會計欺詐外文翻譯文獻(xiàn)

會計欺詐外及翻譯文獻(xiàn)（文檔含中英文對照即英文原文和中文翻譯）譯文：會計欺詐和機(jī)構(gòu)投資者查得-R?拉森介紹美國資本市場依賴財務(wù)報告系統(tǒng)來幫助有效分配資本。最近的財務(wù)報告過程中故障在許多高調(diào)公司新的人員的監(jiān)管機(jī)構(gòu)，會計欺詐和市場參與者的興趣。兩個重要的經(jīng)驗規(guī)律的文獻(xiàn)記錄極端操縱收益的決定因素和后果。首先，股票市場反應(yīng)的啟示會計處理顯著負(fù)面。估計下降公告后的市場價值會計操作范圍從20-40%（Palmrose.理查德森和2003李，和馬丁2007）。第二，會計操作是可預(yù)測的。文獻(xiàn)會計操作的文檔可以預(yù)測的措施準(zhǔn)確的質(zhì)量、會計性能、非金融變量聲明和股市變量（如,Beneish1999;Dechow,通用電氣,拉爾森和斯隆2007）。雖然會計操作導(dǎo)致重大投資損失和與公司相關(guān)的特點和性能，幾乎沒有證據(jù)表明存在成熟的投資者是否能夠避免損失與會計欺詐。機(jī)構(gòu)投資者已成為市場的重要力量在過去的幾十年。上世紀(jì)八十年代初到九十年代末，機(jī)構(gòu)投資者所有權(quán)翻倍，股市50%以上（龔帕斯和Metric時,2001）。機(jī)構(gòu)投資者在美國市場存在的上升有意義的促使文獻(xiàn)調(diào)查他們是否執(zhí)行是有利可圖的交易。文獻(xiàn)的結(jié)果是喜憂參半。幾項研究文檔積極變化之間的相互關(guān)系，這些機(jī)構(gòu)投資者的資產(chǎn)和未來的收益和回報，這表明機(jī)構(gòu)通知交易員（如，柯和2005;阿里列弗，確認(rèn)我也承認(rèn)泰德?克里斯坦森的指導(dǎo)，沒有它我就不會了博士學(xué)位的挑戰(zhàn)。最后，我感謝我的家人的支持。沒有這篇論文的完成并不意味著幾乎一樣多。介紹美國資本市場依賴財務(wù)報告系統(tǒng)來幫助有效分配資本。最近的財務(wù)報告過程中故障在許多高調(diào)公司新的人員監(jiān)管機(jī)構(gòu)，會計欺詐和市場參與者的興趣。兩個重要的經(jīng)驗規(guī)律的文獻(xiàn)記錄極端操縱收益的決定因素和后果。首先，股票市場反應(yīng)的啟示，會計處理顯著負(fù)面。估計下降公告后的市場價值會計操作范圍從20-40%（Palmrose、理查德森和朔爾茨2003;Karpo_,李，和馬丁2007）。第二，會計操作是可預(yù)測的。文獻(xiàn)會計操作的文檔可以預(yù)測的措施合格的質(zhì)量、會計性能、非金融變量聲明和股市變量（如,Beneish1999;Dechow,通用電氣,拉爾森和斯隆2007）。雖然會計操作導(dǎo)致重大投資損失和與公司相關(guān)的特點和性能，幾乎沒有證據(jù)表明存在成熟的投資者是否能夠避免損失與會計欺詐。機(jī)構(gòu)投資者已成為市場的重要力量在過去的幾十年。從八十年代初到九十年代末，機(jī)構(gòu)投資者所有權(quán)翻倍，股市50%以上（。機(jī)構(gòu)投資者在美國市場存在的上升促使文獻(xiàn)調(diào)查他們是否執(zhí)行有利可圖的交易。文獻(xiàn)的結(jié)果是喜憂參半。幾項研究文檔積極變化之間的相互關(guān)系，這些機(jī)構(gòu)投資者的資產(chǎn)和未來的收益和回報，這表明機(jī)構(gòu)通知交易員（如。、柯和Ramalingegowda2005;柯和Petron2004;阿里Dutch列弗,Trembles2004）。另一方面,一些文獻(xiàn)表明，知情交易可能更有限,發(fā)現(xiàn)性能優(yōu)越的共同基金很少持續(xù)（Carat1997;布朗一個曼1995年）和交易考慮通知可能只是動量交易的結(jié)果（Bushee和古德曼,2007）。會計欺詐和大市場的可預(yù)測性與會計欺詐相關(guān)的損失表明，它是一個理想的設(shè)定檢查成熟的機(jī)構(gòu)投資者。如果機(jī)構(gòu)投資者擁有優(yōu)越的信息和復(fù)雜的會計信息的使用者對會計欺詐，他們應(yīng)該在欺詐上市公司公開披露前欺詐。我的主要研究問題是機(jī)構(gòu)投資者預(yù)期會計欺詐的啟示和剝離的股票欺詐公司公開披露之前騙子。作為一個次要的研究問題，我檢查是否機(jī)構(gòu)作為有效的公司監(jiān)控預(yù)防欺詐。我使用的會計、審計和執(zhí)行版本（AAER）涉及欺詐和會計操作作為一個代理第一新聞文章Factiva提及會計違規(guī)的公眾披露欺詐。我檢查機(jī)構(gòu)交易模式在322年企業(yè)，美國證券交易委員會（SEC）中標(biāo)識執(zhí)行行動從1982年到2005年有操縱會計收益。我的分析是在兩個階段進(jìn)行。第一階段是本文分析聚合機(jī)構(gòu)公司級和欺詐檢查他們的交易行為。第二階段是一個階段分析，利用機(jī)構(gòu)投資者之間的異構(gòu)性，欺詐行為檢查他們的交易行為。公司的分析，我遵循Bushee（2001）組織機(jī)構(gòu)分為三類根據(jù)自己的投資風(fēng)格:瞬態(tài)和專用。多元化的投資組合和較低的投資組合營業(yè)額機(jī)構(gòu)的特點。多樣化的投資組合投資組合交易描述瞬態(tài)高機(jī)構(gòu)，和高度集中的投資組合和較低的投資組合營業(yè)額專門機(jī)構(gòu)的特點。符合文學(xué)之前,我希望發(fā)現(xiàn)瞬態(tài)機(jī)構(gòu)最有可能發(fā)起有利交易欺詐啟示的預(yù)期和機(jī)構(gòu)不大可能發(fā)起有利益可得交易欺詐的預(yù)期啟示我沒有強(qiáng)烈的專門機(jī)構(gòu)研究預(yù)測通常找到貿(mào)易基于即將到來的未來事件。然而，欺詐是一個獨特的設(shè)置可能導(dǎo)致專門機(jī)構(gòu)剝離他們的位置。如果專門機(jī)構(gòu)投資公司基于他們的信心的和意愿完整性管理、檢測欺詐行為會引起專門機(jī)構(gòu)剝離他們的股份。此外，由于專門機(jī)構(gòu)的特點是高度的投資組合,他們可能會有更大比例的投資組合風(fēng)險欺詐是否顯示。因此，他們可能會有最強(qiáng)的激勵預(yù)測欺詐和詐騙剝離他們的股票。文獻(xiàn)表明，機(jī)構(gòu)投資者作為公司監(jiān)控（如果是這樣的話,那么有可能是詐騙公司低水平的機(jī)構(gòu)投資欺詐行為，因為他們之前缺乏效率監(jiān)控。因此，我的第一組測試檢查機(jī)構(gòu)所有權(quán)水平是否欺詐公司立即釋放之前第一次欺詐收益報告不同于人口控制的公司。在不變的分析中，我發(fā)現(xiàn)欺詐公司實際上有更高水平的總機(jī)構(gòu)所有權(quán)，所有權(quán)和瞬態(tài)比公司所有權(quán)制度。專門機(jī)構(gòu)所有權(quán)沒有顯著區(qū)別樣本公司。接下來，我將進(jìn)行回歸分析，控制公司的特點。我立即發(fā)現(xiàn)欺詐的開始之前，機(jī)構(gòu)所有權(quán)欺詐公司的總體水平高于制度所有權(quán)控制公司的一個示例。然而，我發(fā)現(xiàn)更高層次的機(jī)構(gòu)主要是所有權(quán)的結(jié)果表明斜面更高層次的瞬態(tài)機(jī)構(gòu)所有權(quán)，專門機(jī)構(gòu)所有權(quán)控制后幾乎是相同的形式特征。大學(xué)和回歸結(jié)果表明，機(jī)構(gòu)所有權(quán)水平不作為一個伶俐的監(jiān)控裝置在欺詐的預(yù)防。我的下一套測試提供相關(guān)的證據(jù)，我的主要研究問題。我第一次檢查機(jī)構(gòu)所有權(quán)水平變化在欺詐公司在此期間公司提交欺詐。季度發(fā)行前的第一次欺詐收益報告，直到季度會計欺詐的公開披露之前，我發(fā)現(xiàn)機(jī)構(gòu)所有權(quán)欺詐公司增加了近14%，代表一家欺詐公司已發(fā)行股份的3.9%。2因為欺詐公司經(jīng)驗股價下跌約35%一旦發(fā)現(xiàn)欺詐，欺詐的機(jī)構(gòu)增加3.9%所有權(quán)不是微不足道的。事實上，計算表明，總機(jī)構(gòu)損失322年我的樣品是詐騙公司的1380億美元。增加3.9%機(jī)構(gòu)所有權(quán)欺詐時期代表約200億美元的損失。之前的研究已經(jīng)檢查機(jī)構(gòu)是否能預(yù)測即將發(fā)生的事件在短窗口（Briber,詹金斯和王,2006）。因此，在我的下一組測試，我觀察機(jī)構(gòu)所有權(quán)的變化后的季度馬上前,公開揭露欺詐。我在季度立即欺詐曝光之前，所有權(quán)制度降低了大約一個半欺詐公司已發(fā)行股份的百分比。我發(fā)現(xiàn)能有效的降低瞬態(tài)機(jī)構(gòu)持有,而專門的機(jī)構(gòu)持有的變化無關(guān)緊要的不會。我也在季后立即找到有效減少欺詐啟示。這些結(jié)果是強(qiáng)勁的幾個控制變量包括現(xiàn)在和過去的股票回報，意想不到的收益,以及分享營業(yè)額的變化。雖然我找到證據(jù)表明瞬態(tài)機(jī)構(gòu)能夠預(yù)測欺詐前一個時期它的啟示這些證據(jù)必須解釋的證據(jù)我之前測試。一個半百分比下降機(jī)構(gòu)所有權(quán)欺詐曝光之前雖然顯著，稍微減輕相當(dāng)大的機(jī)構(gòu)投資者的損失。機(jī)構(gòu)更異于三類我受聘于企業(yè)層面分析。因此，我進(jìn)行第二次分析進(jìn)一步利用機(jī)構(gòu)投資者之間的異質(zhì)性。我創(chuàng)建代理機(jī)構(gòu)的信息環(huán)境和機(jī)構(gòu)的激勵機(jī)制，以避免負(fù)面的市場后果與會計欺詐的啟示。條件擁有欺詐公司股票欺詐開始之前，我測試是否與機(jī)構(gòu)的所有權(quán)的變化相關(guān)聯(lián)的代理是欺詐公司前會計欺詐的啟示。結(jié)果提供一些證據(jù)表明與最強(qiáng)的激勵制度，以避免會計欺詐和最高的質(zhì)量信息環(huán)境剝離前股票欺詐公司會計欺詐的啟示。盡管數(shù)據(jù)符合資產(chǎn)剝離率的增加在這些機(jī)構(gòu)中，我無法確定這些關(guān)系的結(jié)果通知交易或自然的所有權(quán)水平均值回歸。這項研究應(yīng)該感興趣的機(jī)構(gòu)投資者和研究者。研究結(jié)果表明,機(jī)構(gòu)投資者失去錢的重要性通過投資公司提交會計欺詐。進(jìn)一步的證據(jù)有助于我的研究文獻(xiàn)記錄復(fù)雜的機(jī)構(gòu)投資者。至少在這個特殊的背景下，大多數(shù)機(jī)構(gòu)似乎沒有復(fù)雜的會計信息用戶;然而，我確實提供了有限的證據(jù)前立即通知本季度交易欺詐機(jī)構(gòu)之間的一個子集的啟示。這些投資的標(biāo)準(zhǔn)可能會導(dǎo)致這些機(jī)構(gòu)傾斜特征，更有可能來證明他們的投資組合的審慎投資。例如發(fā)現(xiàn)高的銀行向企業(yè)傾斜投資組合標(biāo)準(zhǔn)普爾股票評級。Bushee和古德曼（2007）,這是一個指示符變量等于一個如果一個機(jī)構(gòu)的市場價值的股票投資組合的五等分頂層，否則所有機(jī)構(gòu)在一個特定的季度和0。因為大多數(shù)機(jī)構(gòu)擁有更多的資源，我希望ISIZE是一個機(jī)構(gòu)的代理獲取和處理信息的能力。因此，我認(rèn)為,大型機(jī)構(gòu)將更有可能出售公司的股票有欺詐行為。我發(fā)現(xiàn)了兩個額外的措施,代理機(jī)構(gòu)的私人信息和激勵措施,以避免會計欺詐。選擇，第一個是一個變量，措施的相對大小的股權(quán)機(jī)構(gòu)風(fēng)險在一個特定的公司。打賭測量作為應(yīng)聲股本旗下機(jī)構(gòu)j公司我在一季度t擴(kuò)展機(jī)構(gòu)j的總市場價值的投資組合在季度t。我希望押注是負(fù)相關(guān)的制度變遷在欺詐公司的所有權(quán)。與更高水平的機(jī)構(gòu)選擇相對比水平較低的企業(yè)風(fēng)險價值選擇，因此，這些機(jī)構(gòu)有更大的激勵來收集私人信息，避免投資公司有欺詐行為。我最后的機(jī)構(gòu)公司水平變量，這是一個指示符變量等于一個如果一個機(jī)構(gòu)持有的流通股總量的百分比在公司五等分頂層的制度，公司所有權(quán)和零。我希望塊與私人信息優(yōu)勢，因為這些機(jī)構(gòu)更有可能獲得私人信息和更愿意承擔(dān)私人信息采集和處理的成本。因此，我希望阻止將負(fù)相關(guān)的機(jī)構(gòu)持有的詐騙公司的變化。Bushee和古德曼(2007)是第一個采用這兩種措施指出是一個很好的衡量去激勵收集公司信息。原文：AccountingFraudandInstitutionalInvestorsByChadR.LarsonIalsoacknowledgethementorshipofTedChristensenwithoutwhichIwouldhavenevertakenonthechallengeofadoctorate.Lastly,Iamgratefulforthesupportofmyfamily.Withoutthemthecompletionofthisdissertationwouldnotmeannearlyasmuch.IntroductionU.S.capitalmarketsrelyonfinancialreportingsystemstohelpeffectivelyallocatecapital.Therecentbreakdownsinthefinancialreportingprocessatmanyhighprofilecompanieshaverenewedresearchers',andmarketparticipants'interestinaccountingfraud.Twoimportantempiricalregularitiesemergefromthebodyofliteraturedocumentingthedeterminantsandconsequencesofextremeearningsmanipulations.First,stockmarketreactionstotherevelationofaccountingmanipulationsaresignificantlynegative.Estimateddeclinesinmarketvaluefollowingthepublicannouncementofaccountingmanipulationsrangefrom20to40percent(Palmore,Richardson,andScholz2003;Karpo_,Lee,andMartin2007).Second,accountingmanipulationsarepredictable.Abodyofliteraturedocumentsthataccountingmanipulationscanbepredictedwithmeasuresofaccuratequality,accountingperformance,non-financialstatementvariables,andstockmarketvariables(e.g.,Beneish1999;Dechow,Ge,Larson,andSloan2007).Althoughaccountingmanipulationsresultinsignificantinvestorlossesandareassociatedwithfirmcharacteristicsandperformance,littleevidenceexistsonwhethersophisticatedinvestorsareabletoavoidlossesassociatedwithaccountingfraud..Institutionalinvestorshavebecomeasignificantmarketforceoverthelastseveraldecades.Fromtheearly1980stothelate1990s,institutionalinvestorsdoubledtheirownershipintheequitymarketstoover50percent(GompersandMetrick,2001).TherisingpresenceofinstitutionalinvestorsintheU.S.marketshasspurredasigni_cantbodyofliteratureinvestigatingwhethertheyexecutepro_tabletrades.Theresultsoftheliteraturearemixed.Severalstudiesdocumentpositiveassociationsbetweenchangesininstitutionalinvestors'holdingsandfutureearningsandreturns,suggestingthatinstitutionsareinformedtraders(e.g.,KeandRamalingegowda2005;KeandPetroni2004;Ali,Durtschi,Lev,andThrombley2004).Ontheotherhand,someliteraturesuggeststhatinformedtradingmightbemorelimited,findingthatsuperiormutualfundperformanceisrarelypersistent(Carhart1997;BrownanGoetzmann1995)andtradingpatternspreviouslyconsideredinformedmightsimplybetheresultofmomentumtrading(BusheeandGoodman,2007).Thepredictabilityofaccountingfraudandthelargemarketlossesassociatedwithaccountingfraudsuggestthatitisanidealsettingtoexaminethesophisticationofinstitutionalinvestors.Ifinstitutionalinvestorspossesssuperiorinformationandaresophisticatedusersofaccountinginformationwithrespecttoaccountingfraud,theyshouldsellsharesinfraudfirmspriortopublicrevelationsoffraud.Myprimaryresearchquestioniswhetherinstitutionalinvestorsanticipateaccountingfraudrevelationsanddivestsharesinfraudfirmspriortothepublicrevelationoffrauds.Asasecondaryresearchquestion,Iexaminewhetherinstitutionsactaseffectivefirmmonitorsinthepreventionoffraud.IuseAccounting,Auditing,andEnforcementReleases(AAER)involvingaccountingmanipulationsasaproxyforfraudandthefirstpressarticleinFactivamentioninganaccountingirregularityasthepublicrevelationoffraud.1Iexamineinstitutionaltradingpatternsin322firmsthattheSecuritiesandExchangeCommission(SEC)identifiedinenforcementactionsfrom1982through2005ashavingmanipulatedtheiraccountingearnings.Myanalysisisconductedintwostages.Thefirststageisafirm-levelanalysisthataggregatesinstitutionsatthefirm-levelandexaminestheirtradingbehaviorinfraud_rms.Thesecondstageisaninstitution-levelanalysisthatexploitstheheterogeneityamonginstitutionalinvestorsandexaminestheirtradingbehaviorinfraud_rms.Formyfirm-levelanalysis,IfollowBushee(2001)bygroupinginstitutionsintothreecategoriesbasedontheirinvestmentstyles:quasi-indexer,transient,anddedicated.Diversifiedportfoliosandlowportfolioturnovercharacterizequasi-indexerinstitutions.Diversifiedportfoliosandhighportfolioturnovercharacterizetransientinstitutions,andhighlyconcentratedportfoliosandlowportfolioturnovercharacterizededicatedinstitutions.Consistentwithpriorliterature,Iexpecttofindthattransientinstitutionsarethemostlikelytoinitiateprofitabletradesinanticipationofafraudrevelationandquasi-indexerinstitutionsareunlikelytoinitiateprofitabletradesinanticipationofafraudrevelation(e.g.,KeandRamalingegowda2005;Hribar,Jenkins,andWang2006).Imakenostrongpredictionsfordedicatedinstitutionsasresearchtypicallyfindsthattheydonottradebasedonimpendingfutureevents.However,fraudisauniquesettingthatmayleaddedicatedinstitutionstodivesttheirpositions.Ifdedicatedinstitutionsinvestinfirmsbasedontheirconfidenceinthevisionandintegrityofmanagement,detectingafraudmightleaddedicatedinstitutionstodivesttheirshares.Inaddition,sincededicatedinstitutionsarecharacterizedbyhighly-concentratedportfolios,theyarelikelytohavealargerpercentageoftheirportfoliosatriskiffraudisrevealed.Therefore,theyarelikelytohavethestrongestincentivestoanticipatefraudanddivesttheirsharesinfraud_rms.Abodyofliteraturesuggeststhatinstitutionalinvestorsactasfirmmonitors(e.g.Chung,Firth,andKim2002;Chen,Harford,andLi2007).Ifthisisthecase,thenitispossiblethatfraudfirmshavelowlevelsofinstitutionalinvestmentpriortocommittingfraudbecausetheylackefficiencymonitoring.Therefore,myfirstsetoftestsexamineswhetherinstitutionalownershiplevelsinfraudfirmsimmediatelypriortothereleaseofafirstfraudulentearningsreportdifferfromapopulationofcontrolfirms.Inunvariedanalysis,Ifindthatfraudfirmsactuallyhavehigherlevelsoftotalinstitutionalownership,quasi-indexerownership,andtransientinstitutionalownershipthannon-fraudfirms.Dedicatedinstitutionalownershipisnotsignificantlydifferentfromthenon-fraudsampleoffirms.Next,Iconductregressionanalysisthatcontrolsforfirmcharacteristics.Ifindthatimmediatelypriortothebeginningofafraud,fraudfirms'totallevelofinstitutionalownershipishigherthaninstitutionalownershipforasampleofcontrolfirms.However,Ifindthatthehigherlevelofinstitutionalownershipisprimarilytheresultofasigncanthigherleveloftransientinstitutionalownership,whilequasi-indexeranddedicatedinstitutionalownershipisnearlyidenticalaftercontrollingformcharacteristics.TheuniversityandregressionresultssuggestthatthelevelofinstitutionalownershipdoesnotactasasapientmonitoringdeviceinthePreventionoffraud.Mynextsetsoftestsprovideevidencerelatingtomyprimaryresearchquestion.Ifirstexaminechangesininstitutionalownershiplevelsinfraudfirmsovertheperiodfirmscommitfraud.Fromthequarterpriortotheissuanceofafirstfraudulentearningsreportuntilthequarterpriortothepublicrevelationofanaccountingfraud,Ifindthatinstitutionalownershipinfraudfirmsincreasesbyalmost14percent,representing3.9percentofafraudfirm'soutstandingstock.2Becausefraudfirmsexperiencestockpricedeclinesofapproximately35percentoncethefraudisrevealed,the3.9percentincreaseininstitutionalownershipoverthefraudperiodisnottrivial.Infact,calculationssuggestthattotalinstitutionallossesforthe322fraudfirmsinmysampleareinorderof$138billion.The3.9percentincreaseininstitutionalownershipoverthefraudperiodrepresentsapproximately$20billionofthoselosses.Priorresearchhasexaminedwhetherinstitutionscanpredictimpendingeventsovershortwindows(Hribar,Jenkins,andWang,2006).Accordingly,inmynextsetoftests,Iobservechangesininstitutionalownershipinthequartersimmediatelypriortoandfollowingthepublicrevelationoffraud.Iamthatinthequarterimmediatelypriortoafraudrevelation,institutionalownershipdecreasesbyapproximatelyoneandahalfpercentofafraudfirm'soutstandingstock.Ifindsignificantdecreasesfortransientinstitutionalholdings,whilechangesinquasi-indexeranddedicatedinstitutionalholdingsareinsignificant.Ialsofindsignificantdecreasesinthequarterimmediatelyfollowingthefraudrevelation.Theseresultsarerobusttoseveralcontrolvariablesincludingcurrentandpaststockreturns,unexpectedearnings,andchangesinshareturnover.AlthoughIfindcomeevidencethattransientinstitutionsareabletoanticipatefraudoneperiodpriortoitsrevelation,thisevidencemustbeinterpretedinlightofevidencefrommyprevioustests.Theoneandahalfpercentdecreaseininstitutionalownershippriortofraudrevelations,thoughstatisticallysignificant,onlyslightlymitigatessubstantiallossesforinstitutionalinvestors.InstitutionsaremoreheterogeneousthanthethreecategoriesIemployinmyfirm-levelanalysis.Therefore,Iconductasecondanalysisattheinstitution-levelthatfurtherexploitstheheterogeneityamonginstitutionalinvestors.Icreateproxiesforinstitutions'informationenvironmentsandinstitutions'incentivestoavoidthenegativemarketconsequencesassociatedwiththerevelationofaccountingfraud.Conditionalonowningfraudfirmsharespriortoafraudbeginning,Itestwhethertheproxiesareassociatedwithinstitutions'ownershipchangesinfraudfirmspriortotherevelationofanaccountingfraud.Theresultsprovidesomeevidencethatinstitutionswiththestrongestincentivestoavoidaccountingfraudandwiththehighestqualityinformationenvironmentsdivestsharesinfraudfirmspriortotherevelationofaccountingfraud.Althoughthedataareconsistentwithanincreasedrateofdivestituresamongtheseinstitutions,Iamunabletoestablishwhethertheserelationsarearesultofinformedtradingornaturalmeanreversioninownershiplevels.Thisstudyshouldbeofinteresttobothinstitutionalinvestorsandresearchers.Theresultssuggestthatinstitutionalinvestorslosesignificantamountsofmoneybyinvestinginfirmsthatcommitaccountingfraud.Mystudycontributesfurtherevidencetothebodyofliteraturedocumentingthesophisticationlevelofinstitutionalinvestors.Atleastforthisparticularcontext,mostinstitutionsdonotappeartobesophisticatedusersofaccountinginformation;however,Idoprovidelimitedevidenceofinformedtradinginthequarterimmediatelypriortofraudrevelationsamongasubsetofinstitutions.Theremainderofmydissertationproceedsasfollows.Chapter2examinespriorliteratureandoutlinesmyempiricalpredictions.Chapter3outlinesmyresearchdesign.Chapter4describesmysampleselectionprocessandprovidesdescriptivestatistics.Chapter5detailsmytestsandpresentsresultsandchapter6concludes.PriorLiteratureandEmpiricalPredictionsMydissertationbuildsontwostreamsofpriorliterature.Thefirststreamofliteratureexaminesthedeterminantsandconsequencesofaccountingmanipulations.Thesecondstreamofliteratureexaminesthetradingbehaviorofinstitutionalinvestors.AccountingManipulationsPriorresearchhasidentifiedcharacteristicsoffirmsthatmanipulatetheirfinancialstatements.Dechow,Ge,Larson,andSloan(2007)investigateacomprehensivesampleofall895firmssubjecttoAccounting,Auditing,andEnforcementReleases(AAER)from1982throughJuly2005.Theyexaminetheuseofseveralfinancialstatementvariables,o_-balancesheetandnon-financialvariables,andmarket-relatedvariablestopredictaccountingmanipulations.TheyhadthatfirmsaccusedbytheSECofmanipulatingtheir_financialperformancetendtohavehadstrongperformancepriortomanipulations.Theyalsoandthatmanipulationsappeartobemotivatedbymanagers'desiretoobfuscatedeterioratingfinancialperformance.Duringmanipulationyears,theyfindthatcashprofitmarginsandreturnonassetsaredecliningwhileaccrualsareincreasing.Theyalsofindthatfirmsmanipulatingfinancialreportingaremorelikelytoissuedebtandequity.Rankingfirmsbasedonthepredictedlikelihoodofaccountingmanipulationsfromalogisticmodel,theyclassifyalmost50percentofmanipulationfirmsinthetop20percentoftheirmanipulationindexand65percentofmanipulationfirmsinthetop40percentoftheirindex.Beneish(1999)createsafraudpredictionmodelbasedonasampleof74firmsthatmanipulatedearningsandasampleof2,332matchedfirms.Estimatingprobitymodelsofaccountingmanipulationsasafunctionofeightaccountingbasedvariables(indexedday'ssalesinreceivables,grossmargin,assetquality,salesgrowth,depreciation,sales,generalandadministrativeexpenses,leverage,andaccrualstototalassets)heisabletocorrectlyclassifyapproximately50to75percentoffraudfirms,whileincorrectlyclassifyingonly10to20percentofmatchedfirms.Severalotherstudiesdocumentrelationsbetweenearningsmanipulationfirmsandfirmcharacteristics.TwoothernotablestudiesincludeDechow,Sloan,andSweeney(1996)andBrazel,Jones,andZimbelman(2006).Dechowetal,(1996)examineasampleof92firmswithanAAERfrom1982to1992.TheydocumentthatAAERsareassociatedwithexternalfinancingneedsandpoorcorporategovernance.TheyalsoshowthatAAERfirmsexperiencesignifiescantincreasesintheircostofcapitalaftertherevelationsofaccountingmanipulations.Brazeletffal,(2006)alsoandthatseveralnon-financialmeasurescanbeusefulinpredictingaccountingmanipulations.AlthoughthenumberofTypeIerrorsinfraudpredictionmodelsisrelativelyhigh,therelativecostofTypeItoTypeIIerrorsforinstitutionalinvestorsislikelyextremelylow.Severalstudieshaveestimatedinvestmentlosseswhenaccountingmanipulationsarerevealed.ThelatestlargesampleevidencesuggeststhatthecostofTypeIIerrorsaverageapproximately40percentofaninstitution'sinvestmentinafraudfirm(Karpo,Lee,andMartin,2007).Ontheotherhand,thecostofaTypeIerrorisextremelylowinamarketwithmanysubstituteassetsasinvestorscansimplychoosenottoholdfirmswithahighprobabilityoffraud.Investorsmayalsobeprivytoprivateinformationregardingfirmperformanceandaccountingmanipulations.Totheextentthatinvestorspossessprivateinformationandchoosetouseotherqualitativeinformation,theymaybeabletosignificantlyreducethenumberofTypeIandIIerrorsincurredwhenattemptingtoidentifyaccountingfrauds.ThehighnumberofTypeIerrorsassociatedwithusingearningsmanipulationpredictionmodelsmightalsosuggestthatinvestorswouldbewillingtolivewiththenegativereturnsassociatedwithfraud_firmsifthenegativereturnsarebalancedoutwithsuficientlypositivereturnsfromnon-fraud_firmswithstrongsignalsoffraud.Inaconcurrentworkingpaper,BeneishandNichols(2007),showthatthisisnotthecase.Theirresultsrevealthat_firmswithahighprobabilityofmanipulatedearnhavelowerfutureearningsandreturns.Theyalsoshowthatatradingstrategybasedontheprobabilityofearningsmanipulationyieldsanabnormalhedgereturnof13.9percent.Throughadditionalteststheyconcludethatthereturns,whichareconcentratedontheshortside,arenotaresultofasymmetricarbitragecosts,butratheraresultofasymmetricerrorsinmarketexpectations.BeneishandNichols(2007)donotprovidedirectevidenceon_firmsthatactuallymanipulateearn,rathertheyexamineportfoliosoffirmswithahighprobabilityofmanipulation.Theyfindthatinstitutionalinvestorsincreasetheirholdingsinfirmswithahighprobabilityofmanipulation.Mystudyfocusesontheactualincidenceoffraud.Iamabletoprovidemoredetailedanddirectevidenceonthetradingbehaviorofinstitutionsinactualfraud_firmsbefore,during,andaftertheperiodinwhichfirmscommitfraudandthefraudsbecomepublic.2.2InstitutionalInvestorsFrom1980to1996,institutionalinvestorsdoubledtheirshareofthemarketandnowcontroloverhalfoftheU.S.equitymarket(GompersandMetrick,2001).Theincreasedimportanceandperceivedsophisticationofinstitutionalinvestorshasspawnedalargebodyofliterature.Onebranchoftheliteratureexamineswhetherinstitutionalinvestorsactasmonitorsandinfluencemanagements'decisions.Theevidencesuggeststhatthelevelofinstitutionalownershipandthecompositionofafirm'sinstitutionalownershipbasematterswhendeterminingwhetherinstitutionalownersarelikelytoactaseffectivemonitors.Bushee(1998)findsthatmanagersarelesslikelytocutresearchanddevelopmentexpenseswhenfacinganearningsshortfallifinstitutionalownershipishigh.Buthealsofindsthatlargeproportionsofownershipbyinstitutionsthattradebasedonmomentumandhavehighportfolioturnoverincreasethelikelihoodthatafirmwillcutresearchanddevelopmenttomeetanearningsshortfall.Chung,Firth,andKim(2002)findthatlargeinstitutionalshareholdingsinafirmreducethelikelihoodofearningsmanagementusingaccruals.Chen,Harford,andLi(2007),usingacquisitiondecisionstorevealmonitoring,findthatinstitutionswithlong-terminvestmentsspecializeinmonitoringwhileotherinstitutionsdonotmonitor.Bushee(2001)findsthathighlevelsofshort-terminvestorsareassociatedwithanover-weightingofnear-termexpectedearningsandunder-weightingoflong-termexpectedearnings.Inlightofthiscombinedevidence,myfirstpredictionisthatfraudfirms,priortotheissuanceoftheirfirstfraudulentearningsreport,arelikelytohavelowlevelsofinstitutionalownership.Ialsoexpectthatfraudfirmswillhavehigherlevelsofshort-term,transient,institutionalownershipandlowerlevelsoflong-term,dedicated,institutionalownership.Muchoftheaccountingresearchoninstitutionalinvestors'tradingbehaviorsuggeststhatinstitutionalinvestorsaresophisticatedusersofaccountinginformation.Forexample,previousliteraturehasdocumentedthatthehigherthelevelofinstitutionalownership,thesmallerthemarketreactionsurroundingearningsannouncements(El-Gazzar,1998).Balsam,Bartov,andMarquardt(2002)findthatthevaluationimplicationsoflargediscretionaryaccrualsareincorporatedintostockpricesmorequicklyfor_rmswithlargeinstitutionalinvestorbases.Thepresenceofinstitutionalinvestorsisalsopositivelyassociatedwiththeextentthatpricesleadearnings(Jiambalvo,RajGopal,andVenkatachalam,2002).Studieshavealsoshownthatinstitutionalinvestorsexploitaccountingbasedstockpriceanomaliessuchasthepost-earningsannouncementdrift(KeandRamalingegowda,2005)andtheaccrualsanomaly(Collins,Gong,andHribar,2003).LevandNissim(2006)alsoshowthattheaccrualsanomalyisexploitedbysomeinstitutionalinvestors,butthemagnitudeofthisaccruals-relatedtradingisrathersmall.Theyshowthatthecontinuedpersistenceoftheaccrualsanomalyisnotexplainedbyalackofunderstandingamonginstitutions,butratheraninstitutionaldistasteforextreme-accrualsfirmsthataretypicallysmall,unprofitable,andrisky.KeandRamalingegowda(2005)findthatinstitutionsalsopossessinformationthatallowsthemtoavoidnegativestockpriceshocksassociatedwithabreakinastringofconsecutiveearningsincreases.Althoughmuchoftheliteratureoninstitutionalinvestorssuggeststhattheyaresophisticatedusersoffinancialinformation,thisliteraturestandsincontrasttoevidencethatquestionswhetherinstitutionsprofitfrominformationaladvantages.Forexample,muchoftheliteratureonmutualfundperformancesuggeststhatsuperiorperformanceisnotpersistent(e.g.,BrownandGoetzmann1995).Additionally,O'BrienandBhushan(1990)_findthatinstitutionsareattractedtofirmswithmoreanalystfollowing.Similarly,BusheeandNoe(2000)_findthatinstitutionsareattractedtofirmswithhigh-qualitydisclosureregimes.Therefore,ifpublicandprivateinformationaresubstitutes,institutionsshouldhavefeweropportunitiestobenefitfrominformationaladvantages.Ifinstitutionalinvestorspossesssuperiorprivateinformationorinformationprocessingabilities,Iexpecttofindsupportformysecondpredictionthatinstitutionalinvestorsdivestsharesinfirmsthatarecommittingaccountingfraud.Alackofevidencethatinstitutionsdivestsharesinfraudfirmspriortopublicrevelationsoffraudwouldsuggestthateitherinvestorsareunabletouseprivateinformationtoanticipatepublicannouncementsoffraudorthecostofanticipatingthepublicannouncementsoffraudaretoogreatrelativetothebenefits.Institutionalinvestorsexhibitheterogeneityintheirinvestmentstyles.Priorliteraturehasshownthatthelikelihoodofinformedtradingvarieswithinstitutionalinvestors'characteristics(e.g.,HribarandJenkins2004;KeandRamalingegowda2005).MuchofthepriorliteraturehasreliedonamethodologyproposedbyBushee(1998).Inthismethodology,institutionsarefirstclassifiedintooneofthreeinvestmentstrategies(quasi-indexer,transient,anddedicatedinstitutionalinvestors)basedonportfolioturnoverandstakesizes.Theinstitutionsarethenaggregatedatthefirmlevel.Thebodyofevidencethatusesthismethodologytypicallyfindsthatprofitabletradinginanticipationoffutureeventsisonlyidentityableforthetransientinvestorcategory.Therefore,Iexpectanyevidencethatinstitutionalinvestorspredictaccountingfraudwillbeconcentratedamongtransientinstitutionalinvestors.Becausededicatedinstitutionalownershavethelargestportionoftheirportfoliosatstakewhenafraudisrevealed,Ialsoanticipatethepossibilitythattheymaydivestsharesinanticipationoffraudrevelations.Inarecentpaper,BusheeandGoodman(2007)exploittheheterogeneityamonginstitutionalinvestorsandthepositionstheyholdbyconductingananalysisthatincludesnotonlyinstitution-levelvariablessuchasportfoliosizeandtradingstrategybutalsoinstitutionfirm-levelcharacteristicssuchasthesizeofapositioninaparticularfirmandthesizeofth