财务会计研究展示第8组自愿性信息披露课件

1、经理自愿披露坏消息的法律动机自愿性披露相关研究研究假设样本选择，数据来源和描述性统计研究结果文章简介结论及相关扩展第1页，共68页。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. 作者随机选择美国纳斯达克市场上的93家公司作为样本量，研

2、究其在19811990年期间与盈利相关信息的自愿性披露现象。 自愿性披露的动机 诉讼成本理论第2页，共68页。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. 作者随机选择美国纳斯达克市场上的93家公司作为样本量，研究其在19811990

3、年期间与盈利相关信息的自愿性披露现象。 与盈利相关的自愿性披露频率较低。 好消息的披露一般是对年度EPS的定量估计(点预测或区间预测) 坏消息的披露一般是与当前季度盈余相关的定性的说明公告。 股价对坏消息的反应要比对好消息的反应要大。第3页，共68页。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. 当公司的季度或年度利润与分析师的预期不符时 当公司季度报表存在较大的负向盈余意外时，25%公司都会选择进行提前披露，而对于其他类型的季度报表，存在提前披露的情况不到10%。第4页，共68页。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. 管理者在选择其自愿性披露的政策时，面临着一种非对称损失函数。 相较于其他类型的消息，当投资者发现报表中存在较大的负向盈余意外时，

6、管理层会承担更大的成本。第5页，共68页。 Managers Legal Incentives to Disclose Bad News2Tow ReasonsLegal CostsReputational Costs诉讼成本声誉成本第6页，共68页。 Managers Legal Incentives to Disclose Bad News2Reputational CostsLegal CostsTow Reasons诉讼成本声誉成本第7页，共68页。 Managers Legal Incentives to Disclose Bad News2投资经理人、股东等一般不喜欢负向盈余意外若

7、某公司管理层发生过隐瞒盈余坏消息的行为投资者持有该公司股票的可能性下降管理层声誉受损，公司股价下降或股票流动性降低Reputational Costs第8页，共68页。 Managers Legal Incentives to Disclose Bad News2Legal Costs当季度或年度报表中存在较大的负向盈余意外股票价格会在报表披露日有很大幅度的下降投资者会因为管理者没能及时披露坏消息而起诉管理层需要为此承担个人责任并处理诉讼第9页，共68页。 Managers Legal Incentives to Disclose Bad News2Legal Costs提前披露为何可以降低诉

8、讼成本？Two Ways Second, disclosing early limits the period of nondisclosure,thereby reducing the damages that plaintiffs can claim.在盈利公告发布前就自愿性进行披露，自然缩短了投资者在不知情情况下交易的时段，相应的减少了不知情情况下成交的金额，在此情况下，即使败诉，亦可减少赔偿损失的金额。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预先披露坏消息，则即便引发股价下跌，投资者亦难以指控管理层隐瞒消息第10页，共68页。 Managers Legal Incentives to Disclose Bad News2SEC Rule 10b-5Tow RulesDisclose or Obstai

10、n公开否则戒绝Disclose or Obstain：Corporate insiders disclose all material information or abstain from trading. 知情人应公开其知悉的内幕消息，否则禁止利用该消息进行交易 主要是支持了投资者对内幕交易行为人提起诉讼第11页，共68页。 Managers Legal Incentives to Disclose Bad News2SEC Rule 10b-510b-5的母法1934年证券交易法 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. 任何人从事下列与证券买卖相关的行为均属违法：“如果对重大性事实进行虚假记载或遗漏某项重大事实。.”违反10b-5的三大主要因素故意的失实陈述遗漏公司重大事实第12页，共68页。 Managers Legal Incentives to Di

12、sclose Bad News2SEC Rule 10b-510b-5的母法1934年证券交易法 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.投资者进行诉讼 应满足的条件 被告实

13、施了欺诈行为(misstatement or omission) 欺诈涉及到实质性事实(a material fact) 被告具有欺诈的恶意(with intent) 原告有信赖存在，即交易的发生是因为被告的欺 诈行为而致(the plaintiff(原告) justifiably relied on) 与证券的卖出和买进有关(purchase or sale)第13页，共68页。 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家经历过因为修正其据称有误导性或有信息遗漏的公告从而造成股价的下跌，最终导致诉讼案件。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家样本公司中，97%的公司在诉讼要求补偿的损失发生的时间区间或发生损失的前三周内都曾发生过股票价格的下跌。Most l0b-5 cases are brought after disclosures that lead to stock price declines。相较于大幅上涨，股价大幅下跌带来的诉讼成本更高。第14页，共68页。 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诉讼案件的产生。任何情况下引起的股票价格的大幅下降都有可能引起诉讼。Two Reasons越早披露，减少了投资者投诉管理层没能及时报告坏消息的证据。减少了不知情情况下成交的金额，即使败 诉，亦可减少赔偿损失的金额，降低成本。第15页，共

17、68页。 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. 对于没有进行披露的公司，投资者无法辨别坏消息的存在。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.投资者不能确定管理层私有信息的存在，因此也无法得知管理层是否在隐瞒坏消息。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，那么管理者会披露所有消息。当披露成本足够低或管

19、理层和投资者间信息不对称程度过高时，管理层才会披露坏消息。第16页，共68页。 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. 通过披露来影响竞争者行为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页，共68页。 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. 管理层只有在市场预期过高或过低的时候才会发布盈余预测。Existing Theory第18页，共68页。 Discretionary Disclosure Research3Patell1976, Penman 1980, Waymire 1984, and Lev and Penman1990管理层相较于坏消息，更多的会披露好消息。因此平均来说，管理层关于盈余的预测披露对于股价的影响

23、是正向的。Lev and Penman 1990 当公司运营情况相对较好时，管理层更有可能进行盈余预测。Empirical EvidenceAjinkya and Gift 1984,McNichols 1989, and Pownall, Wasley,Waymire1993 平均来说，管理层关于盈余的预测披露对于股价的影响趋向于零。第19页，共68页。 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. 管理层同时具有披露好消息和坏消息的动机。但是大部分公司在多数情况下都不处于这两种情况中，因此与盈余相关的自愿性披露频率较低。第20页，共68页。 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:坏消息的盈余披露更有可能与季度报表有关，而关于年度盈余预测的披露更多是好消息。好消息和坏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页，共68页。 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：相较于其他类型的盈余消息，当季度盈余报告中含有较大的负面盈余意外时，管理层更有可能在盈余报告前对此坏消息进行披露。Ajinkya and GiftThe expectations-adjustment hypothesis 预期调整假说 该假说认为证券市场将管理层盈余预测信息的发布可以看作是对市场预期过高或过低的调整。随着盈余意外的的程度增加，管理层提前进行盈余披露的可能

28、性增加(好消息和坏消息一样)。 但诉讼成本理论认为只在存在负面盈余意外的情况下才成立。第22页，共68页。 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: 相较于自愿性披露的好消息，当公司自愿性披露坏消息时，股票价格变动的绝对值更大。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. 缓解股价在盈余报告当日的下降程度第23页，共68页。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页，共68页。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页，共68页。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页，共68页。Descriptive statistics+42%第27页，共68页。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页，共68页。Results relation between form of disclosure and sign of news52%39%第29页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。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页，共68页。 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页，共68页。 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.对于盈余消息被提前披露的季度，比较该季度的盈余消息的总数

52、与盈余公告日公布的消息数量。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页，共68页。 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页，共68页。 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页，共68页。 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页，共68页。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