讲座:Stock Market Reactions to Events in 2008 Economic Crisis

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题目:Stock Market Reactions to Events in 2008 Economic Crisis

演讲人:周楠 Associate Professor (with tenure), State University of New York – Binghamton

主持人:陈欣 上海交通大学安泰经济与管理学院会计系副教授

时间:2009527日下午13:30

地点:法华校区北楼106

内容简介:

We investigate the relation between stock market reactions to events in 2008 Economics Crisis and fair value accounting under SFAS 157 in the nonfinancial and financial sectors.  We identify 44 crisis events between September 1 and December 31, 2008 and classify them into five groups by the nature of these events.  Stock market reactions are mostly negative to bad news events and positive to good news events in both sectors.  We perform the Sefcik-Thompson portfolio regressions of the mean cumulative abnormal returns (MCARs) on SFAS 157 fair value assets and liabilities.  During crisis events unrelated to government rescues, investors in nonfinancial firms tend to react negatively to Level 3 Liabilities and those in financial firms tend to react negatively to Level 3 Assets.  Reactions to Level 1 variables are in the opposite directions in three event groups in the nonfinancial sector and insignificant in three event groups in the financial sector.  The coefficients on Level 3 variables also tend to be more negative than those on Level 1 variables.  The exact opposite pattern is observed for rescue events.  Our results are consistent with the theoretical predictions from Milgrom (1981) that (1) investors will take lack of transparency on Level 3 variables as bad signals and react negatively to such bad signals; and (2) Levels 1-3 variables can be ranked by degree of information asymmetry.  Our results also suggest that poor measurement of fair value assets and liabilities, rather than the mark-to-market accounting, drives the stock market reactions to events in 2008 Economic Crisis.  Our findings support the recent SEC recommendation that improvements in measuring Levels 2 and 3 fair value assets and liabilities are needed.

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