计量经济分析 = Econometric analysis

Corporate disclosure is critical for the functioning of an efficient capital market. Firms provide disclosure through regulated financial reports, including the financial statements, footnotes, management discussion and analysis, and other regulatory filings. In addition, some firms engage in voluntary communication, such as management forecasts, analysts? presentations and conference calls, press releases, internet sites, and other corporate reports. Finally, there are disclosures about firms by information intermediaries, such as financial analysts, industry experts, and the financial press.

Information Asymmetry, Corporate Disclosure and the Capital Markets: A Review of the Empirical Disclosure Literature

1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

http://lib.cufe.edu.cn/upload_files/other/4_20140516025625_19.pdf

Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature $

https://faculty.fuqua.duke.edu/~charvey/Research/Working_Papers/W73_The_economic_implications.pdf

The economic implications of corporate financial reporting

This paper investigates the press’s role as a monitor or “watchdog” for accounting fraud. I find that the press fulfills this role by rebroadcasting information from other information intermediaries (analysts, auditors, and lawsuits) and by undertaking original investigation and analysis. Articles based on original analysis provide new information to the markets while those that rebroadcast allegations from other intermediaries do not. Consistent with a dual role for the press, I find that business-oriented press is more likely to undertake original analysis while nonbusiness periodicals focus primarily on rebroadcasting. I also investigate the determinates of press coverage, finding systematic biases in the types of firms and frauds for which articles are published. In general, the press covers firms and frauds that will be of interest to a broad set of readers and situations that are lower cost to identify and investigate.

The Press as a Watchdog for Accounting Fraud

We investigate managers' decisions to supplement their firms' management earnings forecasts We classify these supplementary disclosures as qualitative “soft talk” disclosures or verifiable forward-looking statements We find that managers provide soft talk disclosures with similar frequency for good and bad news forecasts but are more likely to supplement good news forecasts with verifiable forward-looking statements We examine the market response to these forecasts and find that bad news earnings forecasts are always informative but that good news forecasts are informative only when supplemented by verifiable forward-looking statements, supporting our argument that these statements bolster the credibility of good news forecasts

The Role of Supplementary Statements with Management Earnings Forecasts

While the influence of earnings performance on disclosure is a fundamental issue in the disclosure literature, our understanding of this influence is limited. In this paper, I examine a comprehensive set of disclosures from a sample of firms experiencing an extended period of seasonally adjusted earnings increases. I study how these firms adjust disclosure in response to earnings increases, how disclosure changes as the period of strong earnings performance nears an end and how firms disclose during a subsequent period of earnings decline. I find an increase in disclosure during the period of increased earnings. This increase is pervasive across all types of disclosure and tends to be bundled with earnings announcements. The market responds positively to this disclosure. Firms continue to disclose at a high level as they approach earnings declines. However, they shift to disclosures that focus on the positive short-term results and do not discuss the impending decreases. While this behavior is systematic, the market does not appear to anticipate the subsequent earnings declines. Once the firms announce earnings declines, the magnitude of disclosure returns to the level provided prior to the increased earnings.

Earnings Performance and Discretionary Disclosure

While the influence of earnings performance on disclosure is a fundamental issue in the disclosure literature, our understanding of this influence is limited. In this paper, I examine a comprehensive set of disclosures from a sample of firms experiencing an extended period of seasonally adjusted increases in earnings. I study how these firms adjust disclosure in response to earnings increases, how disclosure changes as the period of strong earnings performance nears an end and how firms disclose during a subsequent period which includes earnings declines. I find an increase in disclosure during the period of increased earnings. This increase is pervasive across all types of disclosure and tends to be bundled with earnings announcements. The market responds positively to this disclosure including a positive response to information bundled with earnings, even after controlling for the current earnings. Firms continue to disclose at a high-level as they approach subsequent earnings declines. However, they shift disclosure to focus on the positive short-term results and do not discuss the impending decreases. While this behavior is systematic, the market does not appear to anticipate the subsequent earnings declines. Once the firms begin to announce earnings declines, the magnitude of disclosure returns to the level provided prior to the increased earnings. However, the mix of disclosure is different, suggesting managers choose the form of disclosures based on the type of news they are providing.

Earnings Performance and Discretionary Disclosures

Many small firms face significant challenges in improving visibility and attracting investors to their stock. One response to these challenges is to initiate an investor relations (IR) program. Through interviews and surveys with IR professionals, we learn that the IR process focuses on management access and company visibility as key drivers of the strategy's success, with attracting institutional investors as a common goal. Our empirical tests examine a sample of 210 small- and mid-cap companies that increased IR activities (proxied by the hiring of an outside IR firm). Our results show that the companies exhibit increases in disclosure, media coverage, and analyst following. They also exhibit substantial and ongoing increases in institutional investor ownership. As part of this increase, our sample firms experience a shift in investor composition toward institutions that are more geographically distant and that tend to invest in larger companies, consistent with the IR activities creating visibility to a different type of investor. Finally, there are improvements in valuation in the year following the IR initiation, as proxied by the book-to-price ratio and stock returns. Overall, our results indicate that IR activities focused on increasing firm visibility are successful in impacting market participants' interactions with the companies.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1011215_code40741.pdf?abstractid=643223&rulid=5231385&mirid=3

Gregory S. Miller

Papers

The Press as a Watchdog for Accounting Fraud

The Role of Supplementary Statements with Management Earnings Forecasts

Earnings Performance and Discretionary Disclosure

Earnings Performance and Discretionary Disclosures

Investor Relations, Firm Visibility, and Investor Following