Journal of Corporate Finance · Volume 42, February 2017 (In Progress), Pages 36–54

收益平滑：它會加劇或約束股價崩盤風險嗎？

作者：Changling Chen (School of Accounting and Finance, University of Waterloo), Jeong-Bon Kim (School of Accounting and Finance, University of Waterloo), Li Yao (John Molson School of Business, Concordia University)

摘要：我們研究了收益平滑和股票價格崩盤風險之間的關系，以評估收益平滑對股本價值下跌風險的作用。我們發現，在公司内部，更高程度的收益平滑與更大的崩盤風險相關聯；這種關聯在橫截面上對于分析師跟蹤少、機構持股量小、正的累積操縱性應計利潤的公司更為明顯。我們還使用股票回報來評估我們結果的經濟意義。我們發現，控制公司的固定效應後，收益平滑與盈餘公告後的顯著的季度負回報相關。我們的研究結果提醒投資者關注公司報告平滑收益包含的下行風險，這與認為這些公司股本風險低的傳統觀點恰恰相反。

關鍵詞：股票價格崩盤風險；收益平滑；管理者機會主義；私有信息信号；外部監管

Earnings smoothing: Does it exacerbate or constrain stock price crash risk?

Changling Chen (School of Accounting and Finance, University of Waterloo), Jeong-Bon Kim (School of Accounting and Finance, University of Waterloo), Li Yao (John Molson School of Business, Concordia University)

ABSTRACT

We examine the relation between earnings smoothing and stock price crash risk to evaluate the role of earnings smoothing on the downside risk of equity values. We find that, within firm, a higher degree of earnings smoothing is associated with greater crash risk; and this association, in the cross-section, is more pronounced for firms with fewer analysts following, smaller institutional holdings, and positive cumulative discretionary accruals. We also use stock returns to assess the economic significance of our results. We find that, controlling for firm fixed effects, earnings smoothing is associated with sizable negative returns in the quarter following the earnings announcement. Our findings caution investors about the downside risk of firms reporting smooth earnings, in contrast to the conventional belief that these firms are low in equity risk.

Keywords: Stock price crash risk; Earnings smoothing; Managerial opportunism; Private information signalling; External monitoring

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S092911991630270X

翻譯：熊進宗