Bank Earnings Management and Tail Risk during the Financial Crisis
研究发现银行在金融危机前的盈余管理行为与危机期间的股票尾部风险显著相关，盈余管理越激进的银行在危机中股价暴跌概率更高，且股价暴跌可预测未来经营恶化，对监管者识别早期预警信号有参考价值。
We show that a pattern of earnings management in bank financial statements has little bearing on downside risk during quiet periods, but seems to have a big impact during a financial crisis. Banks demonstrating more aggressive earnings management prior to 2007 exhibit substantially higher stock market risk once the financial crisis begins as measured by the incidence of large weekly stock price “crashes” as well as by the pattern of full‐year returns. Stock price crashes also predict future deterioration in operating performance. Bank regulators may therefore interpret them as early warning signs of impending problems.