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1、Why Firms Voluntarily Disclose Bad News?,为什么公司会自愿性披露坏消息？,徐静平李子捷吴 杨韩雅君,GROUP 8,经理自愿披露坏消息的法律动机,自愿性披露相关研究,研究假设,样本选择，数据来源和描述性统计,研究结果,文章简介,结论及相关扩展,This paper provides evidence on corporate voluntary disclosure practices through an examination of the earnings-related disclosuresmade by a random sample of
2、93 NASDAQ firms during 1981-1990.,作者随机选择美国纳斯达克市场上的93家公司作为样本量，研究其在19811990年期间与盈利相关信息的自愿性披露现象。,自愿性披露的动机,诉讼成本理论,This paper provides evidence on corporate voluntary disclosure practices through an examination of the earnings-related disclosuresmade by a random sample of 93 NASDAQ firms during 1981-1990.
3、,作者随机选择美国纳斯达克市场上的93家公司作为样本量，研究其在19811990年期间与盈利相关信息的自愿性披露现象。,与盈利相关的自愿性披露频率较低。好消息的披露一般是对年度EPS的定量估计(点预测或区间预测)坏消息的披露一般是与当前季度盈余相关的定性的说明公告。股价对坏消息的反应要比对好消息的反应要大。,Introduction,1,Quarterly earnings announcements that convey large negative earnings surprises are preempted about 25%of the time by voluntary cor
4、porate disclosures while other earnings announcements are preempted less than 10%of the time.,Earning surprises:Occurs when a companys reported quarterly or annual profits are above or blew analysts expectations.当公司的季度或年度利润与分析师的预期不符时,当公司季度报表存在较大的负向盈余意外时，25%公司都会选择进行提前披露，而对于其他类型的季度报表，存在提前披露的情况不到10%。,I
5、ntroduction,1,Managers face an asymmetric loss function in choosing their voluntary disclosure policiesmanagers behave as if they bear large costs when investors are surprised by large negative earnings news,but not when other earnings news is announced.,管理者在选择其自愿性披露的政策时，面临着一种非对称损失函数。,相较于其他类型的消息，当投资
6、者发现报表中存在较大的负向盈余意外时，管理层会承担更大的成本。,Tow Reasons,Legal Costs,Reputational Costs,诉讼成本声誉成本,Reputational Costs,Reputational Costs,Legal Costs,Legal Costs,提前披露为何可以降低诉讼成本？,Two Ways,Second,disclosing early limits the period of nondisclosure,thereby reducing the damages that plaintiffs can claim.在盈利公告发布前就自愿性进行披
7、露，自然缩短了投资者在不知情情况下交易的时段，相应的减少了不知情情况下成交的金额，在此情况下，即使败诉，亦可减少赔偿损失的金额。,First,if the information is disclosed voluntarily(prior to the mandated release date),it is more difficult for the plaintiff,who does not know for sure when the manager first received the bad news,to argue that the manager withheld inf
8、ormation.既然采用自愿性披露方式预先披露坏消息，则即便引发股价下跌，投资者亦难以指控管理层隐瞒消息,SEC Rule 10b-5,Disclose or Obstain：Corporate insiders disclose all material information or abstain from trading.知情人应公开其知悉的内幕消息，否则禁止利用该消息进行交易 主要是支持了投资者对内幕交易行为人提起诉讼,SEC Rule 10b-5,10b-5的母法1934年证券交易法,Its unlawful for any person to make any untrue st
9、atement of a material fact or to omit to state a material fact necessary in order to make the statements made,in light of the circumstances under which they were made,not misleading.,任何人从事下列与证券买卖相关的行为均属违法：“如果对重大性事实进行虚假记载或遗漏某项重大事实。.”,违反10b-5的三大主要因素,故意的失实陈述遗漏公司重大事实,SEC Rule 10b-5,10b-5的母法1934年证券交易法,It
10、s unlawful for any person to make any untrue statement of a material fact or to omit to state a material fact necessary in order to make the statements made,in light of the circumstances under which they were made,not misleading.,投资者进行诉讼 应满足的条件,被告实施了欺诈行为(misstatement or omission)欺诈涉及到实质性事实(a materia
11、l fact)被告具有欺诈的恶意(with intent)原告有信赖存在，即交易的发生是因为被告的欺 诈行为而致(the plaintiff(原告)justifiably relied on)与证券的卖出和买进有关(purchase or sale),SEC Rule 10b-5,Francis,Philbrick,and Schipper 1993 provide evidence on a sample of 45 firms that were targets of earnings-related shareholder lawsuits from 1988 to 1992.45家公司
12、中有43家经历过因为修正其据称有误导性或有信息遗漏的公告从而造成股价的下跌，最终导致诉讼案件。,OBrien and Hodges 1991 examine 332 class action securities cases reported in Securities Class Action Alert between April 1988 and June 1991.297家样本公司中，97%的公司在诉讼要求补偿的损失发生的时间区间或发生损失的前三周内都曾发生过股票价格的下跌。,Most l0b-5 cases are brought after disclosures that lea
13、d to stock price declines。,相较于大幅上涨，股价大幅下跌带来的诉讼成本更高。,SEC Rule 10b-5,The preemptive disclosure strategy will not prevent lawsuits entirely.Stockholder lawsuits can arise whenever a large stock price decline is associated with an information release;preemptive disclosures themselves can trigger suits.提
14、前披露并不能完全防止诉讼案件的产生。任何情况下引起的股票价格的大幅下降都有可能引起诉讼。,Verrecchia 1983 imposes a constant proprietary cost of disclosure and shows that only managers of firms with news above a certain threshold will disclose their news.对于没有进行披露的公司，投资者无法辨别坏消息的存在。,Dye 1985 proposes that investors are uncertain about the existe
15、nce of managers private information and so cannot infer from silence that managers are withholding bad news.投资者不能确定管理层私有信息的存在，因此也无法得知管理层是否在隐瞒坏消息。,Existing Theory,Analytical research on discretionary disclosure has shown that in the absence of costs,full disclosure obtains。如果披露不存在成本，那么管理者会披露所有消息。,当披露
16、成本足够低或管理层和投资者间信息不对称程度过高时，管理层才会披露坏消息。,D and S 1990 endogenize proprietary disclosure costs and show that managers may disclose bad news to discourage entry.,D1989 shows that managers of firms in oligopolistic markets will disclose both good and bad news given the trade-off between wanting to provide
17、good news to stockholders and bad news to competitors.,Existing Theory,Several recent analytical models examine managers incentives to use disclosures to affect the behavior of product-market competitors.通过披露来影响竞争者行为,While these deterring-the-competitor models yield no precise empirical implications
18、,they imply that bad news disclosures are intended to deter entry/competition in product markets.,Ajinkya and Gift 1984 examine the hypothesis that managers issueearnings forecasts when they believe the markets earnings expectations are sufficiently inaccurate that large price movements will occur w
19、hen results are announced.管理层只有在市场预期过高或过低的时候才会发布盈余预测。,Existing Theory,Patell1976,Penman 1980,Waymire 1984,and Lev and Penman1990管理层相较于坏消息，更多的会披露好消息。因此平均来说，管理层关于盈余的预测披露对于股价的影响是正向的。,Lev and Penman 1990 当公司运营情况相对较好时，管理层更有可能进行盈余预测。,Empirical Evidence,Ajinkya and Gift 1984,McNichols 1989,and Pownall,Wasl
20、ey,Waymire1993 平均来说，管理层关于盈余的预测披露对于股价的影响趋向于零。,基本前提：Managers voluntary disclosures are either good news forecasts of EPS motivated by unusually good performance or preemptive bad news disclosures motivated by legal liability and/or reputational effects.管理层同时具有披露好消息和坏消息的动机。但是大部分公司在多数情况下都不处于这两种情况中，因此与盈余
21、相关的自愿性披露频率较低。,H1:Bad news earnings disclosures are more likely to relate to quarterly earnings releases and less likely to relate to annual EPS numbers,and conversely for good news earnings disclosures.H1:坏消息的盈余披露更有可能与季度报表有关，而关于年度盈余预测的披露更多是好消息。,好消息和坏消息披露的方式有所不同。,Since earnings announcements(and the
22、potential stock price declines that accompany them)occur every quarter,I hypothesize that bad news voluntary disclosures will tend to preempt the information contained in quarterly earnings releases rather than that in annual earnings releases.,H2:The probability the information conveyed by a given
23、quarterlyearnings announcement will be preempted by a voluntary corporatedisclosure is higher for relatively large negative earnings surprises thanfor other types of earnings information.H2：相较于其他类型的盈余消息，当季度盈余报告中含有较大的负面盈余意外时，管理层更有可能在盈余报告前对此坏消息进行披露。,Ajinkya and GiftThe expectations-adjustment hypothes
24、is 预期调整假说 该假说认为证券市场将管理层盈余预测信息的发布可以看作是对市场预期过高或过低的调整。随着盈余意外的的程度增加，管理层提前进行盈余披露的可能性增加(好消息和坏消息一样)。但诉讼成本理论认为只在存在负面盈余意外的情况下才成立。,H3:The stock price response to preemptive bad news voluntary disclosures is larger in absolute value than the stock price response togood news voluntary disclosures.H3:相较于自愿性披露的好消
25、息，当公司自愿性披露坏消息时，股票价格变动的绝对值更大。,An important motivation for voluntary bad news disclosures is that managers wish to mitigate large stock price declines on earnings announcement dates or avoid them altogether.缓解股价在盈余报告当日的下降程度,Voluntary disclosures of 93 NASDAQ National Market System(NMS)firms during the
26、 1980s.,NASDAQ,National Association of Securities Dealers Automated Quotation,Classification of NASDAQ,Nasdaq National Market(NNM)Largest and most active market and strict qualificationNasdaq Small Cap Market(NSCM)Smaller and less strict,Sample selection,Why NASDAQ?,They are smaller and younger than
27、 exchange-listed firms,so they may be more likely to experience the earnings shocks that lead to securities lawsuitsNASDAQ firms are less closely followed by analysts than exchange-listed firms,so their voluntary disclosures are important means of communication with outside investors.,Why NMS?,Just
28、because they are the largest NASDAQ stocks.It is smaller than exchange-listed firms but larger than other NASDAQ firms.,Sample selection,Among the 93 sample firms 17 sample firms make no voluntary disclosures 16 firms make only one voluntary disclosure 4 firms make 13 or more disclosures,Descriptive
29、 statistics,Descriptive statistics,+,42%,So Quarterly disclosures tend to convey bad news while Annual disclosures tend to convey good news.,Results relation between forecast horizon and sign of news,HI:Bad news earnings disclosures are more likely to relate to quarterly earnings releases and less l
30、ikely to relate to annual EPS numbers,and conversely for good news earnings disclosures.,374-94-14=266,43%,57%,22%,78%,70%,30%,67%,33%,Null hypothesis There is no relation between the sign of the news and forecast horizon,Results relation between form of disclosure and sign of news,52%,39%,Results b
31、ias caused by the Q4 disclosures,Q1Q2Q3,More often bad earning news,The Q4 disclosure can be labeled as either quarterly or annual earnings,This may lead to bias of the results.,Q4,The relation between the sign of the earnings news and forecast horizon remains strong,Whether there are more bad news
32、in Q4?,more bad news is disclosed in the Q4,47 of the 140 bad news disclosures occur in the Q4,good news disclosure is the same,more good news is disclosed in the Q4,There is no asymmetry in the result of table 2,Results conclusions of Hypothesis 1,Disclosed as an annual point or range forecast of E
33、PS,good news,Disclosures are qualitative and related to quarterly earnings announcements.,bad news,Bad news disclosures are more likely to be motivated by a need to preempt large negative quarterly earnings surprises.Good news disclosures are more likely to be driven by a desire to signal more gener
34、ally that the firm is doing well.,H2:The probability the information conveyed by a given quarterly earnings announcement will be preempted by a voluntary corporate disclosure is higher for relatively large negative earnings surprises than for other types of earnings information.,Results whether nega
35、tive earnings are more likely to be preempted,Not Preempted,Preempted,Other earnings,Large negative earnings,Results whether negative earnings are more likely to be preempted,Quantify the news,Current period earnings,Prior period earnings,Earnings change,Stock price,Sample selected,2,647 firm-quarte
36、rs and 292 earnings announcements,Bad news is preempted more often than other types of earnings news,Total 2,647 292(11%),The binomial test indicates that the very bad group proportion is significantly different from the other three proportions.,Somehow prove that,Results whether negative earnings a
37、re more likely to be preempted,Very bad news is preempted most often,Otherwise there is no relation between the magnitude of earnings news and the probability of preemption.,Bad news is still not preempted very often,Results whether negative earnings are more likely to be preempted,Results why bad n
38、ews is still not preempted very often,Possible explanation,Seasonal-random-walk model uses information that is about a year old,it is likely to measure the markets expectation of earnings with error.,Measurement error in the earnings surprise,Some very bad news may be fully expected by the market,in
39、 which case there is no need for preemption.,Example,Logit regression,The dependent variable is coded 1 if the announcement is preempted and 0 otherwise.（1）News:the change in the split-adjusted quarterly earnings per share(from the corresponding quarter of the prior year)deflated by stock price 60 t
40、rading days prior to the earnings announcement.Result：The coefficient on News is negative and statistically significant(the t-statistic is-2.85),indicating that the worse the earnings news,the more likely it is to be preempted.,Results,Logit regression,（2）Bad News Indicator:an indicator variable tha
41、t takes the value 1 for earnings announcements of a decline in split-adjusted quarterly EPS of at least.008,and 0 otherwise.Result：the coefficient is positive and statistically significant(the t-statistic is 7.36),indicating that,consistent with H2,large negative surprises are more often preempted t
42、han other types of earnings news.,Results,Logit regression,（3）The third regression includes both independent variables.Result：the coefficient on the dummy variable remains positive and statistically significant(the t-statistic is 6.66),while the coefficient on News is negative but not reliably diffe
43、rent from zero.The results in tables 3 and 4 suggest that managers face an asymmetric loss function in formulating their discretionary disclosure policies,consistent with the legal liability/reputation-effects arguments,Results,6.3 The stock price respond to voluntary disclosures,H3:The stock price
44、response to preemptive bad news voluntary disclosures is larger in absolute value than the stock price response to good news voluntary disclosures.,The abnormal returns are two-day market-adjusted abnormal returns(cumulated over days 0 and+1 relative to the disclosure date from the DJNRS),where the
45、market portfolio is the CRSP NASDAQ equal-weighted portfolio.,Results,6.3 The stock price respond to voluntary disclosures,Results,For quarters when earnings news is preempted,compare the relation between the total amount of earnings news for the quarter and the amount of earnings news released on t
46、he earnings announcement date,for good and bad news disclosures.对于盈余消息被提前披露的季度，比较该季度的盈余消息的总数与盈余公告日公布的消息数量。,the average two-day earnings-announcement-period stock return for the quarter,the average of the daily stock returns cumulated over all announcements that relate to the quarter,VS.,All announce
47、ments：the voluntary disclosure announcements and the earnings announcement).,the total amount of earnings news for the quarter,the amount of earnings news released on the earnings announcement date,6.3 The stock price respond to voluntary disclosures,Results,the total amount of earnings news is larg
48、er in the bad news quarters than in the good news quarters,while the amount of information released on earnings announcement dates is the same,indicating that managers preempt a larger proportion of bad earnings news than good earnings news.,6.4 Some additional evidence,Results,6.4.1.The Extent to W
49、hich the Disclosures Accompany Form 8-K Filings,The SEC requires managers to disclose,on Form 8-K,six types of corporate event within 15 days of the events occurrence.In addition,the SEC encourages,but does not require,managers to disclose other materially important events on Form 8-K(an item 5 fili
50、ng),Included announcements of write-downs,write-offs,charges,or provisions,374 sample disclosures,35 disclosures,The LEXIS data base contains 8-Kfilings only after October 1988.,11 disclosures,Reported on Form 8k filings,4 disclosures,The SECs Form 8-K filing requirements are unlikely to explain the
