Capital Market Effects of Mandatory IFRS Reporting in the EU: Empirical Evidence
Capital Market Effects of Mandatory IFRS Reporting in the EU: Empirical Evidence
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DOI：
10.2139/ssrn.1511671
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发表时间：
2007-10
期刊：
影响因子：
--
通讯作者：
Luzi Hail;C. Leuz
中科院分区：
文献类型：
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作者：
Luzi Hail;C. Leuz
本报告回顾了2005年欧盟成员国强制采用国际财务报告准则的相关学术文献，并对相关资本市场效应进行了实证分析。在实证分析中，我们关注的是对企业资本成本和市场流动性的影响。更具体地说，我们分析了强制性国际财务报告准则报告对权益资本隐含成本、买卖价差百分比、交易价格影响和零回报日频率的影响。该分析为欧盟强制性国际财务报告准则报告对资本市场的影响提供了一幅复杂的图景。对于强制性国际财务报告准则期间，我们发现一些证据表明，所有根据国际财务报告准则报告的公司和2005年首次采用国际财务报告准则的公司（相对于非国际财务报告准则公司）的资本成本较低。这些影响的幅度很小，并且取决于基准样本的选择。然而，在采用国际财务报告准则之前，市场的预期效应可能削弱了结果。流动性代理提供了更强的结果，在不同的基准上都是稳健的。特别是，交易的价格影响和零回报日的频率的调查结果表明，在国际财务报告准则报告成为强制性之后，市场流动性有所改善。买卖价差的结果指向相同的方向，但较弱。当我们引入企业固定效应时，所有三个流动性代理的结果都具有统计学意义。然而，我们谨慎地将所观察到的影响完全或甚至主要归因于采用国际财务报告准则本身。最近，许多欧盟国家已经改变了他们的执法（和治理）制度，这可能在我们的研究结果中发挥重要作用。
This report provides a review of the academic literature relevant to the mandatory adoption of IFRS reporting for member countries of the European Union in 2005 and an empirical analysis of the associated capital-market effects. In the empirical analysis, we focus on the effects on firms' costs of capital and market liquidity. More specifically, we analyze the effect of mandated IFRS reporting on the implied cost of equity capital, percentage bid-ask spreads, the price impact of trades and the frequency of zero-return days. The analysis provides a mixed picture for the capital-market effects of mandatory IFRS reporting in the EU. For the mandatory IFRS period, we find some evidence that the cost of capital is lower for all firms reporting under IFRS and for those that adopted IFRS for the first time in 2005 (relative to non-IFRS firms). The effects are small in magnitude and depend on the choice of benchmark sample. However, it is possible that the results are weakened by anticipation effects in markets ahead of IFRS adoption. The liquidity proxies provide stronger results that are robust across different benchmarks. In particular, the findings for the price impact of trades and for the frequency of zero-return days suggest improvements in market liquidity after IFRS reporting becomes mandatory. The results for the bid-ask spreads point in the same direction, but are weaker. The results for all three liquidity proxies become statistically significant when we introduce firm-fixed effects. However, we caution to attribute the observed effects solely or even primarily to the adoption of IFRS itself. Recently many EU countries have changed their enforcement (and governance) regimes, which could play an important role in our findings.