Earnings management and stock returns: A quantile regression approach
碩士 === 國立成功大學 === 財務金融研究所 === 101 === This paper examines whether earnings management affects stock market pricing and whether the influences are consistent between firms having different stock returns using a quantile regression approach. The quantile regression approach allows the estimate of the...
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ndltd-TW-101NCKU53040192019-05-15T21:03:11Z http://ndltd.ncl.edu.tw/handle/8356yw Earnings management and stock returns: A quantile regression approach 盈餘管理及股票報酬:分量迴歸分析 Hsin-ChiehLin 林欣潔 碩士 國立成功大學 財務金融研究所 101 This paper examines whether earnings management affects stock market pricing and whether the influences are consistent between firms having different stock returns using a quantile regression approach. The quantile regression approach allows the estimate of the independent variable (unsigned discretionary accruals) to shift across the distribution of the dependent variable (stock return) rather than a single estimator of central tendency. Our sample consists of 2,290 non-financial firms and 20,350 firm-year observations during the period from 1992 to 2009. The empirical results indicate that earnings management is positively priced by stock market at higher return quantiles, but the association changes into a negative relation in the lower tail of the distribution of returns. This implies that the behavioral heterogeneity of market investors in stock markets is significant. Market investors will follow the financial information and current trends in stock prices for corporations having higher stock returns, so earnings management should be rewarded significantly on stock returns by the market. However, investors will be more concerned with real financial situations rather than earnings that are adjusted by managers in the case of firms having lower returns, so earnings management perhaps has no significant influence on returns or even may be penalized by investors in regard to stock returns. Ming-Yuan Li 黎明淵 2013 學位論文 ; thesis 51 en_US |
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碩士 === 國立成功大學 === 財務金融研究所 === 101 === This paper examines whether earnings management affects stock market pricing and whether the influences are consistent between firms having different stock returns using a quantile regression approach. The quantile regression approach allows the estimate of the independent variable (unsigned discretionary accruals) to shift across the distribution of the dependent variable (stock return) rather than a single estimator of central tendency. Our sample consists of 2,290 non-financial firms and 20,350 firm-year observations during the period from 1992 to 2009. The empirical results indicate that earnings management is positively priced by stock market at higher return quantiles, but the association changes into a negative relation in the lower tail of the distribution of returns. This implies that the behavioral heterogeneity of market investors in stock markets is significant. Market investors will follow the financial information and current trends in stock prices for corporations having higher stock returns, so earnings management should be rewarded significantly on stock returns by the market. However, investors will be more concerned with real financial situations rather than earnings that are adjusted by managers in the case of firms having lower returns, so earnings management perhaps has no significant influence on returns or even may be penalized by investors in regard to stock returns.
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author2 |
Ming-Yuan Li |
author_facet |
Ming-Yuan Li Hsin-ChiehLin 林欣潔 |
author |
Hsin-ChiehLin 林欣潔 |
spellingShingle |
Hsin-ChiehLin 林欣潔 Earnings management and stock returns: A quantile regression approach |
author_sort |
Hsin-ChiehLin |
title |
Earnings management and stock returns: A quantile regression approach |
title_short |
Earnings management and stock returns: A quantile regression approach |
title_full |
Earnings management and stock returns: A quantile regression approach |
title_fullStr |
Earnings management and stock returns: A quantile regression approach |
title_full_unstemmed |
Earnings management and stock returns: A quantile regression approach |
title_sort |
earnings management and stock returns: a quantile regression approach |
publishDate |
2013 |
url |
http://ndltd.ncl.edu.tw/handle/8356yw |
work_keys_str_mv |
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