A growing number of studies suggest that accounting information risk, primarily idiosyncratic in nature, can be diversified away in the capital market. In this dissertation, I show that accounting information risk, proxied by accruals quality, is priced even if it is entirely idiosyncratic. In particular, building on a model from the ambiguity literature, I demonstrate that (1) in an under-diversified market, idiosyncratic information risk is priced even if it is diversifiable, and (2) in a well-diversified market, idiosyncratic information risk is priced when information is subject to managers' discretion and thus ambiguous. The empirical results corroborate the predictions from the model. Specifically, although an association is observed between (unambiguous if risky) innate accruals quality and cost of capital, the association can be largely mitigated through diversification. However, diversification has little impact on the association between (ambiguous) discretionary accruals quality and cost of capital. Taken together, these findings strengthen our understanding of the fundamental role of accounting information as a basis for capital allocation.

A growing number of studies suggest that accounting information risk, primarily idiosyncratic in nature, can be diversified away in the capital market. In this dissertation, I show that accounting information risk, proxied by accruals quality, is priced even if it is entirely idiosyncratic. In particular, building on a model from the ambiguity literature, I demonstrate that (1) in an under-diversified market, idiosyncratic information risk is priced even if it is diversifiable, and (2) in a well-diversified market, idiosyncratic information risk is priced when information is subject to managers' discretion and thus ambiguous. The empirical results corroborate the predictions from the model. Specifically, although an association is observed between (unambiguous if risky) innate accruals quality and cost of capital, the association can be largely mitigated through diversification. However, diversification has little impact on the association between (ambiguous) discretionary accruals quality and cost of capital. Taken together, these findings strengthen our understanding of the fundamental role of accounting information as a basis for capital allocation.

I examine the association between earnings quality and audit firm type using a three-tiered audit firm classification scheme which allows for an explicit examination of the quality of Second-Tier audited earnings. My tests are motivated by the lack of competition in the market for audit services, theoretical arguments which suggest a positive association between audit firm size and audit quality, evidence pointing to the rapid post-Andersen growth in Second-Tier audit practices, and the lack of empirical research that fully differentiates audit firm type. My results indicate that the post-Andersen growth of Second-Tier audit firms coincides with improved Second-Tier audit quality, relative to the other audit firm types (Big N and other non-Big N). Specifically, the results indicate that Second-Tier client earnings quality was not distinct from that of other non-Big N clients in the pre-Andersen period. However, in the post-Andersen period, the results indicate that Second-Tier client earnings quality was higher than that of other non-Big N clients. Moreover, the post-Andersen results provide partial evidence suggesting that there is no difference in Second-Tier and Big N client earnings quality and, thus, lend some credence to the notion of a new era for the Big 8. These results convey important information to market participants (e.g., investors, underwriters, analysts, etc.) who wish to assess the extent to which financial statements are likely to be free from opportunistic managerial manipulation, to clients that are contemplating switching to a Second-Tier audit firm, to government agencies who have expressed concern over the state of competition in the market for audit services, and to those who have promoted the use of Second-Tier audit firms in the wake of SOX-related resource constraints.

The Financial Accounting Standards Board (FASB) issued Interpretation No. 46 (FIN 46), Consolidation of Variable Interest Entities – An Interpretation of ARB No. 51, in January 2003 and revised it in December 2003, with the objective to improve the transparency of financial information. Under FIN 46, companies are required to consolidate variable interest entities (VIEs) on financial statements if they are the primary beneficiaries of the VIEs. This dissertation empirically examines whether the implementation of this new financial reporting guidance affects firms’ accruals quality and investment efficiency. A manually collected sample comprised of firms affected by FIN 46 and firms disclosing no material impact from FIN 46 is used in the empirical analyses.The first part of the dissertation investigates the effects of FIN 46 on accruals quality. By using different accrual quality measures in prior studies, this study found that firms affected by FIN 46 experienced a decrease in accrual quality compared to firms reporting no material impact from FIN 46. Among the firms affected by FIN 46, firms consolidating VIEs were compared with firms terminating or restructuring VIEs. The accruals quality of firms consolidating VIEs was found to be lower than that of firms terminating or restructuring VIEs. These results are consistent in tests using alternative control samples.The second part of this dissertation examines the effects of FIN 46 on investment efficiency. Mixed results were found from using two different proxies used in prior literature. Using the investment-cash flow sensitivity to proxy for investment efficiency, firms affected by FIN 46 experienced a decrease in investment efficiency compared to firms reporting no material impact. It was also found that higher investment-cash flow sensitivity for firms consolidating VIEs during post-FIN 46 periods compared to both the no-impact firms and the matched pair control sample. Contrasting results were found when the deviation from expected investment is used as another proxy for investment efficiency. Empirical analyses show that FIN 46 firms experienced improved investment efficiency measured by the deviation from expected investment after their adoption of FIN 46. This study also provides explanations for the opposite results from the two different proxies.

本研究主要採用Francis et al.（2005）所提出之應計品質衡量模型作為應計品質的衡量指標，以2003-2007國內上市櫃公司為研究對象，探討應計品質與公司現金持有間之關聯性。本研究另將應計品質拆為裁量性應計品質與非裁量性應計品質，分別探討其對公司現金持有之影響。 　　本研究實證結果顯示，應計品質與公司現金持有率呈顯著負相關。亦即公司應計品質越高，越能有效降低公司及投資者之間的資訊不對稱，進而使公司籌資成本降低，而可持有較少的現金。此外，裁量性應計品質、非裁量性應計品質與公司現金持有率之間均呈顯著負相關，且非裁量性應計品質對公司現金持有率之影響大於裁量性應計品質。 　　根據上述結果，本研究建議管理階層應重視公司之應計品質，並利用裁量性應計項目來提升盈餘數字的品質，以作為公司績效的適當指標。亦即管理階層應使盈餘數字更能可靠、更即時的反映公司的經營績效，並避免以投機目的使用裁量性應計項目。換言之，公司可藉由應計品質之提升，降低資訊不對稱的程度，進而改善公司的現金管理、減少資源閒置及增進投資的效果。 / This study mainly uses the accruals quality measurement model proposed by Francis et al. (2005) to empirically examine the effect of accruals quality on cash holdings of the sampled listed companies at the Taiwan Stock Exchange (TSE) and the Gre Tai Securities Market (GTSM) from 2003 to 2007. This study also distinguishes between accruals quality driven by economic fundamentals (Innate AQ) versus management choices (discretionary AQ) and assesses their individual effects on corporate cash holdings. The empirical results show that accruals quality is negatively associated with cash holdings. That is, the firms with good accruals quality may reduce the negative effect of information asymmetry and adverse selection and, therefore, reduce their level of cash holdings as a result of lower cost of raising capital. In addition, discretionary accruals quality and innate accruals quality are significantly negatively related to cash holdings, and, on average, the innate component of accruals quality has a significantly larger effect on cash holdings than the discretionary component of accruals quality. Our findings suggest that management should be concerned about accruals quality because a higher accruals quality may help firms to improve their cash management, reduce unproductive cash levels, and increase their investment effectiveness.

本研究主要針對影響高階經理人酬勞與盈餘品質關聯性之因素進行探討。當會計績效指標在薪酬契約中的角色因為過度的操弄而受到爭議時，公司管理當局是否會為了緩和經理人的短視行為，而加入盈餘品質的考慮因素，調整會計績效指標於薪酬契約中的重要性。另外本研究從公司治理之角度，以股權結構(機構投資人持股、外部大股東持股、董監事持股持押比例、經理人是否同時為董事會成員、董事長是否兼任總經理與股份盈餘偏離倍數)相關變數，探討其對於高階經理人酬勞與盈餘品質間關聯性之影響。 實證結果顯示，外部大股東持股比例越多，對於高階經理人酬勞與盈餘品質間的關聯性越重視；而經理人同時擔任董事會成員、董事長兼任總經理與股份盈餘偏離倍數越大的公司，會降低高階經理人酬勞與盈餘品質間的關聯性。

Denna studie undersöker om periodiseringskvalitet är en prissatt riskfaktor för nordiska företag som är noterade på en reglerad marknad under perioden 2010–2019. Tidigare studier menar att periodiseringskvalitet utgör en proxy för informationsrisk, men olika författare framställer olika slutsatser i frågan huruvida periodiserings­kvalitet är en prissatt riskfaktor eller inte. Med den av McNichols (2002) modifierade Dechow & Dichev modellen (2002) mäter vi periodiseringskvalitet som standard­avvikelsen av residualer från regressioner som kopplar periodiseringar till kassaflöden. Vi mäter riskpremien genom att dela in företagen i kvintiler baserad på periodiseringskvalitet och tillämpar en likaviktad portfölj som säljer företagen i de två kvintilerna med högst periodiseringskvalitet och köper företagen i kvintilerna med lägst periodiseringskvalitet. Vi finner en signifikant negativ koefficient i en två-stegs tvärsnittsregressionen som visar att periodiseringskvalitet inte utgör en prissatt riskfaktor för nordiska företag. / This study investigates if accruals quality is a priced risk factor for Nordic countries being traded on a regulated market in the Nordic countries during 2010–2019. Earlier studies argue that accruals quality is a proxy for information risk, but different authors find different results regarding whether accruals quality is a priced risk factor or not. By using the Dechow & Dichev model (2002), modified by McNichols (2002), we measure accruals quality as the standard deviation of regressions that match accruals to cash flow. We measure the risk premium by dividing the entities into quintiles and use an equal-weighted portfolio that sells the stocks in the two quintiles with the highest accruals quality and buys the two quintiles with the lowest accruals quality. We find a significant negative coefficient in a two-stage cross-sectional regression which shows that accruals quality is not a priced risk factor in the Nordic countries.

Submitted by Viviane Lima da Cunha (viviane@biblioteca.ufpb.br) on 2017-03-30T11:54:50Z No. of bitstreams: 1 arquivototal.pdf: 1621815 bytes, checksum: b23db6cd8d6f29f38f0e3c56fdda248b (MD5) / Made available in DSpace on 2017-03-30T11:55:33Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1621815 bytes, checksum: b23db6cd8d6f29f38f0e3c56fdda248b (MD5) Previous issue date: 2016-12-07 / The objective of this paper was to analyze how the relation between the simultaneity of proxies of the earnings quality. It was sought to achieve this goal through the formulation of an empirical model of structural equations based on evidence presented by the review of literature about the earnings quality. The sample used in this study included the firms that traded shares in the US capital market from 1985 to 2015. It was used as proxies for earnings quality consolidated according to Dechow, Ge and Schrand (2010), which was earnings management used by Paulo (2007), quality of accruals (DECHOW; DICHEV, 2002) and value relevance by the model of prices (COLLINS; MAYDEW; WEISS, 1997), while for firms chacarteristics were used total debt and firm size. The initial results obtained by multiple linear regression showed, in general, that for the proxies quality of the accruals and value relevance the relations of the characteristics of the firms were presented according to the evidences of the literature (DECHOW; GE; SCHRAND, 2010); While for earnings management, the firm size relationship was positive, contrary to the literature. Regarding the measurement of the quality of information as a latent variable, that is, incorporating all the dimensions analyzed, the relationships corroborated the evidence pointed out in the literature, that is, the management of results reduced the quality of the accounting information and the quality of accruals and value relevance increased, whereas size was positively related to the earnings quality, while debt negatively impacted the quality of accounting information. Regarding the quality of the adjustment statistics, they did not meet the satisfactory statistical requirements, according to Marôco (2010), for validation of the tested model. Thus, measuring the earnings quality simultaneously by structural equations produces the effects capable of explaining the quality of accounting information as a latent variable when realigned with the characteristics of firms. / O objetivo deste trabalho foi analisar como se dá a relação entre a simultaneidade das proxies da qualidade da informação contábil. Buscou-se alcançar este objetivo através da formulação de um modelo empírico por equações estruturais baseado nas evidências apresentadas revisão da literatura acerca da qualidade da informação contábil. A amostra empregada neste estudo contou com as firmas que negociaram ações no mercado norte americano de capitais no período de 1985 a 2015. Utilizaram-se como proxies da qualidade da informação contábil variáveis consolidadas conforme Dechow, Ge e Schrand (2010), as quais foram o gerenciamento de resultados pelo modelo de Paulo (2007), qualidade dos accruals (DECHOW; DICHEV, 2002) e value relevance pelo modelo de preços (COLLINS; MAYDEW; WEISS, 1997), enquanto que para a característica das firmas utilizou-se o endividamento total e o tamanho das firmas. Os resultados iniciais realizados por regressão linear múltipla apontaram, de modo geral, que para as proxies qualidade dos accruals e value relevance as relações das características das firmas apresentaram-se de acordo com as evidências da literatura (DECHOW; GE; SCHRAND, 2010), ao passo que para o gerenciamento de resultados, a relação do tamanho da firma se mostrou positiva, contrariando a literatura. No que diz respeito a mensuração da qualidade da informação como variável latente, isto é, incorporando todas as dimensões analisadas, as relações corroboraram as evidências apontadas na literatura, ou seja, o gerenciamento de resultados reduziu a qualidade da informação contábil e a qualidade dos accruals e o value relevance a aumentaram, ao passo que o tamanho se relacionou positivamente com a qualidade da informação contábil, enquanto que o endividamento impactou negativamente a qualidade da informação contábil. No que diz respeito as estatísticas de qualidade do ajustamento, elas não alcançaram os requisitos estatísticos satisfatórios, de acordo com Marôco (2010), para validação do modelo testado. Sendo assim, mensurar a qualidade da informação contábil de forma simultânea por equações estruturais, produz os efeitos capazes de explicar a qualidade da informação contábil como variável latente quando relacionados com as características das firmas.

Cette thèse se compose de trois essais sur deux anomalies bien documentées : effet momentum et anomalie des ajustements comptables. Le premier essai examine si l'ampleur de l'anomalie des ajustements comptables est entraînée par la probabilité de détresse financière. Les résultats indiquent que l'anomalie des ajustements comptables est économiquement et statistiquement positive pour les entreprises avec une faible probabilité de détresse financière, mais non significative pour celles avec une forte probabilité de détresse financière. Cela signifie que cette anomalie des ajustements comptables est omniprésente, mais pas limitée aux entreprises avec une faible probabilité de détresse financière. Le deuxième essai étend la question de recherche abordée dans le premier essai au marché boursier émergent du Vietnam. Comme pour les résultats du premier essai, les résultats indiquent que l'anomalie des ajustements comptables est limitée aux stocks avec une faible probabilité de détresse financière. Le dernier essai examine si l'effet momentum se produit sur le marché boursier vietnamien. Les résultats confirment la présence de momentum dans le court terme et révèlent aussi que les rendements gagnants et perdants sont faiblement persistants, mais que la forte corrélation entre ces rendements gagnants et perdants crée des bénéfices momentum significatifs. / This dissertation consists of three essays on two well-documented anomalies: momentum effect and accrual anomaly. The first essay investigates whether the magnitude of accrual anomaly is driven by the financial distress probability. The results indicate that accrual anomaly is economically and statistically positive for firms with low financial distress probability, but insignificant for those with high financial distress probability. This means that that accrual anomaly is not pervasive but limited to firms with low financial distress probability. The second essay extends the research question addressed in the first essay into the emerging stock market of Vietnam. Similar to the findings in the first essay, the results indicate that the accrual anomaly is limited to the stocks with low financial distress probability. The last essay examines whether the momentum effect occurs in the Vietnamese stock market. The results support the occurrence of momentum in the short-run and also reveal that winner and loser returns are low persistent, but the strong correlation between winner and loser returns creates significant momentum profits.