ASSET RETURNS UNDER PERIODIC REVELATIONS OF EARNINGS MANAGEMENT
研究高管为最大化薪酬而人为抬高盈余时，股票收益的动态变化。模型结合财务报告和努力程度，解释了波动聚集、非对称波动和高特质波动等实证现象。
The article investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal–agent model with financial reporting and managerial effort is embedded in a Lucas asset‐pricing model with periodic revelations of the firm's underlying profitability. The return process generated from the model is consistent with a range of empirical regularities observed in the return data: volatility clustering, asymmetric volatility, and high idiosyncratic volatility. The calibration results further indicate that earnings management can be quantitatively important in accounting for the dynamic patterns of stock returns.