Opaque financial reports, R2, and crash risk

• 成果类型: Article
• 署名作者: Hutton, Amy P.; Marcus, Alan J.; Tehranian, Hassan
• 署名单位: Boston College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.10.003
• 发表日期: 2009
• 页码: 67-86
• 关键词: earnings management; R-2; crashes; TRANSPARENCY

摘要

We investigate the relation between the transparency of financial statements and the distribution of stock returns. Using earnings management as a measure of opacity, we find that opacity is associated with higher R(2)s, indicating less revelation of firm-specific information. Moreover, opaque firms are more prone to stock price crashes, consistent with the prediction of the Jin and Myers [2006. R-2 around the world: new theory and new tests. Journal of Financial Economics 79, 257-292] model. However, these relations seem to have dissipated since the passage of the Sarbanes-Oxley Act, suggesting that earnings management has decreased or that firms can hide less information in the new regulatory environment. (C) 2009 Published by Elsevier B.V.