Reexamination of the Decision Usefulness of Accounting Information: Empirical Analysis using High Frequency Data and Stock Ownership Data

2014 Fiscal Year Final Research Report

• Project/Area Number: 24530581
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Accounting
• Research Institution: Waseda University
• Principal Investigator: TAKEHARA Hitoshi 早稲田大学, 商学学術院, 教授 (70261782)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 情報開示 / マーケットマイクロストラクチャー / 利益調整行動 / 同族企業 / CSR / 資本コスト

Outline of Final Research Achievements

This project investigates how the accounting information is impounded into stock price and how it affects investors’ decision making. We use two market microstructure variables, the probability of information-based trades and the probability of symmetric order-flow shocks, both of them are estimated by using high frequency data. Then, we conduct several empirical studies and confirmed important findings. Most relevant results are as follows:
(1) The firms with lower information asymmetry and higher liquidity had a higher tendency to disclose their quarterly financial statements. Thus, the new disclosure requirement did not necessarily improve the information asymmetry and liquidity of firms. (2) Shares held by founding family is positively associated with information asymmetry, which may affects cost of equity. Family firms in Japan conduct more voluntary and timely disclosure for the sake of minority stockholders and increase leverage to reduce the level of WACC.

Free Research Field

会計学，　経営学