An empirical study of income smoothing behavior on reported earnings and their market reactions

在本研究中，我研究了关于盈余管理和市场反应的三个问题：(1)盈余持续性和市场对它的反应；(2)银行持有证券的证券（已实现和未实现）损益（SGL）补充信息的信息有用性；(3)政府对日本银行的股息支付限制导致的会计盈余管理自由裁量权(1)。我发现，通过将ARIMA过程应用于定价的报告收益，可以捕获收益的持续性；也就是说，更高的持久性在市场上是有利的。这一结果与之前在美国市场的研究结果一致。在日本和美国上市公司进行的几项研究表明，对西格里的补充披露在银行股票中得到了体现。然而，银行持有的证券中有相当一部分是股票，这可能意味着市场参与者能够从股票市场指数中做出合理的估计。实证结果支持这种可能性；一旦将市场指数纳入银行股价格模型，实现的西格里就失去了统计意义。在模型中加入市场指数也降低了未实现SGL的重要性，特别是对于证券投资组合与市场投资组合相似的货币中心银行。关于银行经理的自由裁量权，我研究了资本监管（股息指导方针）下股息支付政策激励的盈余管理。根据该方针，当期收益较低的银行将被强制增加收益，以保持一定的股息支付率。为了验证这一假设，我专门关注银行的应计和递延（A&D）作为自由裁量权的管理来源。实证检验支持这一预测。A&D行为与收入增加动机是一致的。此外，该准则暂停后，这种行为显著减少，这也表明盈余管理的存在。

In this study, I examine three issues regarding earnings management and the market reaction to it:(1) earnings persistence and market responses to it(2) information usefulness of supplemental information of security (realized and unrealized) gains and losses (SGL) on banks' holding securities(3) management discretion on accounting earnings induced by the governmental dividend payment restriction on Japanese banksAs for (1), I found that earnings persistence captured by applying ARIMA process to reported earnings in priced; that is, higher persistence is favorably valued in the market. This result is consistent with prior research in US market.Several studies both in Japanese and US markers show that supplemental disclosure on SGL is valued in banks' equities. However considerable portion of banks' holding securities consists of equities, this may implies that market participants are able to make reasonable estimation from stock market index. Empirical results support this possibility; once market index is included in the bank stock price model, realized SGL loses its statistical significance. Inclusion of market index in the model also reduces the significance of unrealized SGL, especially for money center banks whose security portfolio is similar to the market portfolio.With regard to bank managers' discretion, I examine earnings management motivated by dividend payment policy under the capital regulation (dividend guideline). Under this guideline, a bank with low current earnings is predicted to be forced income increasing discretion to keep stay with a certain level of dividend payout ratio. To test this hypothesis, I exclusively focus accruals and deferrals (A&D) of banks as management source of discretion. Empirical tests support this prediction. The behavior of A&D is consistent with income increasing motivation. Further, that behavior significantly diminishes after the suspension of the guideline, which also suggests the existence of earnings management.