ID JJF00296 Earnings management and market timing: The case of Japanese management buyouts Yasutomo Tsukioka 2-16 Japan Journal of Finance Vol.

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2-16 Japan Journal of Finance 331.2 Vol.33 / No. 1.2. 201312 Dec.

1 ID JJF00296 Earnings management and market timing: The case of Japanese management buyouts Yasutomo Tsukioka 2-16 Japan Journal of Finance Vol.33 / No Dec Japan Finance Association ISSN

2 33 12 MBO MBO MBO MBO MBO MBO MBO MBO MBO MBO MBO MBO * ( ) 2 35 ( ) ( ) ( ) 2

3 DeAngelo MBO total accruals MBO Wu 1997Jones 1991 Jones MBO 87 MBO DeAngelo 1986 MBO Fisher and Louis MBO 138 MBO MBO MBO MBO Dechow et al Roychowdhury 2006 Cohen and Zarowin MBO MBO 2011 MBO 2005 MBO MBO MBO MBO MBO MBO MBO 1 MBO Smith 1990Kaplan 1989 Ofek 1994 MBO MBO 3

4 33 12 MBO MBO MBO MBO MBO Jones MBO Wu, 1997; Perry and Williams, 1994; Fisher and Louis, 2008;, 2008MBO IPO Cohen and Zarowin,2010; Wongsunwai, Graham et al MBO IPO IPO 3 IPO MBO MBO 3 2 Wongsunwai (2013) IPO IPO 3 IPO Schultz (2003) (2009) Baker and Wurgler (2002) Alti (2006) DeAngelo et al. (2010) 4

5 MBO MBO 4 MBO 2 MBO Dechow et al Kothari et al Kothari et al Kasznik TA i,t 1 SALES = k 0 + k 1 + k i,t AR i,t 2 + k Assets 3 i,t-1 CFO + k i,t 4 + ε Assets i,t i,t-1 PPE i,t Roychowdhury 2006 CFO PROD DISX ACFO APROD ADISX CFO i,t = 1 SALES k 0 + k 1 + k i,t 2 + k 3 Assetsi,t-1 SALES i,t + ε i,t Jones Dechow et al. (1995) 6 (2009) 5

6 33 12 PROD i,t 1 SALES i,t SALES i,t = k 0 + k 1 + k 2 + k 3 + k 4 SALES i,t-1 + ε i,t DISX i,t 1 = k Assets 0 + k 1 + k 2 Assetsi,t-1 i,t-1 SALES i,t-1 + ε i,t i = i t = TA = CFO = PROD = + DISX = SALES = AR = PPE = 7 Assets = 1 2 MBO MBO EM ACFOAPROD ADISX Kothari et al SIZE DEBT BTM OWN FIN

7 33 12 EM i,t = α+β 1 D_MBO i +β 2 SIZE i,t 1 +β 3 DEBT i,t 1 +β 4 BTM i,t 1 +β 5 OWN i,t 1 +β 6 FIN i,t 1 +ε i,t MBO MBO 1 0 D_MBO5 D_MBO MBO D_MBO D_MBO 1 MBO MBO PROD APROD D_MBO 2 MBO MBO DISX ADISX D_MBO CFO PROD DISX ACFO D_MBO 3 10 D_MBO MBO MBO 250 MBO BHAR BTMOWN FIN 12 D_MBO i =α+β 1 i,t +β 2 ACFO i,t +β 3 APROD i,t +β 4 ADISX i,t +β 5 BHAR i, +β 6 BTM i,t +β 7 OWN i,t +β 8 FIN i,t +ε i,t 10 DeAngelo et al. (2010) MBO MBO 11BHAR BHAR i,τ = τ 1+R i,t τ 1+ER i,t t=1 R i,t i t E (R i,t ) TOPIX E (R i,t ) JASDAQ INDEX 12 (2011) BTM BTM t=1 7

8 33 12 MBO 3 1 M&A MARR 2011MARR 2012 MBO 13 2 NEEDS Financial QUEST MBO 14 3 eol MBO MBO MBO MBO MBO MBO MBO 34 1 MBO MBO 16 MBO MBO MBO 10 MBO MBO TOPIX JASDAQ INDEX (2010)

9 33 12 MBO BHAR MBO BHAR MBO 2 MBO3 MBO MBO A B 3 SIZE FIN 17 ****** 16 6 MBO 3 12 MBO 9 9

10 ****** 17 SIZE FIN 0.6

11 MBO D_MBO D_MBO 19 MBO 1 MBO ACFOAPROD ADISX 1 ACFO D_MBO 2 APROD D_MBO 3 ADISX D_MBO MBO 2 Zang 2012 MBO Zang MBO D_MBO 11

12 33 12 EM i,t = α+β 1 D_MBO i +β 2 SIZE i,t 1 +β 3 DEBT i,t 1 +β 4 BTM i,t 1 +β 5 OWN i,t 1 +β 6 FIN i,t 1 +ε i,t ****** MBO 3 5 MBO 1 0 D_ MBO MBO MBO 250 MBO BHAR 20 BHAR BTM OWN FIN 20 1% winsorize BHAR MBO

13 33 12 D_MBO i = α + β 1 i,t + β 2 ACFO i,t + β 3 APROD i,t + β 4 ADISX i,t + β 5 BHAR i, + β 6 BTM i,t + β 7 OWN i,t + β 8 FIN i,t + ε i,t BTM MBO 3 MBO MBO MBO 2 1 MBO MBO MBO 13

14 33 12 MBO MBO BHAR 2 MBO MBO MBO MBO MBO MBO MBO MBO IT [1] 2010,,, Vol.1918, 4-17 [2] 2008,,, [3] 2008,,, Vol.46, No.5, [4] 2009, IPO V,, Vol.47, No.2, [5] 2011,,, Vol.46, [6] 2009,,, Vol.69, No.4, [7] 2011,,, Vol.19, No.1, [8] 2011,,, Vol.30, No.1-2, 2-17 [9] Alti, A. 2006, How Persistent Is the Impact of Market Timing on Capital Structure?,The Journal of Finance, Vol.61, No.4, pp [10] Baker, M., and J. Wurgler 2002, Market Timing and Capital Structure,The Journal of Finance, Vol.57, No.1, pp [11] Cohen, D. A., and P. Zarowin 2010, Accrual-Based and Real Earnings Management Activities 14

15 33 12 around Seasoned Equity Offerings,Journal of Accounting and Economics, Vol.50, No.1, pp [12] DeAngelo, H., L. E. DeAngelo and R. M. Stulz 2010, Seasoned Equity Offerings, Market Timing, and the Corporate Lifecycle,Journal of Financial Economics, Vol.95, No.3, pp [13] DeAngelo, L. E. 1986, Accounting Numbers as Market Valuation Substitutes: A Study of Management Buyouts of Public Stockholders,The Accounting Review, Vol.61, No.3, pp [14] Dechow, P. M., R. G. Sloan and A. P. Sweeney 1995, Detecting Earnings Management,The Accounting Review, Vol.70, No.2, pp [15] Dechow, P. M., S. P. Kothari and R. L. Watts 1998, The Relation between Earnings and Cash Flows,Journal of Accounting and Economics, Vol.25, No.2, pp [16] Fisher, P. E., and H. Louis 2008, Financial Reporting and Conflicting Managerial Incentives: the Case of Management Buyouts,Management Science, Vol.54, No.10, pp [17] Graham, J. R., C. R. Harvey and S. Rajgopal 2005, The Economic Implications of Corporate Financial Reporting,Journal of Accounting and Economics, Vol.40, No.1-3, pp [18] Jones, J. J. 1991, Earnings Management during Import Relief Investigations,Journal of Accounting Research, Vol.29, No.2, pp [19] Kaplan, S. 1989, The Effects of Management Buyouts on Operating Performance and Value, Journal of Financial Economics, Vol.24, No.2, pp [20] Kasznik, R. 1999, On the Association between Voluntary Disclosure and Earnings Management, Journal of Accounting Research, Vol.37, No.1, pp [21] Kothari, S. P., A. J. Leone and C. E. Wasley 2005, Performance Matched Discretionary Accrual Measures,Journal of Accounting and Economics, Vol.39, No.1, pp [22] Lie, E. 2001, Detecting Abnormal Operating Performance: Revisited,Financial Management, Vol.30, No.2, pp [23] Ofek, E. 1994, Efficiency Gains in Unsuccessful Management Buyouts,The Journal of Finance, Vol.49, No.2, pp [24] Perry, S. E., and T. H. Williams 1994, Earnings Management Preceding Management Buyout Offers,Journal of Accounting and Economics, Vol.18, No.2, pp [25] Roychowdhury, S. 2006, Earnings Management through Real Activities Manipulation,Journal of Accounting and Economics, Vol.42, No.3, pp [26] Schultz, P. 2003, Pseudo Market Timing and the Long-Run Underperformance of IPOs, The Journal of Finance, Vol.58, No.2, pp [27] Smith, A. J. 1990, Corporate Ownership Structure and Performance: the Case of Management Buyouts,Journal of Financial Economics, Vol.27, No.1, pp [28] White, H. 1980, A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,Econometrica, Vol.48, No.4, pp [29] Wongsunwai, W. 2013, The Effect of External Monitoring on Accrual-Based and Real Earnings Management: Evidence from Venture-Backed Initial Public Offerings,Contemporary Accounting Research, Vol.30, No.1, pp [30] Wu, Y. W. 1997, Management Buyouts and Earnings Management,Journal of Accounting, 15

16 33 12 Auditing and Finance, Vol.12, No.4, pp [31] Zang, A. Y. 2012, Evidence on the Trade-Off between Real Activities Manipulation and Accrual- Based Earnings Management,The Accounting Review, Vol.87, No.2, pp

わが国企業による資金調達方法の選択問題

わが国企業による資金調達方法の選択問題 * takeshi.shimatani@boj.or.jp ** kawai@ml.me.titech.ac.jp *** naohiko.baba@boj.or.jp No.05-J-3 2005 3 103-8660 30 No.05-J-3 2005 3 1990 * E-mailtakeshi.shimatani@boj.or.jp ** E-mailkawai@ml.me.titech.ac.jp