2021-2022學年“龍馬之星”博士生論壇（第三期）

時間：2021年11月6日   地點：騰訊會議

 

報告1

時間：9:00-10:00

報告：What can we learn about credit risk from debt valuation adjustments?

報告人：林雯（蘭卡斯特大學）

摘要： Motivated by the debate about the introduction of the fair value option for (financial) liabilities (FVOL) and the requirement to recognize and separately disclose in financial statements debt valuation adjustments (DVAs), this study explores what we can learn about a firm’s credit risk from DVAs. Using a sample of US bank holding companies that elect the FVOL, we show that DVAs generally cannot be explained by the same factors that explain contemporaneous changes in bank’s credit quality. We further find that DVAs can explain future changes in credit risk when the fair value of liabilities is based on managerial inputs (Level 3). Overall, our results suggest that managers have an information advantage in estimating credit risk and that DVAs provide inside information to the market.

報告人簡介：林雯博士現任英國蘭卡斯特大學會計學助理教授。2019年博士畢業于英國蘭卡斯特大學金融和會計專業。研究方向為銀行、結構化信用風險模型、資本市場、信息披露。研究論文接受發表于Review of Accounting Studies。講授财務報表分析，會計信息系統以及财務導論本科課程。

 

報告2

時間：10:00-11:00

報告：Post-Earnings Announcement Drift: An Event Study Analysis

報告人：周逸勳（羅格斯大學）

摘要：The documentation of post-earnings announcement drift (PEAD) by Ball and Brown (1968), has been extensively researched in the following 50 years. Perhaps the most widely cited explanation for this drift is a claim of investors’ under-reaction to the earnings announcement. However, most of the prior analyses look at PEAD from the perspective of trading strategy, that is, whether a buy and-hold strategy makes excess returns over a benchmark portfolio, most commonly, the market portfolio. This paper will look at the PEAD from an event study perspective, that is, to see if the realization of unexpected earnings (event), actually changes the returns process. My findings suggest that there is no post-earnings-announcement drift if this phenomenon is viewed as a systematic change in the returns process post-earnings announcement relative to the returns process in the pre-earnings announcement window for portfolios formed using SUE (standardized unexpected earnings) deciles on the date of the earnings announcement.

報告人簡介：周逸勳，羅格斯大學會計學博士研究生（2016-2022）；研究生畢業于羅格斯大學，獲計量金融學碩士學位；本科畢業于江南大學，獲經濟學學士學位。研究方向為異常收益的測量，盈餘公告效應。