Journal of Corporate Finance · Volume 42, February 2017 (In Progress), Pages 36–54

收益平滑：它会加剧或约束股价崩盘风险吗？

作者：Changling Chen (School of Accounting and Finance, University of Waterloo), Jeong-Bon Kim (School of Accounting and Finance, University of Waterloo), Li Yao (John Molson School of Business, Concordia University)

摘要：我们研究了收益平滑和股票价格崩盘风险之间的关系，以评估收益平滑对股本价值下跌风险的作用。我们发现，在公司内部，更高程度的收益平滑与更大的崩盘风险相关联；这种关联在横截面上对于分析师跟踪少、机构持股量小、正的累积操纵性应计利润的公司更为明显。我们还使用股票回报来评估我们结果的经济意义。我们发现，控制公司的固定效应后，收益平滑与盈余公告后的显著的季度负回报相关。我们的研究结果提醒投资者关注公司报告平滑收益包含的下行风险，这与认为这些公司股本风险低的传统观点恰恰相反。

关键词：股票价格崩盘风险；收益平滑；管理者机会主义；私有信息信号；外部监管

Earnings smoothing: Does it exacerbate or constrain stock price crash risk?

Changling Chen (School of Accounting and Finance, University of Waterloo), Jeong-Bon Kim (School of Accounting and Finance, University of Waterloo), Li Yao (John Molson School of Business, Concordia University)

ABSTRACT

We examine the relation between earnings smoothing and stock price crash risk to evaluate the role of earnings smoothing on the downside risk of equity values. We find that, within firm, a higher degree of earnings smoothing is associated with greater crash risk; and this association, in the cross-section, is more pronounced for firms with fewer analysts following, smaller institutional holdings, and positive cumulative discretionary accruals. We also use stock returns to assess the economic significance of our results. We find that, controlling for firm fixed effects, earnings smoothing is associated with sizable negative returns in the quarter following the earnings announcement. Our findings caution investors about the downside risk of firms reporting smooth earnings, in contrast to the conventional belief that these firms are low in equity risk.

Keywords: Stock price crash risk; Earnings smoothing; Managerial opportunism; Private information signalling; External monitoring

原文链接：

http://www.sciencedirect.com/science/article/pii/S092911991630270X

翻译：熊进宗