Information Content of Exposed Accounts Manipulation, and the Impact of the Page Used in Conveying the News in Newspapers

Abstract

This paper investigates three main issues related to accounts manipulation: (a) information content of news of accounts manipulation, (b) correlation between the amounts mentioned in the news and ex post cumulative abnormal stock returns, and (c) association between fall in share prices and the page where the news of the act is inserted in newspapers. Accordingly, the paper hypothesizes that for firms exposed in accounts manipulation, (a) ex post cumulative abnormal returns are less than ex ante cumulative abnormal returns, (b) ex post cumulative abnormal returns are inversely correlated with the amount mentioned in the news, and (c) there is association between fall in share prices and the page where the news of accounts manipulation is inserted in a newspaper.

Archival data cover the period January 2000-June 2008, inclusive. They are analysed using multivariate data analysis techniques, paired samples tests, chi-square tests, and other econometric methods.

We document evidences that are consistent with the hypotheses.

Keywords: Accounts manipulation, event study, limited attention, efficient market , information content

JEL Classification: G12, G14, M40, M41