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Stock price crash risk and unexpected earnings thresholds

机译：股价崩盘风险和意外收益门槛

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摘要

Purpose - The purpose of this paper is to examine stock price crash risk (SPCR) as a function of meeting or missing three earnings thresholds - reporting a profit (earnings level), reporting an earnings increase (earnings change) and meeting analysts' forecasts (earnings expectation). Design/methodology/approach - The authors rely upon the research design of Herrmann et al. (2011) to identify the incremental impact of the earnings level and earnings change benchmarks on SPCR, after controlling for the effects of meeting or missing analysts' expectations. Findings - The authors find that meeting analysts' expectations is negatively associated with SPCR, and this relationship strengthens with the magnitude of the unexpected earnings. However, the authors find little evidence of incremental threshold effects to suggest that earnings level and earnings change benchmarks are critical thresholds with respect to SPCR. Our results are robust after including a number of control variables. Originality/value - This study contributes to the literature that investigates determinants of SPCR while simultaneously providing new evidence to conclusions that analysts' earnings forecast is at the top of the earnings benchmark hierarchy. Earnings thresholds; Analyst forecast; Stock price crash risk
机译：目的-本文的目的是检验股价崩溃风险（SPCR）是否达到或低于三个收益阈值-报告利润（收益水平），报告收益增加（收益变化）并达到分析师的预测（预期收入）。设计/方法/方法-作者依靠Herrmann等人的研究设计。 （2011）确定收益水平和收益变化基准对SPCR的增量影响，然后控制达到或低于分析师预期的影响。调查结果-作者发现，达到分析师预期与SPCR负相关，并且这种关系随着意外收益的幅度而增强。但是，作者发现几乎没有证据表明存在增量阈值效应，这表明收益水平和收益变化基准是SPCR的关键阈值。包括许多控制变量后，我们的结果是可靠的。独创性/价值-这项研究为研究SPCR决定因素的文献做出了贡献，同时为结论得出了新的证据，即分析师的盈利预测位于盈利基准体系的首位。收入门槛；分析师预测；股价崩盘风险

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  • 来源
    《Managerial finance》 |2018年第8期|1012-1030|共19页
  • 作者

    Wing Him Yeung; Camillo Lento;

  • 作者单位

    Lakehead University, Thunder Bay, Canada;

    Lakehead University, Thunder Bay, Canada;

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  • 正文语种 eng
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