Accruals Quality, Shocks to Macro-uncertainty, and Investor Response to Earnings News
研究宏观不确定性冲击如何改变投资者对不同应计质量公司盈余新闻的反应，发现冲击导致投资者对低质量公司的坏消息反应更强，对高质量公司的好消息反应更弱，且后续不确定性消退时投资者会修正对高质量好消息的欠反应。
Research shows that a firm’s prior accrual quality affects the market reaction to earnings news, as it allows investors to gauge the level of noise in the news. Investor response to earnings news tends to be weaker (stronger) when a firm’s accrual quality is lower (higher). We aim to examine how macroeconomic shocks affect investor reactions. Drawing on ambiguity aversion literature, we argue that if macroeconomic uncertainty spikes before the earnings announcement, investors will favor a ‘better safe than sorry’ attitude; that is, they will tend to react strongly (weakly) to all bad (good) news, taking less into account differences in accrual quality. We consistently find that macro-uncertainty shocks cause (i) a stronger reaction to bad news for low-quality (but not high-quality) firms and (ii) a weaker reaction to good news for high-quality (but not low-quality) firms. The results are robust to alternative model specifications and sensitivity tests. Additionally, we show that if macro-uncertainty resolves in the post-announcement weeks, investors correct their underreaction to high-quality good news, especially if the shock is not extreme.