上海交通大学公司财务研究中心

周日, 2009年 05月 10日 20:43

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

主　持：陈欣 上海交通大学管理学院会计系副教授

时　间：2009-5-27下午1点半

地　点：北楼106

讲座摘要：

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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