A Measure of Management’s Withholding of Bad News
基于财政期间内负向异常日收益的集中度，提出一个度量管理层隐瞒坏消息的指标（NBF），并验证其有效性，发现该指标优于传统股价崩盘风险指标。
We develop a measure of management's withholding of bad news (NBF -net bad flows) based on the relative lumpiness of negative daily abnormal stock returns in the fiscal period.We present an extensive set of tests that support the construct validity of NBF as a measure of management's bad news withholding.Being calculable for listed companies using daily stock return data, NBF can complement direct scores of corporate disclosures when assessing the overall quality of corporate financial communication.We also compare the properties of NBF with the properties of measures of stock price crash risk.We find that NBF outperforms traditional crash risk measures in capturing bad news withholding.Re-estimating the crash risk measures using daily instead of weekly stock returns yields more powerful proxies for bad news withholding that are more closely related to NBF.