会计质量在共同基金甩卖中的作用

IF 2.5 3区 管理学 Q2 BUSINESS, FINANCE
Facundo Mercado, Silvina Rubio, Mariano Scapin
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引用次数: 0

摘要

我们研究了会计质量在减轻共同基金贱卖所产生的低估中的事前作用。陷入困境的共同基金和被抛售证券的潜在买家之间的信息不对称导致逆向选择问题,从而导致买家只以低于内在价值的价格进行交易的均衡。卖家接受这些较低的价格,只是因为他们有严重的流动性需求。在某种程度上,会计质量有助于市场参与者更好地估计被抛售证券的内在价值,我们预计会计质量较好的公司的逆向选择问题不那么严重。一贯地,我们发现高会计质量与较小的甩卖折扣有关。这一结果可以用两种互补的机制来解释。分析师更有可能提供价格修正建议,套利者在共同基金甩卖期间更多地交易高会计质量的公司。总体而言,我们的研究结果表明,会计质量减轻了非基本面原因造成的股票低估。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Role of Accounting Quality During Mutual Fund Fire Sales
We study the ex ante role of accounting quality in mitigating the undervaluation generated by mutual fund fire sales. Asymmetric information between distressed mutual funds and potential buyers of the securities being fire sold leads to an adverse selection problem resulting in an equilibrium in which buyers only trade at prices below intrinsic value. Sellers accept these lower prices only because they have severe liquidity needs. To the extent that accounting quality helps market participants better estimate the intrinsic value of securities being fire sold, we expect the adverse selection problem to be less severe for firms with better accounting quality. Consistently, we find that high accounting quality is associated with smaller fire sale discounts. This result is explained by two complementary mechanisms. Analysts are more likely to provide price-correcting recommendations and arbitrageurs trade more heavily on high accounting quality firms during mutual fund fire sales. Overall, our results show that accounting quality mitigate stock underpricing caused by non-fundamental reasons.
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来源期刊
European Accounting Review
European Accounting Review BUSINESS, FINANCE-
CiteScore
7.00
自引率
6.10%
发文量
58
期刊介绍: Devoted to the advancement of accounting knowledge, it provides a forum for the publication of high quality accounting research manuscripts. The journal acknowledges its European origins and the distinctive variety of the European accounting research community. Conscious of these origins, European Accounting Review emphasises openness and flexibility, not only regarding the substantive issues of accounting research, but also with respect to paradigms, methodologies and styles of conducting that research. Though European Accounting Review is a truly international journal, it also holds a unique position as it is the only accounting journal to provide a European forum for the reporting of accounting research.
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