ID JJF00296 Earnings management and market timing: The case of Japanese management buyouts Yasutomo Tsukioka 2-16 Japan Journal of Finance 331.2 Vol.33 / No. 1.2. 201312 Dec. 2013 Japan Finance Association ISSN 2186-3792
33 12 MBO MBO MBO MBO MBO MBO MBO MBO MBO MBO MBO MBO * ( ) 2 35 ( ) ( ) ( 246221) 2
33 12 1 DeAngelo 1986 1973 1982 MBO total accruals MBO Wu 1997Jones 1991 Jones 1980 1987 MBO 87 MBO DeAngelo 1986 MBO Fisher and Louis 20081985 2005 MBO 138 MBO 2008 2003 4 2007 3 MBO MBO MBO Dechow et al. 1998 Roychowdhury 2006 Cohen and Zarowin 20101987 2006 2011 2009 MBO 2010 2011 2010 20 9 12 MBO 2011 MBO 2005 MBO 2006 10 MBO 2011 21 MBO MBO 2005 2011 MBO MBO MBO 1 MBO Smith 1990Kaplan 1989 Ofek 1994 MBO MBO 3
33 12 MBO MBO MBO MBO 2 3 4 MBO Jones MBO Wu, 1997; Perry and Williams, 1994; Fisher and Louis, 2008;, 2008MBO IPO Cohen and Zarowin,2010; Wongsunwai, 2013 2 Graham et al. 2005 2008 2 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
33 12 1 MBO MBO 4 MBO 2 MBO Dechow et al. 1995 Kothari et al. 2005 Kothari et al. 2005 Kasznik 1999 5 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 2 4 6 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 4 3 5 Jones Dechow et al. (1995) 6 (2009) 5
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. 2005 8 2011 SIZE DEBT BTM OWN FIN 9 7 8 9 6
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 250 11 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
33 12 MBO 3 1 M&A 1985-2007MARR 2011MARR 2012 MBO 13 2 NEEDS Financial QUEST MBO 14 3 eol MBO 2005 2011 MBO 1 2 3 MBO 4 3 54 2005 2011 2008 9 15 MBO MBO 2 15 2008 9 15 MBO 20 2008 9 15 MBO 34 1 MBO MBO 16 MBO MBO MBO 10 MBO 13 2008 2009 21 MBO 14 15 TOPIX JASDAQ INDEX 2007 2006 2007 (2010) 20 9 12 2008 9 11 2 8
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
33 12 10 ****** 17 SIZE FIN 0.6
33 12 4 1 2 5 18 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 2012 18 1 0 19 1 MBO D_MBO 11
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 300 200 120 60 12
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
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33 12 Auditing and Finance, Vol.12, No.4, pp.373-389. [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.675-703. 16