The Ambiguity of Earnings Announcements
研究了当投资者厌恶模糊且面临公司生产力和报告系统弱度双重不确定性时，误报如何扭曲大小公司的投资决策，导致大公司过度投资而小公司投资不足。
We study the consequences of misreporting in settings where ambiguity-averse investors face uncertainty about two aspects of the firm: its productivity and the weakness of its reporting system. We show that the joint presence of these two sources of uncertainty distorts the firm’s investment choices in opposing ways, leading to overinvestment by large firms (to signal productivity) and underinvestment by small firms (to signal that the reporting system is not weak). Our analysis suggests that uncertainty regarding reporting weakness affects both the level of the market-to-book ratio and its association with firm size. In addition, we show that, under plausible circumstances, reductions in uncertainty can be detrimental to social welfare: lower information asymmetry about reporting weakness always encourages more aggressive misreporting and boosts investment, thereby exacerbating the possible overinvestment problem faced by some firms. This paper was accepted by Suraj Srinivasan, accounting.