题目: Does Accounting Conservatism Reduce Stock Price Crash Risk? Firm-level Evidence
报告人:City University of Hong Kong Prof. ZHANG Liandong
时间:2011年9月27号(周二) 下午1:30
地点: 武川路111号会计学院 一楼108
Abstract: This study provides strong and robust evidence that conservatism in financial reporting reliably predicts stock price crash risk. Using a large sample ofU.S.firms over the period of 1964–2007, we find that accounting conservatism, as measured by the Khan andWatts(2009) CSCORE, reduces the likelihood of a firm experiencing stock price crashes. This finding holds even after controlling for firm and year fixed effects, investor heterogeneity, information opaqueness, and other firm-specific features that are possible contributing factors to negative extreme outcomes in stock returns. We further find that the predictive power of accounting conservatism with respect to crash risk is more pronounced for firms with higher information asymmetries, namely those with relatively higher R&D investment, higher industry concentration or lower product market competition, and lower analyst coverage. Overall, our results are consistent with the notion that accounting conservatism limits managerial incentive and ability to overstate performance and hide bad news from investors, which, in turn, reduces stock price crash risk.
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