Corporate fraud and information transfer: evidence from business groups in China
研究发现，企业集团中一家公司的欺诈公告会向投资者传递信息，影响同集团其他公司的股价，经济联系越强影响越大。
Business groups – sets of legally independent firms with the same ultimate owner – are prevalent worldwide. This study predicts and finds that corporate fraud at one firm conveys information useful to investors in pricing the shares of its group peers within the same business group. Around the announcement of fraud, the change in share prices of non-fraud group peers corresponds to approximately 15% of that of the fraud firm. Such an information transfer effect is amplified when the economic link between the fraud firm and the peer firm becomes stronger. Changes in peer firm’s future prospects cannot explain our findings. Non-fraud peer firms’ abnormal trading volume also reacts to the information content of the fraud around the announcement date. Finally, investors consider peer firms’ discretionary accruals and controlling ownership as two red flags, incorporating these factors into their decisions.