The Going-Concern Market Anomaly

• 成果类型: Article
• 署名作者: Kausar, Asad; Taffler, Richard J.; Tan, Christine
• 署名单位: University of Manchester; University of Edinburgh; Fordham University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2008.00317.x
• 发表日期: 2009
• 页码: 213-239
• 关键词: EARNINGS-ANNOUNCEMENT DRIFT; DELISTING BIAS; stock returns; momentum; performance; equity; tests; RISK; news; size

摘要

We explore the market response to announcements of first-time going-concern (GC) audit opinions and, for a subset of these cases, their subsequent withdrawal, from 1993 to 2005. We find that the market fully responds to GC withdrawal announcements but underreacts to the GC announcements themselves, resulting in a downward drift of -14% over the one-year period subsequent to the GC opinion. This result is robust to alternative explanations documented in prior literature. However, after adjusting for transactions costs, the opportunity to earn profits by trading on this market anomaly is limited. We demonstrate that despite such clear adverse signals about the firm's continuing financial viability, this information is not being fully impounded by the market on a timely basis. Our findings differ from those of others who suggest that there is no pricing anomaly associated with GC opinions in the United States. We show that this is likely due to important issues with their research methods.