2022 Fiscal Year Final Research Report
Reassessing the Usefulness of Accounting Information: An Empirical Analysis Using High-Frequency Data
| Project/Area Number |
20K02037
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07100:Accounting-related
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| Research Institution | Osaka University |
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Principal Investigator |
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| Project Period (FY) |
2020-04-01 – 2023-03-31
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| Keywords | ディスクロージャー / 高頻度取引 / 業績予想修正 / 決算発表 / 情報の非対称性 / PIN / 情報リスク / インサイダー取引 |
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| Outline of Final Research Achievements |
This study examines the economic consequences of accounting disclosure, employing a cutting-edge empirical accounting framework designed to accommodate the modern era of high-frequency trading. It signifies a substantial shift from the traditional daily-based analysis, adopting a meticulous, minute-by-minute approach. The main findings of my research are as follows:
(1) In light of the operation of the arrowhead, the assimilation of information stemming from revisions to management earnings forecasts has notably accelerated, thereby contributing to an enhancement of market efficiency.
(2) This study uncovered that before the modern era, when the velocity of trading had not reached current levels, information risk was a significant factor influencing stock prices. It has been substantiated that the arrowhead's operation substantially impacts the pricing effect associated with information risk.
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| Free Research Field |
財務会計
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| Academic Significance and Societal Importance of the Research Achievements |
ビッグデータと呼ぶのに相応しいティックデータを活用した会計研究を渉猟したところ，その多くの目的意識が分析スパンを短くすることだけに留まっており，また，ほとんどの研究では株価や出来高，ビッドアスクスプレッドという古くから利用されている指標しか利用しておらず，ビッグデータの一部しか活用できていないという実態が見えてきた．そこで本研究では，ティックデータを存分に活用した多様な研究を遂行し，会計情報が株価に織り込まれる過程を包括的に解明すると同時に，会計情報の潜在的有用性と実際的有用性の両方を高頻度取引時代に適合したフレームワークによって改めて検討した．
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