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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 王泰昌,劉嘉雯 | |
dc.contributor.author | Hsin-Yi Huang | en |
dc.contributor.author | 黃馨儀 | zh_TW |
dc.date.accessioned | 2021-06-08T03:11:50Z | - |
dc.date.copyright | 2017-06-12 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-03-21 | |
dc.identifier.citation | Anagnostopoulou, S. C., & Tsekrekos, A. E. (2015). Accounting quality, information risk and implied volatility around earnings announcements. Journal of International Financial Markets, Institutions and Money, 34, 188-207.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20947 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T03:11:50Z (GMT). No. of bitstreams: 1 ntu-106-F98722011-1.pdf: 1844687 bytes, checksum: cc8713d47c9d5da23d523acb897a0610 (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 口試委員審定書 i
謝辭 ii 中文摘要 iii 英文摘要 iv Table of Contents v Tables viii 1. Introduction 1 2. Literature review 11 2.1. Institutional Framework of Litigation contingency disclosure 11 2.2. Disclosure and the evaluation of uncertainty 12 2.3. Litigation contingency disclosure 15 3. Hypotheses development 19 3.1. Litigation contingency disclosure and market uncertainty 19 3.2. Is uncertainty affected by the provision of recognition of loss contingency information from managers? 21 4. Research design 26 4.1. Variable measurement 26 4.2. Empirical models 27 4.2.1. Does first-time disclosure of a legal case increase investor uncertainty? 27 4.2.2. Is uncertainty affected by the provision of recognition of loss contingency information by managers? 29 4.3. Control variables 31 5. Data and Summary Statistics 34 5.1. Data and sample selection 34 5.2. Descriptive statistics 36 5.3. Univariate analysis 38 6. Empirical results 40 6.1. Does first-time disclosure of a legal case increase investor uncertainty? 40 6.2. Is uncertainty affected by first-time recognition of loss contingency information by managers? 41 7. Equity market reaction to the litigation contingency disclosure 44 7.1. Equity market reaction to earnings news after the recognition of litigation loss 44 7.2. Equity market reaction to information provided in footnotes to financial statements in which mangers mention the recognition of litigation loss 48 7.3. Equity market reaction to the recognition of litigation loss amount 49 7.4. Equity market reaction to the recognition of a surprise amount 50 8. The roles of the news and of 8-K regarding to litigation contingency disclosure 52 8.1. Do information about firms’ litigation in News and 8-K impact future firm uncertainties? 52 8.2. The difference effects between News and financial statement disclosure of firm specific litigation contingency 56 9. Robustness and Additional tests 58 9.1. Correcting self-selection bias 58 9.2. Dropping firms in specific industries 60 9.3. Rerun of all tests including observations with news releases prior to financial statement issuance 61 9.4. Deleting observations that provide estimations of legal loss amounts prior to recognition of the legal loss 63 9.5. Is uncertainty affected by other information from managers? 64 9.6. What if the circumstances of a case improve? 67 9.7. Does the timing of disclosures prior to recognition of litigation loss matter? 68 9.8. Do different types of litigation matter? 70 10. Conclusion 72 Appendix A. Variable definitions 75 References 79 Tables Table 1 Sample Selection and Distribution by Industry 85 Table 2 Legal Case Categories and the percentage of disclosure and recognition 87 Table 3 Summary Statistics 88 Table 4 Univariate Analysis 90 Table 5 Does the disclosure of legal case at the first time influence investor uncertainty? 93 Table 6 Is uncertainty affected by providing recognition of loss contingency information from managers? 97 Table 7 Summary Statistics of equity market reaction analysis 101 Table 8 Sample selection 103 Table 9 Equity market reaction to the recognition of litigation contingency loss 104 Table 10 Equity market reaction to information provided in footnotes to financial statements in which mangers mention the recognition of litigation loss 108 Table 11 Equity market reaction to information provided in footnotes to financial statements in which mangers mention the recognition of litigation loss 110 Table 12 Equity market reaction to the recognition of a surprise amount 112 Table 13 Descriptive statistics of News and 8-K 115 Table 14 Univariate analysis of News and 8-K 115 Table 15 Is uncertainty affected by providing recognition of loss contingency information from managers if there is news revealing lawsuit related information before the financial statement publicly available? 116 Table 16 The difference effects between News and financial statement disclosure of firm specific litigation contingency 118 Table 17 Correcting self-selection bias 120 Table 18 Dropping firms in specific industries 129 Table 19 Including observations with news releases prior to financial statement issuance 134 Table 20 Deleting observations that provide estimations of legal loss amounts prior to recognition of the legal loss 141 Table 21 Is uncertainty affected by other information from managers? 145 Table 22 Is uncertainty affected by manager mentioning that the cases has settled in the subsequent quarter? 147 Table 23 What if the circumstances of a case improve? 149 Table 24 Does the timing of disclosures prior to recognition of litigation loss matter? 151 Table 25 Do different types of litigation matter? 155 Table 26 Including litigation type fixed effect 157 | |
dc.language.iso | en | |
dc.title | 從訴訟或有事項揭露探討公司價值之不確定性 | zh_TW |
dc.title | The creation and resolution of firm-specific uncertainty: Evidence from the impacts of legal contingency disclosure on implied volatility | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 陳聖賢,陳宗岡,戚務君,廖芝嫻 | |
dc.subject.keyword | 訴訟損失之或有事項揭露,或有損失認列,隱含波動性,投資人價值不確定性,第5號公報, | zh_TW |
dc.subject.keyword | Litigation loss contingency disclosures,accrual of litigation loss contingency,implied volatility,investor uncertainty,Statement of Financial Accounting Standards (SFAS) No.5, | en |
dc.relation.page | 161 | |
dc.identifier.doi | 10.6342/NTU201700703 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2017-03-21 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 會計學研究所 | zh_TW |
顯示於系所單位: | 會計學系 |
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