审计研究
審計研究
심계연구
Audit Research
2008年
1期
67~74
,共null页
财务报告舞弊 经济后果 处罚公告 市场反应
財務報告舞弊 經濟後果 處罰公告 市場反應
재무보고무폐 경제후과 처벌공고 시장반응
fraudulent financial reporting, economic consequence, penalty announcement, market reaction
本文对沪深两市遭受中国证监会和财政部处罚的财务报告舞弊公司在公告日前后的市场反应及其影响因素进行了实证研究。研究发现上市公司舞弊持续时间与该公司的第一大股东的性质显著相关;在处罚宣告日前后各3天中,平均累计超额回报率(CAR值)达到-1.6%;通过对处罚原因分组t检验,发现投资者的反应并无差别。在对市场反应程度的线性回归中,只有舞弊持续时间变量与之有显著的负相关关系,而股权性质及舞弊种类变量均不显著。
本文對滬深兩市遭受中國證鑑會和財政部處罰的財務報告舞弊公司在公告日前後的市場反應及其影響因素進行瞭實證研究。研究髮現上市公司舞弊持續時間與該公司的第一大股東的性質顯著相關;在處罰宣告日前後各3天中,平均纍計超額迴報率(CAR值)達到-1.6%;通過對處罰原因分組t檢驗,髮現投資者的反應併無差彆。在對市場反應程度的線性迴歸中,隻有舞弊持續時間變量與之有顯著的負相關關繫,而股權性質及舞弊種類變量均不顯著。
본문대호심량시조수중국증감회화재정부처벌적재무보고무폐공사재공고일전후적시장반응급기영향인소진행료실증연구。연구발현상시공사무폐지속시간여해공사적제일대고동적성질현저상관;재처벌선고일전후각3천중,평균루계초액회보솔(CAR치)체도-1.6%;통과대처벌원인분조t검험,발현투자자적반응병무차별。재대시장반응정도적선성회귀중,지유무폐지속시간변량여지유현저적부상관관계,이고권성질급무폐충류변량균불현저。
This article makes an event study about the listed companies which are subject to penahy by CSRC and Ministry of Finance and hope to testify the consequence of the penalty on financial report. Firstly, we find that the duration of fraud is positive to the companies' equity property. Secondly,we find stock prices decrease 0. 339% on average on the day of penalty announcement and the prices decrease 0. 906% after that day. Thirdly, we also find that 7 days' CAR reaches -1.6% between before three days and after three days. Finally,our results show that investors make no reaction to the reasons of penalty.