Did Regulation Fair Disclosure, SOX, and Other Analyst Regulations Reduce Security Mispricing?

• 成果类型: Article
• 署名作者: Lee, Edward; Strong, Norman; Zhu, Zhenmei (Judy)
• 署名单位: University of Manchester; Fudan University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12051
• 发表日期: 2014
• 页码: 733-774
• 关键词: sarbanes-oxley act; internal control deficiencies; CONFLICTS-OF-INTEREST; INVESTOR PSYCHOLOGY; REGULATION FD; INFORMATION UNCERTAINTY; economic consequences; MARKET-EFFICIENCY; stock returns; cross-section

摘要

Between 2000 and 2003 a series of disclosure and analyst regulations curbing abusive financial reporting and analyst behavior were enacted to strengthen the information environment of U.S. capital markets. We investigate whether these regulations reduced security mispricing and increased stock market efficiency. After the regulations, we find a significant reduction in short-term stock price continuation following analyst forecast revisions and earnings announcements. The effect was more pronounced among higher information uncertainty firms, where we expect security valuation to be most sensitive to regulation. Analyst forecast accuracy also improved in these firms, consistent with reduced mispricing being due to an improved corporate information environment following the regulations. Our findings are robust to controls for time trends, trading activity, the financial crisis, analyst coverage, delistings, and changes in information uncertainty proxies. We find no concurrent effect among European firms and a regression discontinuity design supports our identification of a regulatory effect.