Journal of Banking & Finance, Volume 58, September 2015, Pages 327-342,

公允价值披露、流动性风险和股票收益率

作者：Oliviero Roggi, Alessandro Giannozzi

摘要：本文通过分析投资者对2008-2010年间的106次风险事件所作的反应，来研究流动性风险对金融类和非金融类公司的股价冲击。公允价值的三种不同计价方式（第一种——根据市价调整，第二种——可观察的市场输入量，第三种——根据模型调整）呈现出不同的流动性风险大小，这些公允价值信息显示在资产负债表中，其中第三种计价方式确定的固定资产蕴含了更高的流动性风险，进而增加了公司的流动性风险。313家欧洲公司出现流动性限制事件、资本注入行为以及银行救助后的股价反应，显示出投资者决策时会考虑流动性风险。实验证据是基于固定效应模型和偏最小二乘回归。这些发现表明，由三种不同的计价方式所确定的公允价值包含了不同的流动性风险大小，因此投资者对风险事件所作的反应也不同。在流动性限制事件中，投资者对资产负债表中含有较多第三种计价方式确定的固定资产和负债的公司有更强的负面反应。而在流动性扩张事件中，投资者对含有较多固定资产的公司反应得更积极。

关键词：公司流动性风险，公允价值披露，股票收益率，金融危机

Fair value disclosure, liquidity risk and stock returns

Oliviero Roggi, Alessandro Giannozzi

Abstract:

This paper aims to investigate the impact of company liquidity risk on the stock prices of financial and non-financial companies by analyzing investors’ reactions to 106 crisis events over the period from 2008 to 2010. Companies’ liquidity risk shows up in the three levels of fair value information (level 1-mark to market, level 2-market observable input and level 3-mark to model) disclosed in their balance sheets, with level 3 illiquid assets representing a greater liquidity risk and resulting in a greater company liquidity risk. The role played by liquidity risk information in investors’ decision-making is explored by analyzing their reactions to liquidity-constraining events, capital injections and bank bailouts for 313 European companies. The empirical evidence is based on the fixed effects model and Partial Least Squares regressions. These findings demonstrate that investors’ reactions to the crisis events are affected by the liquidity risk conveyed by the levels of fair value hierarchy in both financial and non-financial firms. During liquidity-constraining events, investors have stronger negative reactions to companies with more level 3 illiquid assets and liabilities on their balance sheets. During liquidity-expanding events, investors react more positively to companies with more illiquid assets.

Keywords: Corporate liquidity risk; Fair value disclosure; Stock returns; Financial crisis

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426615001016

翻译：郎彪