The Role of Accounting Quality During Mutual Fund Fire Sales
研究会计质量如何通过减少信息不对称来缓解共同基金被迫抛售股票时产生的折价，发现高会计质量的公司抛售折扣更小，因为分析师和套利者更积极纠正价格。
We study the ex ante role of accounting quality in mitigating the undervaluation generated by mutual fund fire sales. Asymmetric information between distressed mutual funds and the potential buyers of the securities being fire sold leads to an adverse selection problem resulting in an equilibrium in which buyers trade only at prices below the intrinsic value. Sellers accept these lower prices only because they have severe liquidity needs. To the extent that accounting quality helps market participants better estimate the intrinsic value of the securities being fire sold, we expect the adverse selection problem to be less severe for firms with better accounting quality. Consistently, we find that high accounting quality is associated with smaller fire-sale discounts. This result is explained by two complementary mechanisms. Analysts are more likely to provide price-correcting recommendations, and arbitrageurs trade more heavily on high-accounting-quality firms during mutual fund fire sales. Overall, our results show that accounting quality mitigates stock undervaluation caused by nonfundamental factors.