the empirical results indicate that non-restating firms with higher accounting comparability have fewer capital market anomalies.
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