The Impact of Earnings Restatements Announcements on Restatement Firms --- An Intraday Analysis

• Main Authors: Chih-Hung Chu, 朱志弘
• Other Authors: none
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/54232617321403609773

碩士 === 國立中央大學 === 財務金融研究所 === 94 === This paper uses the data of intraday of the American company of 2002 the earnings restatements that the impact on company's stock price of the incident will be analyzed correctly, the analytical method relies mainly on micro-structure analytical method of the market. Finding finally that earnings restatements that there is negative influence in declaring the stock price of the company in the incident, and this influence is reflected in the stock price in a short time, and happen in several minutes in the incident, trade number of times see a obvious increase in one minute. In addition, spread, effective spread of event period is also low relative to the estimation period. Depth of event period is higher than estimation period. Relative to trading volume of estimation period, the trading volume increase suddenly before the event happen and it reach the biggest difference at the event time. In the multivariate analysis, trading volume and spread have positive relation, but have negative relation to depth.