The Impact of Earnings Management on Stock Returns When Firms Incur Bad News

本文旨在探討負面資訊公司盈餘管理之經濟後果，同時觀察盈餘管理與特有風險之關係，以及盈餘管理與股價大跌風險之關係，推測經理人盈餘管理之可能目的。特有風險為股票報酬含有公司特有資訊之代理變數，股價大跌風險之代理變數為報酬負偏態。本文假設宣告減發股利隱含公司有負面資訊，因此，觀察值為宣告減發股利公司年度前後四年，最多共八年。盈餘管理之代理變數為modified Jones model裁決性應計數。 實證結果顯示，盈餘管理與特有風險為顯著負相關，盈餘管理與報酬負偏態為不顯著正相關。雖然盈餘管理與報酬負偏態之實證結果不甚顯著，但正相關符合預期。上述結果與Jin and Myers（2006）模型之預期一致，隱含經理人向上盈餘管理目的為隱匿負面資訊。另外，宣告減發股利後，上述盈餘管理與特有風險以及盈餘管理與報酬負偏態之關係消失，隱含宣告減發股利後經理人較不會利用向上盈餘管理隱匿負面資訊。The purpose of this study is to examine the economic consequence of earnings management for bad news. By examining both the relation between earnings management and idiosyncratic risk, and the relation between earnings management and crash risk, this study is able to infer the possible intention of earnings management for bad news. Idiosyncratic risk is a proxy for how and to what extent firm-specific information is impounded into stock returns, and this study use negative conditional return skewness as a measure of crash risk. This study assumes there is bad news behind dividend reduction. As such, the data covers the four firm-year period before and after the year of dividend reduction. To proxy for earnings management, this study uses the modified Jones model discretionary accruals. Empirical evidence shows that earnings management is significantly associated with low idiosyncratic risk, and earnings management is associated with high negative conditional return skewness. Although the relation between earnings management and negative conditional return skewness is not highly significant, the positive relation is consistent with the prediction. These results are consistent with the prediction of Jin and Myers (2006), implying managers manage earnings upward to hide bad news. Moreover, these relations seem to dissipate after the year of dividend reduction, suggesting that managers are less likely to manage earnings upward to hide bad news after the year of dividend reduction