How Do Capital Markets Process Financial Reporting Information? A Systematic Examination Guided by Valuation Theory
2020年1月3日（星期五）10:00-12:00
张国昌教授，现任香港大学会计与法律系主任，会计学教授，曾执教于香港科技大学和加拿大滑铁卢大学。他本科毕业于上海交通大学，拥有英属哥伦比亚大学（University of British Columbia）的会计学硕士学位和金融学博士学位。他的研究成果发表在The Accounting Review、Journal of Accounting and Economics、Journal of Accounting Research、Contemporary Accounting Research、Review of Accounting Studies、Management Science等国际顶级期刊上。他的专著《会计信息与权益估值：理论、证据和应用》受到了学者和投资专业人士的广泛关注，并已被用作硕士和博士研究生课程以及高管培训的教材。目前担任European Accounting Review期刊的副主编，香港会计师公会财务报告准则委员会成员。
We conduct a systematic examination of how financial reporting information impacts stock prices. We employ valuation theory to predict a set of core fundamental information (comprising earnings, profitability, capital investment, growth, and discount rates) conveying firm value, and use quarterly performance reporting as the setting to identify price effects. Our evidence confirms that all (five) elements of the core information set predicted by theory are at work in driving both (i) initial price reactions at the time of information releases and (ii) price movement over the months subsequent to information releases. While investors indeed are quick to react to newly released information, under-reactions to news are pervasive that permeate all elements of the core information set. We find that market reactions are faster and more complete to cash flow news than to discount rate news; initial reactions absorb roughly half of the information content conveyed by cash-flow factors, but only a tiny fraction of the information conveyed by discount-rate factors. We also show that the previously documented post-earnings-announcement-drift anomaly does not always hold when we consider a broader set of information encompassing both earnings and other financial reporting information. Specifically, the anomaly exists when earnings and non-earnings news move in the same direction (i.e., either both are favorable or are unfavorable), but not when they move in opposite directions.
