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德勤－复旦会计论坛系列讲座之一百五十一

 

时间：2018年11月13日（周二）下午14：00

地点：史带楼502室

主持人: 吕长江 教授

Speaker：Frank Zhang  (Yale University)

Title：Measuring the information content of accounting disclosures

Abstract：In his seminal work, Beaver (1968) develops a ratio of return volatility at earnings announcements to that for non-announcement windows to measure the information content of earnings. This ratio has since been widely used to study various aspects of accounting disclosures under the assumption that variation in the ratio reflects variation in the incremental information arrival from disclosures. We consider three other determinants of the ratio that also vary across firms and over time: trading noise, normal information arrival, and investor under/overreaction. We exploit two exogenous shocks—the SEC’s Tick Size Pilot program and the financial crisis—to document evidence of the causal impact of trading noise and normal information arrival on the ratio. Our analysis yields a simple way to confirm that variation in the ratio is due to incremental information of disclosures: check if variation in the ratio is accompanied by similar variation in its numerator, rather than opposite variation in the denominator and numerator. We apply this approach to time-series and cross-sectional variation in the ratio in a broader sample. Our results suggest alternative interpretations for some findings in prior studies.

 

 

会计学系

2018-11-11