公司增加揭露的經濟後果：月營收揭露、月盈餘揭露與法人說明會的角色;The Economic Consequences of Incresed Dsiclosure: The Role of Monthly Revenues Disclosure, Monthly Earnings Disclosure and Conference Call

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題名:	公司增加揭露的經濟後果：月營收揭露、月盈餘揭露與法人說明會的角色;The Economic Consequences of Incresed Dsiclosure: The Role of Monthly Revenues Disclosure, Monthly Earnings Disclosure and Conference Call
作者:	曹壽民;金成隆
貢獻者:	國立中央大學企業管理學系
關鍵詞:	管理科學
日期:	2013-12-01
上傳時間:	2014-03-17 11:51:01 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10208~10307;This three-year project examines the association between a firm’s increased disclosure and capital market efficiency. The first- and second-year projects examine the association between more frequent reporting and, respectively, accrual anomaly and analyst behavior. The third-year project investigates whether conference calls reduce the market’s and analysts’ delayed response to the information contained in the DuPont analyst. Because more frequent interim reporting results in both benefits and costs, uncertainty and disagreement exist with regard to the desirability of different disclosure regimes, prior studies within this research stream offer mixed results with the respect to the capital market effects. Based on data from Taiwan, our first-year and second-year projects extend this line of research by investigating the market effects to mandatory and voluntary increases in reporting frequency, respectively. Before 1988 Taiwan’s listed firms were required to file financial reports semiannually. In 1988 Taiwan’s regulators began requiring listed firms to file financial reports quarterly and to disclose revenues monthly. However, during 1986 and 1987, many listed firms voluntarily began switching from semiannual reporting to quarterly reporting in anticipation of the 1988 regulation. Because many discussions and proposals had already taken place and Taiwan Stock Exchange Corporation (TWSE) was exerting pressure on its firms to report quarterly, we identify such quarterly reporting as mandatory. Therefore, we divide our reporting regimes during our sample period of 1982 to 1993 into three reporting regimes according to the reporting frequency requirements: a semiannual reporting regime (i.e., semiannual reporting only) from 1982 to 1985; a quarterly reporting regime (i.e., semiannual or quarterly reports) from 1986 to 1987; and a monthly reporting regime (i.e., quarterly financial reports and monthly revenue reports) from 1988 to 1993. Taiwan Economic Journal’s (TEJ) database starts from 1981. Because our study should control for the effect of earnings surprises (which equals the change in annual earnings) on stock returns as documented in the post-earnings-announcement drift literature, our sample period starts in 1982. We end our sample period in 1993 to ensure that the sample period before and after the requirement to disclose monthly revenue covers the same time length. The first-year project mainly examines whether mandatory increases in reporting frequency speeds up the dissemination of annual accrual information into stock prices and thus reduces the market’s overreaction to annual accrual information. Although monthly revenues disclosure does not provide detailed monthly earnings and monthly accruals information, we argue that both switches (from the semiannual reporting regime to the quarterly reporting regime and from the quarterly reporting regime to the monthly reporting regime) speed up the dissemination of the information contained in annual accruals into stock prices and thus reduce annual accrual mispricing. This hypothesis reflects the notion that both switches cause market participants (e.g., financial analysts and institutional investors) to generate more timely idiosyncratic information, provide finer trend pattern of annual earnings, and place more pressure on the management, all of which improve corporate transparency. The first-year project further compares the market effects across these two switches. Mandatory monthly revenues disclosure only discloses revenues information but does not provide earnings and accruals information. However, quarterly reporting regimes provide full financial statement information, which enable investors to separate earnings into cash and accrual components and thus further help investors to differentiate the discretionary from the nondiscretionary components of the earnings surprise. In addition, due to their information content and frequency, quarterly reports provide better annual accrual information (e.g., trends and seasonal patterns) than provided by semiannual reports and releases. We therefore argue that the reduction in accrual mispricing is more pronounced for the switch from the semiannual reporting regime to the quarterly reporting regime relative to the switch from the quarterly reporting regime to the monthly reporting regime. Although Taiwan’s listed firms are required to report monthly revenues after 1988, many firms also voluntarily disclose monthly earnings information. The second-year project examines the association between voluntary monthly earnings disclosure and analyst behavior. In other words, whereas the first-year project focuses on the impact of more frequent reporting on market aggregates (i.e., delayed market response to accrual information), which may be tied to the account users’ information through a complex and not completely understood mechanism, the second-year project focuses on another major user of accounting information, financial analysts, to draw inferences about the potential benefits of more frequent reporting. Financial analysts are among the most important users of financial reports, and they are the primary audience of management voluntary disclosure. In addition, the availability of analysts’ forecasts provide more direct evidence about analysts’ and investors’ information than that inferred from market aggregates alone. In particular, the second-year project examines how voluntary monthly earnings disclosures relate to monthly analyst behavior, including the number of analysts that follow a firm and several properties that characterize analysts’ earnings forecasts for the upcoming annual earnings. These properties include analyst accuracy, analyst dispersion, and two measures of analysts’ information environment (i.e., overall uncertainty and commonality contained in analysts’ forecasts) based on Barron et al. (1998). The literature on financial statement analysis literature advocates disaggregating profitability into DuPont components (i.e., asset turnover and profit margin) for forecasting future profitability. However, prior research finds that stock market investors and financial analysts do not appear to impound fully the implications of the DuPont components for future profitability. Our third-year project adds to this steam of literature by examining whether the initiation of conference calls accelerates the speed at which stock market investors and financial analysts understand the implications of the DuPont components on future profitability. For the overall three-year project, Taiwan provides an interesting setting to examine the economic consequences of increased disclosure by means of both increased reporting frequency and the initiation of conference calls for several reasons. First, although Taiwan has a substantial representation in the MSCI Emerging Market Index and the MSCI All-Country Far East Ex-Japan Index, it is often considered an insider economy. The majority of the firms in Taiwan are family owned and lack adequate representation of shareholders outside the family. The absence of class-action lawsuits and rigid regulation in derivative lawsuits further limit the class of investors that can sue the directors and the supervisors for wrongdoing. Thus, whether increased disclosure offers desirable effects is unclear. Second, as previously noted, unlike diffusely owned corporations in the United States and United Kingdom, listed corporations in East Asia, including Taiwan, are typically majority owned and controlled by a handful of families. The concentration of corporate ownership creates agency conflicts between controlling owners and minority shareholders and reduces the informativeness of accounting earnings. The desire to hide insider expropriation encourages firms with a concentrated ownership structure to exploit firm opacity by engaging in earnings management. Whether increased disclosure improves market efficiency is not clear for countries such as Taiwan in which firms are typically majority owned and controlled by a handful of families. Third, trading decisions in Taiwan are easily affected by misleading disclosure and market sentiment due to the lack of U.S.-style institutional investors. Individual investors account for roughly 90% of all trading volume in Taiwan. Stocks are broadly held in Taiwan and constitute an important asset class for many Taiwanese households. Thus, unlike in the United States, whether increased disclosure in Taiwan conveys useful information or is merely “cheap talk” to drive up share prices is unclear. For the first- and second-year project, Taiwan provides unique setting to examine the role of more frequent reporting for two reasons. First, studies using U.S. data and international studies focus only on the differences in capital market effects between firms reporting quarterly and firms reporting semiannually. However, Taiwan requires monthly revenues disclosure and its firms engage in voluntary disclosure on monthly earnings, which provides a unique setting to examine the economic consequences of mandatory and voluntary monthly disclosure in the first- and second-year projects, respectively. In recent years, the U.S. Securities and Exchange Commission (SEC) as well as the regulators worldwide have turned their attention to the growing role of the Internet in the dissemination of financial information. Continuous corporate reporting is gaining prominence in this current real-time reporting environment, and discussion about the frequency with which firms report their material information is increasing. Although advocates of more frequent reporting argue that firms should report financial statements on a monthly basis, such arguments lack empirical supports. Taiwan provides a unique setting to examine empirically the market effects of monthly reporting. Second, studies using U.S. data generally compare the effects of disclosure frequency across different periods. These effects may be attributed to the passage of time or increased market attention over time, rather than more frequent reporting. International studies relying on cross-country variation in disclosure frequency are also confounded by other cross-country differences, such as legal origin and shareholders rights. In the second-year project, we exploit Taiwan’s unique setting, which is marked by a variation in reporting frequency but is relatively homogeneity across other dimensions. Many of Taiwan’s listed firms voluntarily disclose monthly earnings information. Relative to U.S and cross-country studies, this setting provides an opportunity to study the effects of disclosure frequency while holding disclosure quantity constant. Third, prior literature provides mixed results with the respect to the differences in the capital market effects for mandatory increases in the frequency of reporting. Prior literature suggests that mandatory increases in reporting frequency do not necessarily lead to capital market effects because cross-sectional variation in reporting frequency is an equilibrium response to differences in the market’s demand for accounting information and that this demand is shaped by firm characteristics and the availability of lower cost information alternatives. Thus, regulation that forces firms to adopt more frequent financial reporting policies may reduce a firm’s incentives to disclose more valuable information voluntarily, which may lead to the mixed results on the economic consequences of mandatory increases in reporting frequency. Although most of prior literature focuses on mandatory increases in reporting frequency, we investigate both mandatory (first-year project) and voluntary (second-year project) increases in reporting frequency. Using data from Taiwan allows us to distinguish whether the improvement in market efficiency is due to increases in voluntary disclosure (i.e., monthly earnings disclosure), which may reflect an equilibrium response to differences in the market’s demand for accounting information, or increases in mandatory disclosure (i.e., monthly revenues disclosure). Finally, for the third-year project, Taiwan also provides an interesting setting to investigate the role conference calls. Management earnings forecasts are relatively uncommon. Conference calls have become an important vehicle for managers to convey forward-looking information to the market and are an important source of information for both stock market investors and financial analysts. However, in markets in which investor protection is weak such as Taiwan, managers are more likely to behave opportunistically and manipulate earnings and other voluntary disclosures. Thus, if managers provide misleading disclosures, conference calls may increase information asymmetry. Therefore, whether information asymmetry in Taiwan is largely resolved through an original private information search by market agents (e.g., financial analysts) or by voluntary disclosure by the management through conference calls is an open question. This project contributes to the literature on disclosure (including increased reporting frequency and conference calls), market efficiency, accrual anomaly, analysts’ forecasts, and the fundamental analysis of firms in several ways. The overall three-year project contributes to the literature on increased disclosure and information efficiency. These projects provide direct evidence on the role of increased disclosure through more frequent reporting and conference calls on information efficiency in Taiwan, a jurisdiction with a relatively opaque information environment, low shareholder protection, high-level political connectedness and a concentrated ownership structure. Prior studies show that weak investor protection and concentrated ownership may limit the usefulness of accounting information in capturing firms’ underlying economic performance. In addition, analysts experience greater difficulty in predicting the earnings of firms with high-level political connection. Our project provides evidence on whether increased disclosure through more frequent reporting or through the initiation of conference calls serves as a disciplining mechanism that can mitigate the adverse effects of country-level institutional factors on the usefulness of financial statements and analysts’ forecasts. The first- and the second-year projects contribute to the literature on reporting frequency in at least three ways. First, the first- and second-year projects examine the economic consequences of more frequent reporting, which may provide evidence to regulators as they weigh the benefits and costs of imposing more frequent interim reporting regulations. Second, securities regulators increasingly favor continuous or real-time disclosures as a key component of the disclosure environment. This project advances this trend within the reporting environment by investigating the impact of monthly disclosure on capital market efficiency. Our results provide insights to securities regulators of whether monthly disclosure improves capital market efficiency in terms of either reducing annual accrual mispricing or improving analysts’ forecasts. Third, the first- and the second-year projects allow us to determine whether the desirable effects of more frequent reporting can be attributed to increases in voluntary or mandatory reporting frequency. Our first-year project contributes to the literature of accrual anomaly. Over the past decade, Sloan’s accrual anomaly has received considerable attention and a series of studies examine which mechanisms (e.g., accruals disclosure in earnings release, high-quality disclosure, insider’s trade on theirknowledge of factors associated with accrual mispricing, high level of institutional ownership) will induce investors to better understand the value implications of accruals and reduce accrual anomaly. We contribute to this stream of research by examining whether increased reporting frequency plays alternative mechanism for reducing accrual mispricing. Our second-year project contributes to the literature of analysts’ forecasts by two ways. First, while prior studies generally focus on the effect of specified disclosure events or a firm’s overall disclosure policy on analyst behavior, less common are studies focusing on the reporting frequency. The second-year project contributes to this stream of research by providing evidence how disclosure frequency influences analyst behavior and analysts’ information environment. Second, the second-year project helps explore the relative importance of complementary effect versus of substitute effect of analysts’ forecasts for previously released information. For example, if the second-project finds that more frequency reporting triggers more analysts to follow firms, increase the precision of public and private the information contained in individual analysts’ forecasts, then our results corroborate the notion that complementary effect of analysts’ forecasts dominates that of substitute effect, and vice versa. Our third-year project contributes to the literature of fundamental analysis and DuPont analysis in two ways. First, our study contributes to this stream of research that attempts to describe how fundamental signals embedded in the financial reporting system translate into firm value by examining the association between these fundamental signals and stock returns and analysts’ future forecasts. Abarbanell and Bushee (1998) and Soliman (2008), who examine whether market participants delay their response to the DuPont analysis or fundamental signals, are the only empirical studies that link fundamental signals and future stock returns and analysts’ future earnings forecasts with market efficiency within this stream of research. However, Abarbanell and Bushee and Soliman did not examine the mechanisms that mitigate the market inefficiency with respect to this information contained in fundamental analysis. Therefore, we contribute to this area of the literature by providing evidence on whether conference calls play an important mechanism to improve the efficiency of price with respect to the DuPont analysis, the most fundamental disaggregation in the fundamental analysis. Second, we contribute the literature of the DuPont analysis by examining whether the change in the DuPont components, rather than the level of the DuPont components, is significant in explain future profitability.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
顯示於類別:	[企業管理學系] 研究計畫

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