Contemporary Accounting Research ·VOL 31, NO. 3 ·April 2014
财务报告的不透明与预期崩溃风险：从隐含波动率得出的证据
作者：JB Kim (City University of Hong Kong), L Zhang (City University of Hong Kong)
摘要：最近的金融危机促使人们重新认识股价暴跌风险（即左尾风险）的决定因素。最近的研究表明，不透明的财务报告使管理人员能够长时期地隐藏和积累坏消息。当累积的坏消息达到一定的临界点时，它会突然被投放市场，从而导致股票价格突然下跌（也就是崩盘）。这项研究通过研究财务报告不透明对感知或预期崩盘风险的影响，从而扩展了这一系列的研究。著名经济学家，如Olivier Blanchard，认为消除对尾部风险的认识（除了实现尾部风险）对于恢复投资者信心和稳定股市至关重要。利用期权的隐含波动率的斜度作为捕捉崩盘风险的代理变量，我们发现收益管理、财务报表重述的存在，以及审计内部控制缺陷与崩盘风险水平显著正相关。我们的研究结果表明，提高财务报告透明度是企业和决策者减少尾部风险的产生和稳定股市的重要机制。
Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks
JB Kim (City University of Hong Kong), L Zhang (City University of Hong Kong)
ABSTRACT
The recent financial crisis has stimulated a renewed interest in understanding the determinants of stock price crash risk (i.e., left tail risk). Recent research shows that opaque financial reports enable managers to hide and accumulate bad news for extended periods. When the accumulated bad news reaches a certain tipping point, it will be suddenly released to the market at once, resulting in an abrupt decline in stock price (i.e., a crash). This study extends this line of research by examining the impact of financial reporting opacity on perceived or expected crash risk. Prominent economists, such as Olivier Blanchard, argue that removing the perception of tail risks (in addition to realized tail risks) is crucial in restoring investor confidence and stabilizing the stock market. Using the steepness of option implied volatility skew as a proxy for perceived crash risk, we find that accrual management, the presence of financial statement restatements, and auditor-attested internal control weakness are all positively and significantly associated with the level of perceived crash risk. Our results suggest that improving financial reporting transparency is an important mechanism for firms and policymakers to reduce the perception of tail risks and stabilize the stock market.
原文链接：
http://onlinelibrary.wiley.com/doi/10.1111/1911-3846.12048/full
翻译：黄涛
