Journal of Banking & Finance, Volume 58, September 2015, Pages 327-342,

公允價值披露、流動性風險和股票收益率

作者：Oliviero Roggi, Alessandro Giannozzi

摘要：本文通過分析投資者對2008-2010年間的106次風險事件所作的反應，來研究流動性風險對金融類和非金融類公司的股價沖擊。公允價值的三種不同計價方式（第一種——根據市價調整，第二種——可觀察的市場輸入量，第三種——根據模型調整）呈現出不同的流動性風險大小，這些公允價值信息顯示在資産負債表中，其中第三種計價方式确定的固定資産蘊含了更高的流動性風險，進而增加了公司的流動性風險。313家歐洲公司出現流動性限制事件、資本注入行為以及銀行救助後的股價反應，顯示出投資者決策時會考慮流動性風險。實驗證據是基于固定效應模型和偏最小二乘回歸。這些發現表明，由三種不同的計價方式所确定的公允價值包含了不同的流動性風險大小，因此投資者對風險事件所作的反應也不同。在流動性限制事件中，投資者對資産負債表中含有較多第三種計價方式确定的固定資産和負債的公司有更強的負面反應。而在流動性擴張事件中，投資者對含有較多固定資産的公司反應得更積極。

關鍵詞：公司流動性風險，公允價值披露，股票收益率，金融危機

Fair value disclosure, liquidity risk and stock returns

Oliviero Roggi, Alessandro Giannozzi

Abstract:

This paper aims to investigate the impact of company liquidity risk on the stock prices of financial and non-financial companies by analyzing investors’ reactions to 106 crisis events over the period from 2008 to 2010. Companies’ liquidity risk shows up in the three levels of fair value information (level 1-mark to market, level 2-market observable input and level 3-mark to model) disclosed in their balance sheets, with level 3 illiquid assets representing a greater liquidity risk and resulting in a greater company liquidity risk. The role played by liquidity risk information in investors’ decision-making is explored by analyzing their reactions to liquidity-constraining events, capital injections and bank bailouts for 313 European companies. The empirical evidence is based on the fixed effects model and Partial Least Squares regressions. These findings demonstrate that investors’ reactions to the crisis events are affected by the liquidity risk conveyed by the levels of fair value hierarchy in both financial and non-financial firms. During liquidity-constraining events, investors have stronger negative reactions to companies with more level 3 illiquid assets and liabilities on their balance sheets. During liquidity-expanding events, investors react more positively to companies with more illiquid assets.

Keywords: Corporate liquidity risk; Fair value disclosure; Stock returns; Financial crisis

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0378426615001016

翻譯：郎彪