財務(wù)會計研究展示第8組自愿性信息披露課件

1、經(jīng)理自愿披露壞消息的法律動機自愿性披露相關(guān)研究研究假設(shè)樣本選擇，數(shù)據(jù)來源和描述性統(tǒng)計研究結(jié)果文章簡介結(jié)論及相關(guān)擴展第1頁，共68頁。Introduction1 This paper provides evidence on corporate voluntary disclosure practices through an examination of the earnings-related disclosuresmade by a random sample of 93 NASDAQ firms during 1981-1990. 作者隨機選擇美國納斯達克市場上的93家公司作為樣本量，研

2、究其在19811990年期間與盈利相關(guān)信息的自愿性披露現(xiàn)象。 自愿性披露的動機 訴訟成本理論第2頁，共68頁。Introduction1 This paper provides evidence on corporate voluntary disclosure practices through an examination of the earnings-related disclosuresmade by a random sample of 93 NASDAQ firms during 1981-1990. 作者隨機選擇美國納斯達克市場上的93家公司作為樣本量，研究其在19811990

3、年期間與盈利相關(guān)信息的自愿性披露現(xiàn)象。 與盈利相關(guān)的自愿性披露頻率較低。 好消息的披露一般是對年度EPS的定量估計(點預(yù)測或區(qū)間預(yù)測) 壞消息的披露一般是與當(dāng)前季度盈余相關(guān)的定性的說明公告。 股價對壞消息的反應(yīng)要比對好消息的反應(yīng)要大。第3頁，共68頁。Introduction1 Quarterly earnings announcements that convey large negative earnings surprises are preempted about 25% of the time by voluntary corporate disclosures while othe

4、r earnings announcements are preempted less than 10% of the time. Earning surprises:Occurs when a companys reported quarterly or annual profits are above or blew analysts expectations. 當(dāng)公司的季度或年度利潤與分析師的預(yù)期不符時 當(dāng)公司季度報表存在較大的負向盈余意外時，25%公司都會選擇進行提前披露，而對于其他類型的季度報表，存在提前披露的情況不到10%。第4頁，共68頁。Introduction1 Manage

5、rs face an asymmetric loss function in choosing their voluntary disclosure policiesmanagers behave as if they bear large costs when investors are surprised by large negative earnings news, but not when other earnings news is announced. 管理者在選擇其自愿性披露的政策時，面臨著一種非對稱損失函數(shù)。 相較于其他類型的消息，當(dāng)投資者發(fā)現(xiàn)報表中存在較大的負向盈余意外時，

6、管理層會承擔(dān)更大的成本。第5頁，共68頁。 Managers Legal Incentives to Disclose Bad News2Tow ReasonsLegal CostsReputational Costs訴訟成本聲譽成本第6頁，共68頁。 Managers Legal Incentives to Disclose Bad News2Reputational CostsLegal CostsTow Reasons訴訟成本聲譽成本第7頁，共68頁。 Managers Legal Incentives to Disclose Bad News2投資經(jīng)理人、股東等一般不喜歡負向盈余意外若

7、某公司管理層發(fā)生過隱瞞盈余壞消息的行為投資者持有該公司股票的可能性下降管理層聲譽受損，公司股價下降或股票流動性降低Reputational Costs第8頁，共68頁。 Managers Legal Incentives to Disclose Bad News2Legal Costs當(dāng)季度或年度報表中存在較大的負向盈余意外股票價格會在報表披露日有很大幅度的下降投資者會因為管理者沒能及時披露壞消息而起訴管理層需要為此承擔(dān)個人責(zé)任并處理訴訟第9頁，共68頁。 Managers Legal Incentives to Disclose Bad News2Legal Costs提前披露為何可以降低訴

8、訟成本？Two Ways Second, disclosing early limits the period of nondisclosure,thereby reducing the damages that plaintiffs can claim.在盈利公告發(fā)布前就自愿性進行披露，自然縮短了投資者在不知情情況下交易的時段，相應(yīng)的減少了不知情情況下成交的金額，在此情況下，即使敗訴，亦可減少賠償損失的金額。First, if the information is disclosed voluntarily (prior to the mandated release date), it i

9、s more difficult for the plaintiff, who does not know for sure when the manager first received the bad news, to argue that the manager withheld information. 既然采用自愿性披露方式預(yù)先披露壞消息，則即便引發(fā)股價下跌，投資者亦難以指控管理層隱瞞消息第10頁，共68頁。 Managers Legal Incentives to Disclose Bad News2SEC Rule 10b-5Tow RulesDisclose or Obstai

10、n公開否則戒絕Disclose or Obstain：Corporate insiders disclose all material information or abstain from trading. 知情人應(yīng)公開其知悉的內(nèi)幕消息，否則禁止利用該消息進行交易 主要是支持了投資者對內(nèi)幕交易行為人提起訴訟第11頁，共68頁。 Managers Legal Incentives to Disclose Bad News2SEC Rule 10b-510b-5的母法1934年證券交易法 Its unlawful for any person to make any untrue stateme

11、nt of a material fact or to omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they were made, not misleading. 任何人從事下列與證券買賣相關(guān)的行為均屬違法：“如果對重大性事實進行虛假記載或遺漏某項重大事實。.”違反10b-5的三大主要因素故意的失實陳述遺漏公司重大事實第12頁，共68頁。 Managers Legal Incentives to Di

12、sclose Bad News2SEC Rule 10b-510b-5的母法1934年證券交易法 Its unlawful for any person to make any untrue statement of a material fact or to omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they were made, not misleading.投資者進行訴訟 應(yīng)滿足的條件 被告實

13、施了欺詐行為(misstatement or omission) 欺詐涉及到實質(zhì)性事實(a material fact) 被告具有欺詐的惡意(with intent) 原告有信賴存在，即交易的發(fā)生是因為被告的欺 詐行為而致(the plaintiff(原告) justifiably relied on) 與證券的賣出和買進有關(guān)(purchase or sale)第13頁，共68頁。 Managers Legal Incentives to Disclose Bad News2SEC Rule 10b-5Francis, Philbrick, and Schipper 1993 provide

14、evidence on a sample of 45 firms that were targets of earnings-related shareholder lawsuits from 1988 to 1992. 45家公司中有43家經(jīng)歷過因為修正其據(jù)稱有誤導(dǎo)性或有信息遺漏的公告從而造成股價的下跌，最終導(dǎo)致訴訟案件。OBrien and Hodges 1991 examine 332 class action securities cases reported in Securities Class Action Alert between April 1988 and June 19

15、91. 297家樣本公司中，97%的公司在訴訟要求補償?shù)膿p失發(fā)生的時間區(qū)間或發(fā)生損失的前三周內(nèi)都曾發(fā)生過股票價格的下跌。Most l0b-5 cases are brought after disclosures that lead to stock price declines。相較于大幅上漲，股價大幅下跌帶來的訴訟成本更高。第14頁，共68頁。 Managers Legal Incentives to Disclose Bad News2SEC Rule 10b-5 The preemptive disclosure strategy will not prevent lawsuits e

16、ntirely.Stockholder lawsuits can arise whenever a large stock price decline is associated with an information release; preemptive disclosures themselves can trigger suits.提前披露并不能完全防止訴訟案件的產(chǎn)生。任何情況下引起的股票價格的大幅下降都有可能引起訴訟。Two Reasons越早披露，減少了投資者投訴管理層沒能及時報告壞消息的證據(jù)。減少了不知情情況下成交的金額，即使敗 訴，亦可減少賠償損失的金額，降低成本。第15頁，共

17、68頁。 Discretionary Disclosure Research3Verrecchia 1983 imposes a constant proprietary cost of disclosure and shows that only managers of firms with news above a certain threshold will disclose their news. 對于沒有進行披露的公司，投資者無法辨別壞消息的存在。Dye 1985 proposes that investors are uncertain about the existence of

18、 managers private information and so cannot infer from silence that managers are withholding bad news.投資者不能確定管理層私有信息的存在，因此也無法得知管理層是否在隱瞞壞消息。Existing TheoryAnalytical research on discretionary disclosure has shown that in the absence of costs, full disclosure obtains。 如果披露不存在成本，那么管理者會披露所有消息。當(dāng)披露成本足夠低或管

19、理層和投資者間信息不對稱程度過高時，管理層才會披露壞消息。第16頁，共68頁。 Discretionary Disclosure Research3D and S 1990 endogenize proprietary disclosure costs and show that managers may disclose bad news to discourage entry.D1989 shows that managers of firms in oligopolistic markets will disclose both good and bad news given the t

20、rade-off between wanting to provide good news to stockholders and bad news to competitors.Existing TheorySeveral recent analytical models examine managers incentives to use disclosures to affect the behavior of product-market competitors. 通過披露來影響競爭者行為While these deterring-the-competitor models yield

21、 no precise empirical implications, they imply that bad news disclosures are intended to deter entry/competition in product markets.第17頁，共68頁。 Discretionary Disclosure Research3Ajinkya and Gift 1984 examine the hypothesis that managers issueearnings forecasts when they believe the markets earnings e

22、xpectations are sufficiently inaccurate that large price movements will occur when results are announced. 管理層只有在市場預(yù)期過高或過低的時候才會發(fā)布盈余預(yù)測。Existing Theory第18頁，共68頁。 Discretionary Disclosure Research3Patell1976, Penman 1980, Waymire 1984, and Lev and Penman1990管理層相較于壞消息，更多的會披露好消息。因此平均來說，管理層關(guān)于盈余的預(yù)測披露對于股價的影響

23、是正向的。Lev and Penman 1990 當(dāng)公司運營情況相對較好時，管理層更有可能進行盈余預(yù)測。Empirical EvidenceAjinkya and Gift 1984,McNichols 1989, and Pownall, Wasley,Waymire1993 平均來說，管理層關(guān)于盈余的預(yù)測披露對于股價的影響趨向于零。第19頁，共68頁。 Research Hypotheses4基本前提：Managers voluntary disclosures are either good news forecasts of EPS motivated by unusually goo

24、d performance or preemptive bad news disclosures motivated by legal liability and/or reputational effects. 管理層同時具有披露好消息和壞消息的動機。但是大部分公司在多數(shù)情況下都不處于這兩種情況中，因此與盈余相關(guān)的自愿性披露頻率較低。第20頁，共68頁。 Research Hypotheses4 H1: Bad news earnings disclosures are more likely to relate to quarterly earnings releases and less

25、 likely to relate to annual EPS numbers,and conversely for good news earnings disclosures. H1:壞消息的盈余披露更有可能與季度報表有關(guān)，而關(guān)于年度盈余預(yù)測的披露更多是好消息。好消息和壞消息披露的方式有所不同。Since earnings announcements (and the potential stock price declines that accompany them) occur every quarter, I hypothesize that bad news voluntary d

26、isclosures will tend to preempt the information contained in quarterly earnings releases rather than that in annual earnings releases.第21頁，共68頁。 Research Hypotheses4 H2: The probability the information conveyed by a given quarterlyearnings announcement will be preempted by a voluntary corporatediscl

27、osure is higher for relatively large negative earnings surprises thanfor other types of earnings information. H2：相較于其他類型的盈余消息，當(dāng)季度盈余報告中含有較大的負面盈余意外時，管理層更有可能在盈余報告前對此壞消息進行披露。Ajinkya and GiftThe expectations-adjustment hypothesis 預(yù)期調(diào)整假說 該假說認為證券市場將管理層盈余預(yù)測信息的發(fā)布可以看作是對市場預(yù)期過高或過低的調(diào)整。隨著盈余意外的的程度增加，管理層提前進行盈余披露的可能

28、性增加(好消息和壞消息一樣)。 但訴訟成本理論認為只在存在負面盈余意外的情況下才成立。第22頁，共68頁。 Research Hypotheses4 H3: The stock price response to preemptive bad news voluntary disclosures is larger in absolute value than the stock price response togood news voluntary disclosures. H3: 相較于自愿性披露的好消息，當(dāng)公司自愿性披露壞消息時，股票價格變動的絕對值更大。An important mo

29、tivation for voluntary bad news disclosures is that managers wish to mitigate large stock price declines on earnings announcement dates or avoid them altogether. 緩解股價在盈余報告當(dāng)日的下降程度第23頁，共68頁。Voluntary disclosures of 93 NASDAQ National Market System (NMS) firms during the 1980s.NASDAQNational Associatio

30、n of Securities Dealers Automated QuotationClassification of NASDAQNasdaq National Market (NNM) Largest and most active market and strict qualificationNasdaq Small Cap Market (NSCM) Smaller and less strictSample selectionRandomly choose 100 firms listed on the NASDAQ in 1981Identify 94 out of 100 fi

31、rms on the 1990 CRSP NASDAQ tape93 firms were included in the DJNRS data base第24頁，共68頁。Why NASDAQ?They are smaller and younger than exchange-listed firms, so they may be more likely to experience the earnings shocks that lead to securities lawsuitsNASDAQ firms are less closely followed by analysts t

32、han exchange-listed firms, so their voluntary disclosures are important means of communication with outside investors. Why NMS?Just because they are the largest NASDAQ stocks. It is smaller than exchange-listed firms but larger than other NASDAQ firms. Sample selection第25頁，共68頁。Among the 93 sample f

33、irms 17 sample firms make no voluntary disclosures 16 firms make only one voluntary disclosure 4 firms make 13 or more disclosuresDescriptive statistics第26頁，共68頁。Descriptive statistics+42%第27頁，共68頁。So Quarterly disclosures tend to convey bad news while Annual disclosures tend to convey good news.Res

34、ults relation between forecast horizon and sign of newsHI: Bad news earnings disclosures are more likely to relate to quarterly earnings releases and less likely to relate to annual EPS numbers, and conversely for good news earnings disclosures.374-94-14=26643%57%22%78%70%30%67%33%Null hypothesis Th

35、ere is no relation between the sign of the news and forecast horizonrejected第28頁，共68頁。Results relation between form of disclosure and sign of news52%39%第29頁，共68頁。Results bias caused by the Q4 disclosuresQ1Q2Q3More often bad earning newsThe Q4 disclosure can be labeled as either quarterly or annual e

36、arningsThis may lead to bias of the results.Q4The relation between the sign of the earnings news and forecast horizon remains strongWhether there are more bad news in Q4?more bad news is disclosed in the Q4 47 of the 140 bad news disclosures occur in the Q4 good news disclosure is the samemore good

37、news is disclosed in the Q4There is no asymmetry in the result of table 2 第30頁，共68頁。Results conclusions of Hypothesis 1Disclosed as an annual point or range forecast of EPS good newsDisclosures are qualitative and related to quarterly earnings announcements. bad newsBad news disclosures are more lik

38、ely to be motivated by a need to preempt large negative quarterly earnings surprises.Good news disclosures are more likely to be driven by a desire to signal more generally that the firm is doing well. Hypothesis 1confirmed第31頁，共68頁。H2: The probability the information conveyed by a given quarterly e

39、arnings announcement will be preempted by a voluntary corporate disclosure is higher for relatively large negative earnings surprises than for other types of earnings information.Results whether negative earnings are more likely to be preemptedNot PreemptedPreemptedOther earningsLarge negative earni

40、ngs第32頁，共68頁。Results whether negative earnings are more likely to be preemptedQuantify the newsCurrent period earningsPrior period earningsEarnings changeNumbers from the current period earnings announcementNumbers from the corresponding period earnings announcement prior yearProxy for the market ex

41、pectationStock priceStock price 60 trading days prior to the earnings announcement dateSample selected2,647 firm-quarters and 292 earnings announcements第33頁，共68頁。Bad news is preempted more often than other types of earnings news Total 2,647 292 (11%)The binomial test indicates that the very bad grou

42、p proportion is significantly different from the other three proportions.Somehow prove that Results whether negative earnings are more likely to be preempted第34頁，共68頁。Very bad news is preempted most oftenOtherwise there is no relation between the magnitude of earnings news and the probability of pre

43、emption.Bad news is still not preempted very oftenResults whether negative earnings are more likely to be preempted第35頁，共68頁。Results why bad news is still not preempted very oftenPossible explanationSeasonal-random-walk model uses information that is about a year old, it is likely to measure the mar

44、kets expectation of earnings with error.Measurement error in the earnings surpriseSome very bad news may be fully expected by the market, in which case there is no need for preemption.Example第36頁，共68頁。Logit regressionThe dependent variable is coded 1 if the announcement is preempted and 0 otherwise.

45、 （1）News: the change in the split-adjusted quarterly earnings per share( from the corresponding quarter of the prior year) deflated by stock price 60 trading days prior to the earnings announcement. Result：The coefficient on News is negative and statistically significant (the t-statistic is -2.85),

46、indicating that the worse the earnings news, the more likely it is to be preempted. Results第37頁，共68頁。Logit regression（2）Bad News Indicator: an indicator variable that takes the value 1 for earnings announcements of a decline in split-adjusted quarterly EPS of at least .008, and 0 otherwise. Result：t

47、he coefficient is positive and statistically significant (the t-statistic is 7.36), indicating that, consistent with H2, large negative surprises are more often preempted than other types of earnings news. Results第38頁，共68頁。Logit regression（3）The third regression includes both independent variables.

48、Result：the coefficient on the dummy variable remains positive and statistically significant (the t-statistic is 6.66), while the coefficient on News is negative but not reliably different from zero. The results in tables 3 and 4 suggest that managers face an asymmetric loss function in formulating t

49、heir discretionary disclosure policies, consistent with the legal liability/reputation-effects arguments Results第39頁，共68頁。 6.3 The stock price respond to voluntary disclosuresH3: The stock price response to preemptive bad news voluntary disclosures is larger in absolute value than the stock price re

50、sponse to good news voluntary disclosures. The abnormal returns are two-day market-adjusted abnormal returns (cumulated over days 0 and +1 relative to the disclosure date from the DJNRS), where the market portfolio is the CRSP NASDAQ equal-weighted portfolio. Results第40頁，共68頁。 6.3 The stock price re

51、spond to voluntary disclosuresResultsFor quarters when earnings news is preempted, compare the relation between the total amount of earnings news for the quarter and the amount of earnings news released on the earnings announcement date, for good and bad news disclosures.對于盈余消息被提前披露的季度，比較該季度的盈余消息的總數(shù)

52、與盈余公告日公布的消息數(shù)量。the average two-day earnings-announcement-period stock return for the quarter the average of the daily stock returns cumulated over all announcements that relate to the quarterVS.All announcements ：the voluntary disclosure announcements and the earnings announcement). the total amount

53、of earnings news for the quarter the amount of earnings news released on the earnings announcement date第41頁，共68頁。 6.3 The stock price respond to voluntary disclosuresResultsthe total amount of earnings news is larger in the bad news quarters than in the good news quarters, while the amount of inform

54、ation released on earnings announcement dates is the same, indicating that managers preempt a larger proportion of bad earnings news than good earnings news. 第42頁，共68頁。 6.4 Some additional evidenceResults6.4.1. The Extent to Which the Disclosures Accompany Form 8-K FilingsThe SEC requires managers t

55、o disclose, on Form 8-K, six types of corporate event within 15 days of the events occurrence. In addition, the SEC encourages, but does not require, managers to disclose other materially important events on Form 8-K (an item 5 filing) Included announcements of write-downs, write-offs, charges, or p

56、rovisions374 sample disclosures 35 disclosuresThe LEXIS data base contains 8-Kfilings only after October 1988. 11 disclosuresReported on Form 8k filings 4 disclosures第43頁，共68頁。 6.4 Some additional evidence6.4.2. Firms That Disclose Very Often or Very Little Reestimated the logit regression equations

57、 in table 4 after excluding observations for 12 firms disclosing very often (ten or more times) and observations for 17 firms that made no voluntary disclosures during the sample period. Both results (not reported in tables) are similar to those in table 4. 6.4.3. Forecast RevisionsExamined the 374

58、voluntary disclosures for earnings predictions that were revised before the earnings announcement date. Of 24 such forecast revisions, 19 were downward, and 5 were upward. This asymmetry is consistent with the legal liability argument. Results第44頁，共68頁。ConclusionThree hypothesesTwo reasons：Legal lia

59、bilityReputationeffectWhy Firms Voluntarily Disclose Bad News？Sample and data selectionResults H1: Bad news earnings disclosures are more likely to relate to quarterly earnings releases and less likely to relate to annual EPS numbers, and conversely for good news earnings disclosures.H2: The probabi

60、lity the information conveyed by a given quarterly earnings announcement will be preempted by a voluntary corporate disclosure is higher for relatively large negative earnings surprises than for other types of earnings information. H3: The stock price response to preemptive bad news voluntary disclo