The Effects of Value Relevance of Accounting Information and Financing Activities on Idiosyncratic Risk

會計資訊的價值攸關性和融資活動對異質風險之影響

10.6545/JFS.2017.25(2).3

林宜勉(Yi-Mien Lin)；王登仕(Teng-Shih Wang)；鍾惠民(Huimin Chung)

Accounting information ； value relevance ； idiosyncratic risk ； debt financing activities ； equity financing activities ； 會計資訊 ； 價值攸關性 ； 異質風險 ； 負債融資活動 ； 權益融資活動

財務金融學刊

25卷2期（2017 / 06 / 30）

75 - 103

英文

This study examines the relationships between the value relevance of accounting information, financing activities, and idiosyncratic risk. The findings show that debt financing activities are positively related to the value relevance of earnings but equity financing activities decrease with the value relevance of earnings. Both external financing activities and equity financing activities decrease with idiosyncratic volatility, and considering the interaction between financing activities and the value relevance of earnings or cash flows, these relationships still hold. Overall, investors face lower idiosyncratic risk when a firm chooses equity financing activities.

本文驗證會計資訊的價值攸關性、融資活動及異質風險之間的關聯性。實證結果發現，負債（權益）融資活動與盈餘的價值攸關性呈正（負）相關。外部融資及權益融資活動負向影響異質波動性，在考慮盈餘或現金流量的價值攸關性與融資活動之交互關係後仍獲得一致結果。整體而言，公司選擇權益融資活動時投資人面對較低的異質風險。

1. Fink, Jason, Kristin Fink, Gustavo Grullon, and James P. Weston, 2005, IPO vintage and the rise of idiosyncratic risk, Working paper.
2. Richardson, Scott A., and Richard G. Sloan, 2003, External financing, capital investment and future stock returns, Working paper.
3. Hsin, Chin-Wen, 2010, Idiosyncratic risk and stock price informativeness in emerging markets, Working paper.
4. Malkiel, Burton G., and Yexiao Xu, 2006, Idiosyncratic risk and security returns, Working paper.
5. Ang, Andrew,Hodrick, Robert J.,Xing, Yuhang,Zhang, Xiaoyan(2006).The cross-section of volatility and expected returns.Journal of Finance,61,259-299.
6. Bali, Turan G.,Cakici, Nusret(2008).Idiosyncratic volatility and the cross section of expected returns?.Journal of Financial and Quantitative Analysis,43,29-58.
7. Bali, Turan G.,Cakici, Nusret,Yan, Xuemin,Zhang, Zhe(2005).Does idiosyncratic risk really matter?.Journal of Finance,60,905-929.
8. Banker, Rajiv D.,Datar, Srikant M.(1989).Sensitivity, precision, and linear aggregation of signals for performance evaluateon.Journal of Accounting Research,27,21-39.
9. Banker, Rajiv D.,Huang, Rong,Natarajan, Ramachandran(2009).Incentive contracting and value relevance of earnings and cash flows.Journal of Accounting Research,47,647-678.
10. Basu, Sudipta(1997).The conservatism principle and the asymmetric timeliness of earnings.Journal of Accounting and Economics,24,3-37.
11. Bayless, Mark,Chaplinsky, Susan(1991).Expectations of security type and the informational content of debt and equity offers.Journal of Financial Intermediation,1,195-214.
12. Beaver, William H.(2002).Perspectives on recent capital market research.Accounting Review,77,453-474.
13. Berk, Jonathan B.,Green, Richard C.,Naik, Vasant(1999).Optimal investment, growth options, and security returns.Journal of Finance,54,1153-1607.
14. Bharath, Sreedhar T.,Sunder, Jayanthi,Sunder, Shyam V.(2008).Accounting quality and debt contracting.Accounting Review,83,1-28.
15. Bowen, Robert M.,Burgstahler, David,Daley, Lane A.(1986).Evidence on the relationships between earnings and various measures of cash flow.Accounting Review,61,713-725.
16. Bradshaw, Mark T.,Richardson, Scott A.,Sloan, Richard G.(2006).The relation between corporate financing activities, analysts' forecasts and stock returns.Journal of Accounting and Economics,42,53-85.
17. Brealey, Richard A.,Myers, Stewart C.,Allen, Franklin(2011).Principles of Corporate Finance.New York:McGraw-Hill/Irwin.
18. Brown, Stephen,Lo, Kin,Lys, Thomas(1999).Use of R2 in accounting research: Measuring changes in value relevance over the last four decades.Journal of Accounting and Economics,28,83-115.
19. Chan, Kam C.,Farrell, Barbara,Lee, Picheng(2008).Earnings management of firms reporting material internal control weaknesses under Section 404 of the Sarbanes-Oxley Act.Auditing: A Journal of Practice and Theory,27,161-179.
20. Cohen, Daniel A.,Dey, Aiyesha,Lys, Thomas Z.(2008).Real and accrual-based earnings management in the Pre- and Post-Sarbanes-Oxley periods.Accounting Review,83,757-787.
21. Cohen, Daniel A.,Lys, Thomas Z.(2006).Weighing the evidence on the relation between external corporate financing activities, accruals and stock returns.Journal of Accounting and Economics,42,87-105.
22. Cohen, Daniel A.,Zarowin, Paul(2010).Accrual-Based and real earnings management activities around seasoned equity offerings.Journal of Accounting and Economics,50,2-19.
23. Collins, Daniel W.,Hribar, Paul(2000).Earnings-Based and accrual-based market anomalies: One effect or two?.Journal of Accounting and Economics,29,101-123.
24. Collins, Daniel W.,Maydew, Edward L.,Weiss, Ira S.(1997).Changes in the value-relevance of earnings and book values over the past forty years.Journal of Accounting and Economics,24,39-67.
25. DeFond, Mark L.,Hung, Mingyi(2003).An empirical analysis of analysts' cash flow forecasts.Journal of Accounting and Economics,35,73-100.
26. Diamond, Douglas W.,Verrecchia, Robert E.(1991).Disclosure, liquidity, and the cost of capital.Journal of Finance,46,1325-1359.
27. Dreyfus, Patricia(1988).Go with the (cash) flow.Institutional Investor,22,55-59.
28. DuCharme, Larry L.,Malatesta, Paul H.,Sefcik, Stephan E.(2004).Earnings management, stock issues, and shareholder lawsuits.Journal of Financial Economics,71,27-49.
29. Durnev, Artyom,Morck, Randall,Yeung, Bernard,Zarowin, Paul(2003).Does greater firm-specific return variation mean more or less informed stock pricing?.Journal of Accounting Research,41,797-836.
30. Eberhart, Allan,Maxwell, William,Siddique, Akhtar(2008).A reexamination of the tradeoff between the future benefit and riskiness of R&D increases.Journal of Accounting Research,46,27-52.
31. Eckbo, Espen,Masulis, Ronald W.,Norli, Øyvind(2000).Seasoned public offerings: Resolution of the "new issues puzzle".Journal of Financial Economics,56,251-291.
32. Ferreira Miguel A.,Laux, Paul A.(2007).Corporate governance, idiosyncratic risk, and information flow.Journal of Finance,62,951-989.
33. Fleming, Jeff,Kirby, Chris,Ostdiek, Barbara(2006).Information, trading and volatility: Evidence from weather-sensitive markets.Journal of Finance,61,2899-2930.
34. Fu, Fangjian(2009).Idiosyncratic risk and the cross-section of expected stock returns.Journal of Financial Economics,91,24-37.
35. Ghosh, Dipankar,Olson, Lori(2009).Environmental uncertainty and managers' use of discretionary accruals.Accounting, Organizations, and Society,34,188-205.
36. Goyal, Amit,Santa-Clara, Pedro(2003).Idiosyncratic risk matters!.Journal of Finance,58,975-1007.
37. Hardouvelis, Gikas,Papanastasopoulos, Georgios,Thomakos, Dimitrios,Wang, Tao(2012).External financing, growth and stock returns.European Financial Management,18,790-815.
38. Healy, Paul M.,Hutton, Amy P.,Palepu, Krishnag(1999).Stock performance and intermediation changes surrounding sustained increases in disclosure.Contemporary Accounting Research,16,485-520.
39. Hirshleifer, David,Hou, Kewei,Teoh, Siew Hong(2009).Accruals, cash flows, and aggregate stock returns.Journal of Financial Economics,91,389-406.
40. Jin, Li,Myers, Stewart C.(2006).R2 around the world: New theory and new tests.Journal of Financial Economics,79,257-292.
41. Khan, Mozaffar,Watts, Ross L.(2009).Estimation and empirical properties of a firm-year measure of accounting conservatism.Journal of Accounting and Economics,48,132-150.
42. Lee, Dong W.,Liu, Mark H.(2011).Does more information in stock price lead to greater or smaller idiosyncratic return volatility?.Journal of Banking and Finance,35,1563-1580.
43. Li, Haidan,Pincus, Morton,Rego, Sonja O.(2008).Market reaction to events surrounding the Sarbanes-Oxley Act of 2002 and earnings management.Journal of Law and Economics,51,111-134.
44. Loughran, Tim,Ritter, Jay R.(1995).The new issues puzzle.Journal of Finance,50,23-51.
45. Mashruwala, Christina,Rajgopal, Shivaram,Shevlin, Terry(2006).Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs.Journal of Accounting and Economics,42,3-33.
46. Merton, Robert C.(1987).A simple model of capital market equilibrium with incomplete information.Journal of Finance,42,483-510.
47. Modigliani, Franco,Miller, Merton H.(1958).The cost of capital, corporation finance, and the theory of investment.American Economic Review,48,261-297.
48. Natarajan, Ramachandran(1996).Stewardship value of earnings components: Additional evidence on the determinants of executive compensation.Accounting Review,71,1-22.
49. Nwaeze, Emeka T.,Yang, Simon S. M.,Yin, Jennifer(2006).Accounting information and CEO compensation: The role of cash flow from operations in the presence of earnings.Contemporary Accounting Research,23,227-265.
50. Ohlson, James A.(1999).On transitory earnings.Review of Accounting Studies,4,145-162.
51. Ohlson, James A.(1995).Earnings, book values, and dividends in equity valuation.Contemporary Accounting Research,11,661-687.
52. Papanastasopoulos, Georgios,Thomakos, Dimitrios,Wang, Tao(2011).Accruals and the performance of stock returns following external financing activities.British Accounting Review,43,214-229.
53. Rajgopal, Shivaram,Venkatachalam, Mohan(2011).Financial reporting quality and idiosyncratic return volatility.Journal of Accounting and Economics,51,1-20.
54. Rayburn, Judy(1986).The association of operating cash flow and accruals with security returns.Journal of Accounting Research,24,112-133.
55. Roychowdhury, Sugata(2006).Earnings management through real activities manipulation.Journal of Accounting and Economic,42,335-370.
56. Sloan, Richard G.(1996).Do stock prices fully reflect information in accruals and cash flows about future earnings?.Accounting Review,71,289-315.
57. Watts, Ross L.(2003).Conservatism in accounting Part I: Explanations and implications.Accounting Horizons,17,207-221.