- 1 -

Ball and Brown (1968)

Beaver, Clark, and Wright (1979) Ball and Brown (1968)

(cumulated

abnormal returns, CAR)

(Stronger and Walker, 1993;

DeFond, Hung, and Trezevant, 2007; 1992)

(Jones, 1991; Schipper, 1989; Watts and Zimmerman, 1978;

2002) Watts and Zimmerman (1978)

(2002)

- 2 -

?

1-1

- 3 -

1-1

- 4 -

Davidson, Stickney, and Weil (1987)

(generally accept accounting

principles, GAAP)

Schipper (1989)

(GAAP)

- 5 -

Healy and Wahlen (1999)

Watts and Zimmerman

(1978) (positive accounting theory)

: (the bonus plan

hypothesis) (the debt covenant hypothesis) 3.

(the political cost hypothesis)

( )

Healy (1985)

( )

(big bath)

- 6 -

(2009)

( )

DeFond and Jiambalvo (1994)

Sweeney(1994)

(2002)

( )

- 7 -

Jones (1991)

Cahan

(1992) Jones (1991)

(Jones, 1991)

( )

(GAAP)

( )

- 8 -

( )

:

(Healy, 1995)

,

(DeAngelo, 1986; De-

chow, Sloan, and Sweeney , 1995; Healy, 1985; Jones, 1991;

Kothari, Leone, and Wasley, 2005)

( )Healy model

Healy (1995)

Healy

2-1 2-2

TTANDAtt / (2-1)

ttt NDATADA (2-2)

- 9 -

tNDA : t

tDA : t

tTA : t

T: 1, 2, 3…T

T:

( ) DeAngelo model

DeAngelo (1986)

Healy (1985)

2-3

2-4

1 tt TANDA (2-3)

ttt NDATADA (2-4)

tNDA : t

tDA : t

tTA : t

t:

( ) Jones Model

Jones (1991) Healy (1995) Deangelo (1986)

Jones model

- 10 -

2-5 2-6 2-7

)/()/()/1( 131211 tttttt APPEAREVANDA (2-5)

)/(ˆ)/(ˆ)/1(ˆ131211 tttttt APPEAREVANDA (2-6)

tttt NDAATADA 1/ (2-7)

tNDA : t

1tA : t

tREV : t

tPPE : t

tDA : t

tTA : t

1̂ 2̂ 3̂ :

( )modified Jones model

Dechow, et al., (1995) Jones model

2-8 2-9 2-10

)/(/)()/1( 131211 ttttttt APPEARECREVANDA (2-8)

)/(ˆ/)(ˆ)/1(ˆ131211 ttttttt APPEARECREVANDA (2-9)

- 11 -

tttt NDAATADA 1/ (2-10)

tNDA : t

1tA : t

tREV : t

tPPE : t

tREC : t

tDA : t

tTA : t

1̂ 2̂ 3̂ :

( ) modified Jones model

Jones model modified Jones model

(Dechow et al.,1995; Guay, Kothari, and Watts, 1996)

Kothari et al., (2005)

Jones model

modified Jones model (return on asset,

ROA)

2-11 2-12

]/)[(ˆ)/1(ˆ1211 ttttt ARECREVANDA

)ˆ/(ˆ413 ttt ROAAPPE

(2-11)

tttt NDAATADA 1/ (2-12)

- 12 -

tNDA : t

1tA : t

tREV : t

tPPE : t

tREC : t

tROA : t

tDA : t

tTA : t

1̂ 2̂ 3̂ :

( ) (performance-matched approach)

Kothari et al., (2005)

Kothari et al., (2005) modified

Jones model

Ball and Brown (1968)

- 13 -

Ball and Brown (1968)

Beaver (1966)

Ball and Brown (1968)

,

1946 1965 261

(abnormal

performance index, API)

API

API API

Ball and Brown (1968)

(Scott, 2003)

(slope

coefficient) 2-13 2-14

- 14 -

2-15

ititit UECAR 10 (2-13)

T

t

itit ARCAR1

(2-14)

1, tiitit EEUE (2-15)

itCAR : i t

itAR : i t

itUE : i t

0 :

1 :

itE : i t

1, tiE : i t-1

Beaver et al., (1979) Ball and Brown (1968)

1965 1974 276 Ball and

Brown (1968)

25 Spearman

Freeman (1987) 1966 1982

- 15 -

t Wilcoxon

sign rank

(size effect)

Atisase (1985) 1969 1972 200

( )

(over-the-counter market, OTC)

(size effect)

Kormendi and Lipe (1987) 1947 1980 145

ERC

ARIMA (2, 1, 0)

Stronger and Walker (1993)

1971 1986 146

Collins, Maydew, and Weiss (1997) Ohlson (1995)

1953 1993 40

- 16 -

Collins et al.

1.

2. 3. 4.

Xie (2001) Jones model

1971 1992 7,506

Christensen, Smith, and Stuerke (2004) 1989 1992

41

(ERC)

ERC

Ghosh, Gu, and Jain (2005)

1980 2000 92,783

Defond et al., (2007) 1995 2002 53

53,197

- 17 -

Wilson (2008)

1997 2002

(1992)

71 79 67

603 ERC

ERC

ERC ERC

(2001) 85 88 135

ERC

- 18 -

ERC

ERC

ERC

(2005) 1981 2003

pooled cross-sectional distribution approach

1.

- 19 -

(mean-adjusted returns model) 2.

(market-adjusted returns model) 3. (market model)

4.GARCH ( 2000) :

( )

(ex ante)

: i t

2-16

1

11

1)ˆ(Tt

itit RT

RE (2-16)

)ˆ( itRE : i t

itR : i t

( )

mR

(

)

2-17

mtit RRE )ˆ( (2-17)

)ˆ( itRE : i t

itR : i t

( )

- 20 -

Markowitz , Sharpe

i t Rit

(ordinary leas suaremodel,

OLS) 2-18

2-19

itmtiit RR 1 (2-18)

itR : i t

mtR : t

1 : i

i : i

it : i t

mtiiit RRE )ˆ( (2-19)

)ˆ( itRE : i t

mtR : t

i : i

i : i

- 21 -

( )GARCH

Engel (1982)

autoregressive conditional heteroskedasticty estimation,

ARCH Bollerslev

(1986) (generalized

autoregressive conditional heteroscedasticity, GARCH)

ARCH

(GARCH)

GARCH(1,1) ARCH

GARCH (1, 1) 2-20 2-21

2-22

itmtiit RR 1 (2-20)

),0(~/ 1 ittit hN (2-21)

2

1,1,10 titiit rhh (2-22)

itR : i t

mtR : t

1 : i

i : i

- 22 -

it : i t

1t: t-1

ith : i t

- 23 -

(Ball and Brown, 1968; Defond et

al., 2007)

Choi and Salamon (1989)

(ERC)

Holthansen and Verrecchia (1998)

(noise)

Penman and Zhang (2002) 1975 1997

38,540

(1994) 1983 1992

(CAR)

ERC

( ) ERC

ERC

(2006)

2003 2004

- 24 -

(2008)

2002

2006

(2008) 1995 2006

12 Miller and

Modigliani(1996) Ohlson(1995)

- 25 -

(ERC)

,

- 26 -

Ball and Brown (1968)

(Beaver, Clarke, and Wright, 1979; Choi and Salamon,

1989; Holthansen and Verrecchia, 1998; 1994

2008)

(Watts and Zimmerman, 1978; Schipper, 1989;

Kothari et al., 2005; 2009) (2009)

?

(1994) 1983 1992

DeAngelo (1986)

(2008)

2002 2006

- 27 -

( )

?

H1

H2

2004 2008

(Taiwan Economic Journal, TEJ)

3,629 395

26 31

165 3,012

( DA > 0) (

- 28 -

DA < 0)

1,444 1,568

3,012

3-1

3,629

(395)

(26)

(31)

(165)

3,012

3-2

2004 257 (17.80%) 265 (16.90%) 522

2005 273 (18.91%) 307 (19.58%) 580

2006 285 (19.73%) 331 (21.11%) 616

2007 284 (19.67%) 350 (22.32%) 634

2008 345 (23.89%) 315 (20.09%) 660

1,444 (100%) 1,568 (100%) 3,012

- 29 -

(CAR)

(UE) (ADA)

(UE ADA)

(SG) (LEV) (OCF)

(IH) (MH) (NB) (SIZE)

(β)

(CAR)

(AR)

3-1 10

260 250

3-1 3-2

)ˆ( ititit RERAR (3-1)

t

t

itit ARCAR1

, (3-2)

:

itCAR : i t

itAR : i t

( ) (UE)

- 30 -

Stronger and Walker(1993)

(ERC)

3-3

1

1

it

ititit

TA

NINIUE (3-3)

itUE : i t

itNI : i t

1itNI : i t-1

1itTA : i t

( ) (ADA)

Kothari et al., (2005) modified

Jones model

( ) (UE ADA)

( ) (SG)

(2007)

( ) (LEV)

- 31 -

Dhaliwal (1991)

( ) (OCF)

(Becker et al., 1998; Dechow et al., 1995;)

( ) (IH)

( 2008)

(

1999)

( ) (MH)

Jenson and Meckling (1976)

( ) (NB)

( 2002)

( ) (SIZE)

- 32 -

ERC

(Atiase, 1985; Freeman, 1987)

( ) ( )

ERC (Collins and

Kothari, 1989)

- 33 -

3-3

CAR

UE

ADA Kothari et al. (2005)

Modified Jones Model

( )

UE ADA

UE ADA

SG

LEV

OCF

IH

MH

NB

SIZE

i

- 34 -

ERC

(Atiase, 1985; Collins, Kothari, and

Ryburn, 1987; Gelb and Zarowin, 2002) 3-4

3-4

ijijijijijijij LEVSGADAUEADAUECAR 543210

ijijijijij SIZENBMHIHOCF 109876

ijij 11

(3-4)

ijCAR : i j

ijUE : i j

ijADA : i j

ijij ADAUE : i j

ijSG : i j

ijLEV : i j

ijOCF : i j

ijIH : i j

ijMH : i j

ijNB : i j

SIZE : i j

ij : i j

- 35 -

ij : i j

- 36 -

4-1 4-2 4-1

4-2 Panel A

4-2 Panel B

( ) 2

6 (CAR_-2, 6) -2.000

1 6

(CAR_-1, 6) -1.886

(UE) 0.006

0.080

: (2008) (SG)

1.102 (LEV) 0.369

(COF) 0.088 (MH) (IH)

2.565(%) 33.589(%)

1.9

(SIZE)

15.010 ( ) 0.934

( )

- 37 -

4-1

(N=3,012)

Q1 Q2 Q3

CAR(-2,6) -1.886

9.572 -58.38 -6.588 -2.040 2.818 45.28

CAR(-1,6) -2.000 10.043 -62.78 -6.998 -2.210 2.965 49.97

UE 0.006 0.120 -0.66 -0.050 0.000 0.040 2.45

ADA 0.080 0.082 0.00 0.030 0.060 0.110 .81

SG 0.102 0.533 -1.00 -0.100 0.060 0.230 19.05

LEV 0.369 0.166 0.02 0.240 0.360 0.480 .98

OCF 0.088 0.138 -1.67 0.020

0.400

0.08 0.160 1.34

MH 2.565 3.154 0.00 0.400 1.420 3.660 27.81

IH 33.589 20.910 0.00 17.145 29.880 47.565 97.97

NB 1.898 1.514 0.00 0.000 2.000 3.000 7.00

SIZE 15.010 1.342 11.71 14.080 14.820 15.650 20.29

B 0.934 0.348 -1.11 0.710 0.940 1.160 3.29

CAR UE ADA ( ) UE×ADA

( ) SG LEV OCF

MH IH NB SIZE β

- 38 -

4-2

Panel A (N=1,444)

Q1 Q2 Q3

CAR(-2,6) -1.879 9.775 -54.76 -6.897 -2.073 0.861 45.28

CAR(-1,6) -2.001 10.198 -60.42 -7.133 -2.420 2.971 49.97

UE 0.012 0.136 -0.66 -0.042 0.004 0.047 2.45

ADA 0.0801 0.085 0.00 0.024 0.055 0.108 0.81

SG 0.110 0.679 -1.00 -0.105 0.045 0.230 19.05

LEV 0.377 0.16778 0.02 0.246 0.379 0.488 0.98

OCF 0.043 0.136 -1.67 -0.011 0.046 0.108 0.58

MH 2.616 3.288 0.00 0.410 1.440 3.645 27.75

IH 32.501 19.777 0.00 17.058 29.100 45.840 97.1

NB 1.858 1.523 0.00 0.000 2.000 3.000 7.00

SIZE 14.925 1.216 12.21 14.101 14.757 15.491 19.94

B 0.927 0.348 -1.11 0.709 0.934 1.140 3.29

Panel B (N=1,568)

Q1 Q2 Q3

CAR(-2,6) -1.892 9.384 -58.38 -6.377 -1.982 2.756 43.87

CAR(-1,6) -1.992 9.901 -62.78 -6.896 -2.051 2.966 47.47

UE -0.000 0.103 -0.64 -0.048 -0.002 0.041 0.60

ADA 0.080 0.078 0.00 0.028 0.057 0.105 0.72

SG 0.094 0.348 -1.00 -0.091 0.067 0.224 5.30

LEV 0.360 0.165 0.03 0.228 0.354 0.475 0.97

OCF 0.128 0.127 -0.35 0.049 0.119 0.193 1.34

MH 2.518 3.027 0.00 0.400 1.410 3.680 27.81

IH 34.591 21.860 0.23 17.213 31.080 49.580 97.97

NB 1.935 1.506 0.00 0.000 2.000 3.000 7.00

SIZE 15.089 1.444 11.71 14.066 14.893 15.781 20.29

B 0.940 0.349 -0.96 0.718 0.946 1.172 2.16

CAR UE ADA ( ) UE×ADA

( ) SG LEV OCF MH

IH NB SIZE β

- 39 -

4-3 4-4 Pearson 4-3

4-4

4-1 (UE)

(LEV) (COF) (MH)

(IH) (NB) (SIZE)

(CAR_-2, 6) (CAR_-1, 6)

(ADA)

(COF) (r=-2.66)

(SIZE)

(ADA) (r=-0.076)

- 40 -

4-3 Pearson

Panel A (N=3012)

CAR_-2, 6 CAR_-1, 6 UE ADA SG LEV OCF MH IH BN SIZE β

CAR_-2, 6 1

CAR_-1, 6 0.967** 1

UE 0.102** 0.104** 1

ADA -0.025 -0.021 0.109** 1

SG 0.004 0.004 0.242** 0.155** 1

LEV 0.057** 0.060** -0.018 -0.013 -0.086** 1

OCF 0.110** 0.114** 0.055* -0.266** -0.103** 0.134** 1

MH 0.037* 0.039* 0.054** 0.014 -0.009 0.071** 0.014 1

IH 0.053** 0.051** 0.074** 0.105** 0.108** 0.038* 0.184** -0.169** 1

NB 0.064** 0.064** 0.021 0.059** 0.042 -0.003 0.066** -0.025 0.189** 1

SIZE 0.061** 0.065** -0.006 -0.076** 0.085** -0.108** 0.102** -0.180** 0.422** 0.039 1

β 0.006 0.013 -0.034 -0.018 0.002 0.020 0.143** -0.128** 0.106** 0.028 0.400** 1

1. CAR UE ADA ( ) UE×ADA ( ) SG

LEV OCF MH IH NB SIZE β

2. ** 0.01 ( )

* 0.05 ( )

- 41 -

4-4 Pearson

(N=1,444 ) (N=1,568 )

CAR_-2, 6 CAR_-1, 6 UE DA SG LEV OCF MH IH BN SIZE β

CAR_-2, 6 1 0.967** 0.160** -0.072** 0.014 0.051* 0.142** 0.042 0.077** 0.044 0.088** 0.041

CAR_-1, 6 0.968** 1 0.163** -0.072** 0.001 0.053* 0.130** 0.047 0.077** 0.044 0.091** 0.045

UE 0.057* 0.057* 1 0.016 0.472** 0.025 0.246** 0.054* 0.117** -0.014 0.015 0.002

DA 0.022 0.029 0.181** 1 0.133** -0.003 0.290** 0.017 0.130** 0.067** -0.058* -0.002

SG -0.001 0.006 0.148** 0.176** 1 -0.111** 0.155** 0.018 0.174** 0.004 0.120** 0.091**

LEV 0.063* 0.067* -0.047 -0.022 -0.078** 1 0.232** 0.015 0.050* 0.009 -0.104** 0.014

OCF 0.119** 0.115** 0.116** 0.001 -0.018 0.174** 1 0.051* 0.242** 0.120** 0.126** 0.159**

MH 0.039 0.038 0.037 -0.006 -0.011 0.092** 0.014 1 -0.185** 0.056* -0.164** -0.090**

IH 0.025 0.021 0.042 0.079** 0.081** 0.026 0.106** -0.160** 1 0.109** 0.482** 0.118**

NB 0.063(*) 0.055* -0.024 0.043 0.021 -0.028 0.064* 0.098** 0.159** 1 -0.082** -0.027

SIZE 0.027 0.034 -0.021 -0.100** 0.077** -0.118** 0.042 -0.155** 0.334** -0.088** 1 0.421**

β -0.030 -0.020 -0.062* -0.034 -0.047 0.025 0.130** -0.117** 0.091** 0.014 0.375** 1

1. CAR UE ADA UE×ADA SG LEV

OCF MH IH NB SIZE β

2. ** 0.01 ( )

* 0.05 ( )

3.

4.

- 42 -

panel

data (CAR)

( )

3 (t=-3) 10 t=10)

(UE)

(ADA) (UE×ADA)

(SG) (LEV) (OCF)

(MH) (IH) (NB)

(SIZE) (β)

4-5 panel A

4-5 panelB

4-5 panelC

2

6 (CAR_-2, 6) 1 6 (CAR_-1, 6)

4-6

F

OLS (F=1.17, p=0.017) Hausman

(H=23.52, p=0.015)

(UE) (CAR_-2, 6)

( =10.059 p=0.003)

- 43 -

(Kormendi and Lipe, 1987 2005) (ADA)

(CAR_-2, 6) ( =9.892 p=0.055)

(UE ADA) (CAR_-2, 6) ( =-33.917

p=0.075 )

(OCF) (CAR_-2, 6)

( =9.417 p=0.003 )

(IH) (

=-0.169 p=0.000 )

- 44 -

4-5

Panel A p

(N=3,012) UE ADA UE×ADA

CAR_-0, 8 0.093 0.000 0.005 Fixed effects

CAR_0, 10 0.095 0.000 0.000 Fixed effects

CAR_-1, 6 0.028 0.028 0.016 Fixed effects

CAR_-1, 7 0.031 0.010 0.035 Fixed effects

CAR_-1, 8 0.022 0.001 0.019 Fixed effects

CAR_-1, 9 0.031 0.000 0.005 Fixed effects

CAR_-1, 10 0.025 0.000 0.003 Fixed effects

CAR_-2, 6 0.025 0.031 0.021 Fixed effects

CAR_-2, 7 0.027 0.012 0.039 Fixed effects

CAR_-2, 8 0.019 0.002 0.023 Fixed effects

CAR_-2, 9 0.027 0.000 0.007 Fixed effects

CAR_-2, 10 0.022 0.000 0.003 Fixed effects

Panel B

(N=1,444) UE ADA UE×ADA

CAR_-1, 6 0.005 0.044 0.103 Fixed effects

CAR_-2, 6 0.003 0.055 0.075 Fixed effects

CAR_-3, 6 0.000 0.026 0.020 Fixed effects

Panel B

(N=1,568) UE ADA UE×ADA

CAR_0, 6 0.059 0.004 0.000 Random effects

CAR_0, 7 0.071 0.009 0.000 Random effects

CAR_-1, 3 0.042 0.020 0.021 Random effects

CAR_-1, 4 0.026 0.010 0.011 Random effects

CAR_-1, 5 0.042 0.004 0.002 Random effects

CAR_-1, 6 0.012 0.002 0.000 Random effects

CAR_-1, 7 0.016 0.004 0.000 Random effects

CAR_-1, 8 0.045 0.006 0.000 Random effects

CAR_-1, 9 0.029 0.006 0.000 Random effects

CAR_-2, 6 0.032 0.000 0.000 Random effects

CAR_-2, 7 0.038 0.002 0.000 Random effects

CAR UE ADA UE×ADA

- 45 -

F

OLS (F=1.30, p=0.000) Hausman

(H=14.93, p=0.186)

(UE) (CAR_-2, 6)

( =7.564 p=0.032)

(Kormendi and Lipe, 1987 2005) (ADA)

(CAR_-2, 6) ( =-11.444 p=0.000 )

(UE×ADA) (CAR_-2, 6) ( =79.267

p=0.000)

(

=-2.555 p=0.002)

(

)

(OCF) (CAR_-2, 6)

( =7.833 p=0.000)

(MH)

( =0.145 p=0.099)

(NB)

( =0.294 p=0.094 )

- 46 -

( =0.610

p=0.010)

CAR_-1, 6 4-6 CAR_-2, 6

( =-29.846 p=1.104)

( =76.419 p=0.000)

CAR_-2, 6

- 47 -

CAR (-2, 6) CAR (-1, 6)

t p t p t p t p t p t p

constant -12.376 -3.736 0.000 -12.328 -3.873 0.000

UE 4.960 2.247 .0246 10.059 2.930 0.003 7.564 2.145 0.032 4.577 2.199 0. 028 9.310 2.812 0.005 8.449 2.514 0.012

ADA -5.983 -2.157 0.031 9.892 1.920 0.055 -11.444 -3.381 0.000 -5.809 -2.197 0.028 10.008 2.014 0.044 -10.111 -3.131 0.002

UE×ADA 30.459 2.315 0.021 -33.917 -1.784 0.075 79.267 3.733 0.000 30.097 2.400 0.016 -29.846 -1.628 0.104 76.419 3.774 0.000

SG -0.963 -2.392 0.017 -0.107 -0.217 0.828 -2.555 -3.091 0.002 -0.933 -2.433 0.015 0.051 0.107 0.915 -2.955 -3.749 0.000

LEV 0.122 1.199 0.231 0.080 0.454 0.650 0.070 0.723 0.469 0.125 1.290 0.197 0.089 0.524 0.600 0.080 0.858 0.391

OCF 2.212 1.227 0.220 9.417 3.010 0.003 7.833 3.413 0.000 2.104 1.225 0.221 10.113 3.353 0.000 6.094 2.778 0.006

MH -0.028 -0.190 0.850 0.182 0.720 0.472 0.145 1.649 0.099 0.021 0.146 0.884 0.135 0.556 0.578 0.164 1.948 0.051

IH -0.048 -2.007 0.045 -0.169 -4.082 0.000 0.008 0.555 0.579 -0.036 -1.571 0.116 -0.145 -3.617 0.000 0.009 0.672 0.502

BN 0.364 1.241 0.215 0.396 0.816 0.415 0.294 1.673 0.094 0.213 0.764 0.445 0.275 0.588 0.557 0.284 1.684 0.092

SIZE 1.196 1.468 0.142 1.829 1.382 0.167 0.610 2.584 0.010 0.721 0.950 0.342 1.864 1.460 0.144 0.604 2.667 0.008

β -2.004 -2.484 0.013 -2.161 -1.605 0.109 -0.172 -0.213 0.831 -1.676 -2.179 0.029 -1.644 -1.266 0.206 0.017 0.022 0.982

N 3,012 1,444 1,568 3,012 1,444 1,568

F(p) 1.37 (0.002) 1.17(0.017) 10.42(0.000) 1.37 (0.002) 1.14(0.038) 10.90(0.000

R2 0.295 0.483 0.072 0.295 0.478 0.075

Adj R2 0.080 0.07 0.065 0.080 0.059 0.068

Model Se-

lection Fixed effects Fixed effects Radom effects Fixed effects Fixed effects Radom effects

CAR UE ADA UE×ADA SG LEV

OCF MH IH NB SIZE β

- 48 -

2004 2008

Panel data

6

- 49 -

ERC

- 50 -

(1999)

(2007)

(2005)

(2005)

(2008)

(2002)

(2008)

(1992)

- 51 -

(2009)

(2002)

(1994)

(2001)

(2008)

Atiase, R. (1985). Predisclosure information, firm capitalization, and

security price behavior around earnings announcements. Jour-

nal of Accounting Research, 23(1), 21-36.

Ball, R., & Brown, P. (1968). An empirical evaluation of accounting

income numbers. Journal of Accounting Research, 6(2),

159-178.

- 52 -

Beaver, W., Clarke, W. H. R., & Wright, W. F. (1979). The

association between unsystematic security returns and the

magnitude of Earnings forecast errors. Journal of Accounting

Research, 17(2), 316-340.

Beaver, W. H. (1966). Financial ratio as predictors of failure. Journal

of Accounfting Research, 4(3), 71-111.

Becker, C., DeFond, M., Jiambalvo, J., & Subramanyam K. R. (1998).

The effect of audit quality on earnings management.

Contemporary Accounting Research, 15(1), 1-12.

Bollerslev, T. (1986). Generalized autoregressive conditional

heteroskedasticity. Journal of Economtric, 31(3), 307-327.

Cahan, S. F. (1992). The effect of antitrust investigation on

discretionary cruals: A refined test of the political cost

hypothesis. The Accounting Review, 67(3), 77-95.

Choi, S. K., & Salamon, G. (1989). External reporting and capital

assetprices. Advances in Quantitative Analysis of Finance and

Accounting, 3(Part A), 85-110.

Christensen, T. E., Smith, T. Q., & Stuerke, P. S. (2004). Public

predisclosure information, firm size, analyst following, and

market reactions to earnings announcements. Journal of

- 53 -

Business Finance and Accounting, 31(7), 951-984.

Collins, D. W., & Kothari, S. P. (1989). An analysis of inter emporia

and cross-sectional determinants of earning response

coefficients. Journal of Accounting and Economics, 11(pp. 2-3),

141-181.

Collins, D., Maydew, E., & Weiss, I. (1997). Changes in the

value-relevance of earnings and book values over the past forty

years. Journal of Accounting and Economics, 24(1), 39-67.

Davidson, S. D., Stickney, C., & Weil, R. (1987). Accounting: The

language of business (7th ed.).Sun Lakes, Arizona: Thomas

Horton and Daughter.

DeAngelo, L. (1986). Accounting numbers as market valuation

substitutes: A study of management buyouts of public

stockholders. The Accounting Review, 61(3), 400-420.

Dechow, P., Sloan, R., & Sweeney, A. (1995). Detecting earning

management. The Accounting Review, 70 (2), 193-225.

DeFond, M., Hung, M., & Trezevant, R. (2007). Investor protection

and the information content of annual earnings announcement:

International evidence. Journal of Accounting and Economics,

43(1), 37-67.

- 54 -

DeFond, M. L., & Jiambalvo, J. (1994). Debt violation and

manipulation of accruals. Journal of Accounting and Economics,

17(pp. 1-2), 145-176.

Dhaliwal, D. S., & Reynolds, S. S. (1994). The effect of the default

risk of debt on the earnings response coefficient. The

Accounting Review, 69(2), 412-420.

Engle, R. F. (1982). Autoregressive conditional heteroskedasticity

with estimates of the variance of the United Kingdom inflation.

Journal of Business and Economics Statistics, 9(1), 27-39.

Feltham, G., & Ohlson, J. (1995). Valuation and clean surplus

accounting for operating and financial activities. Contemporary

Accounting Research, 11(2), 689-731.

Freeman, R. (1987). The association between accounting earnings and

security returns for large and small firms. Journal of Accounting

and Economics, 9(2), 195-228.

Gelb, D. S., & Zarowin. P. (2002). Corporate disclosure policy and

the informativeness of stock price. Review of Accounting

Studies, 7(1), 33-52.

Ghosh, A., Gu, Z., & Jain. P. C. (2005). Sustained earnings and

revenue growth, earnings quality, and response coefficients.

Review of Accounting studies, 10(1), 33-57.

- 55 -

Guay, W. R., Kothari, S. P., & Watts, R. L. (1996). A market-based

evaluation of discretionary accrual models. Journal of

Accounting Research, 3 (Suppl. 2), 83-105.

Healy, P. M. (1985). The effect of bonus schemes on accounting

decision valuation model. Journal of Accounting and

Economics, 7(1-3), 85-107.

Healy, P. M., & Wahlen. J. M. (1999). A review of the earnings

management literature and its implications for standard setting.

Accounting Horizons, 13(4), 365-383.

Holthausen, R. W., &. Verrecchia, R. E. (1988). The effects of

sequential information releases on the variance of price changes

in an intertemporal multi-asset market. Journal of Accounting

Research, 26(1), 82-106.

Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm,

managerial behavior, agency costs and ownership structure.

Journal of Financial Economics, 3(4), 305-360.

Jones, J. J. (1991). Earnings management during import relief

investigation. Journal of Accounting Research, 29(2), 193-228.

Kormendi, R., & Lipe, R. (1987). Earnings innovations, earnings

persistence and stock returns. Journal of Business, 60(3), 323-

- 56 -

345.

Kothari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance

matched discretionary accrual measures. Journal of Accounting

and Economics, 39(1), 163-197.

Penman, S. H., & Zhang, X. J. (2002). Accounting conservatism, the

Quality of Earnings, and Stock Returns. The Accounting Review,

77 (2), 237-264.

Schipper, K. (1989). Commentary: Earnings management. Accounting

Horizons, 3(4), 91-102.

Scott, W. R. (2003). Financial Accounting Theory (3rd ed.). Toranto:

Person Education Canada.

Strong, N., & Walker, M. (1993). The explanatory power of earnings

and stock returns. The Accounting Review, 68(2), 385-399.

Sweeney, A. P. (1994). Debt-covenant violations and managers’

accounting responses. Journal of Accounting and Economics,

17(3), 281-308.

Watts, R. L., & Zimmerman, J. L. (1978). Towards a positive theory

of the determination of accounting standards. The Accounting

Review, 53(1), 52-77.

- 57 -

Wilson, W. (2008). An empirical analysis of the decline in the

information content of earnings follow restatement. The

Accounting Review, 83(2), 519-548.

Xie, H. (2001). The mispricing of abnormal accruals. The Accounting

Review, 76(3), 357-373.