主 题：Asset Pricing Theorywith an Imprecise Information Set
Internal ControlWeakness, Investment and Firm Valuation
主讲人：加拿大曼尼托巴大学商学院副院长 Gady Jacoby 教授
加拿大曼尼托巴大学会计金融学院 Steven Zheng 副教授
主持人：西南财经大学经济信息工程学院院长 霍伟东 教授
西南财经大学国际商学院院长助理 逯建 副教授
时 间：2015年7月6日 15:30~17:00
地 点：颐德楼I402B
主办单位：经济信息工程学院 国际商学院 科研处
主讲人简介：
Gady Jacoby, Associate Dean in Research andGraduate Programs, Bryce Douglas Professor in Finance, I.H. Asper School ofBusiness, The University of Manitoba. Research in Fixed-Income Markets,Behavioral Finance, Asset-Pricing Models, and Market Microstructure. TeachInvestments, Financial Modeling, Fixed-Income Securities (undergraduate andgraduate), Financial Economics, and Capital Markets (Ph.D.)
Steven Zheng, BMO Professorship in Financeand Associate Professor, I.H. Asper School of Business, University of Manitoba.Research Area in Corporate Finance, Financial Markets, Corporate Governance.Teach Corporate Finance, Financial Markets and Institutions, FinancialManagement Practices, Personal Financial Planning.
内容提要：
We provide a novel theoretical platform forpricing imprecise accounting information through a separate market risk premiumand three distinct betas. Our first information-quality beta is related to thecovariance between market-wide imprecise information return error and securityprecise return. The second beta represents commonality in information quality,which is priced by investors seeking to curtail adverse effects of impreciseinformation on their portfolio value. Our third beta implies that investors preferstocks issued by firms that tend to, erroneously or deliberately, release falsepositive information about the firm when the market is bearish. Our model issupported by empirical evidence.
In this paper we explore the relation betweenfirm valuation and internal control weakness (ICW) disclosure under Section 404of the Sarbanes-Oxley Act (SOX 404). We find that on average ICW firms reducetheir investment significantly in the 2 years after disclosure. Those ICW firmswith investment reductions have poor stock performance in the year beforedisclosure. A randomly selected sub-sample shows that many of the investmentreductions have been announced in the year before ICW disclosure. This isconsistent with the q theory of investment, which suggests that the poor stockperformance may be caused by the investment reductions. A possible explanationfor Investment reductions is the higher costs of capital associated with ICW.Consistent with this explanation, ICW firms with credit ratings do not reducetheir investment as much and have much better stock performance.
