從訴訟或有事項揭露探討公司價值之不確定性

Abstract

本文以美國S&P500公司為樣本檢驗公司財務報表中有關於訴訟的附註揭露內容與公司未來價值不確定性之關係。使用隱含波動性作為市場對於公司未來價值不確定之代理變數，本文發現，當公司首次將訴訟相關事件揭露在或有事項附註揭露的時候，市場不確定性會增加，隱含了市場透過公司提供跟訴訟有關的訊息來修正對於公司未來價值的判斷。此外，本文也發現，當公司首次在附註揭露中提及認列訴訟相關之或有損失時，因為經理人對於訴訟損失發生可能性之不確定性降低，故市場對於評估公司未來價值得不確定性也會下降，亦即隱含波動性會隨著首次在附註揭露提及認列或有損失這件事而下降。總而言之，公司在權衡訴訟策略以及準則遵守之下，仍然提供有用的資訊以影響市場參與者評估公司價值之不確定性。

This paper investigates the effect of litigation loss contingency disclosure on market uncertainty. Using implied volatilities from different options maturities, we found that initial disclosure of a lawsuit in footnotes to financial statements is positively related to stock market volatility, implying that traders revise their beliefs when responding to this unexpected information. We further tested and, after controlling for the attributable effects of earnings surprise, found that market uncertainty regarding firm value decreases as managers initially mention the recognition of loss in legal contingency disclosures. This result implies that information provided in litigation loss contingency disclosures helps to resolve market uncertainty because traders are highly uncertain about firm value before it is issued. Overall, our study provides evidence that while initial disclosure of a lawsuit increases market uncertainty, the disclosure of recognition of loss contingency helps to resolve investor uncertainty about underlying firm value.