دانلود رایگان مقاله ریسک عدم تنوع سیستم گزارشگری مالی

Abstract

Zhang (2013) proposes a theoretical model to argue that financial reporting system is a non-diversifiable risk for investors. However, there is little empirical evidence to support this argument. We use German data to empirically test the validity of Zhang's (2013) argument. Our results show that investors would require systematic premiums on the non-diversifiable risks related to financial reporting systems, and the findings are consistent with the argument of Zhang (2013). Furthermore, this study compares International Financial Reporting Standards (IFRS), German Generally Accepted Accounting Principles (German GAAP), and U.S. Generally Accepted Accounting Principles (U.S. GAAP) from the perspective of systematic risk. Our results show that firms that switched their accounting systems from German GAAP or U.S. GAAP to IFRS experience significant declines in the premiums on non-diversifiable accounting risk and costs of capital after adopting IFRS. The findings suggest that the systematic risk of IFRS is perceived to be lower than the systematic risks of German GAAP and U.S. GAAP. Moreover, we also find that firms with high accounting sensitivities before adopting IFRS have benefited more from adopting IFRS in the form of reduced premiums on systematic accounting risk and cost of capital than firms that had low accounting sensitivities before adopting IFRS.

5. Conclusion

Zhang (2013) proposes a theoretical model to argue that accounting standards serve as a source of systematic risk for investors. However, there is little empirical evidence to support this argument. Therefore, one of the purposes of our study is to empirically test whether investors perceive financial reporting system to be a non-diversifiable risk factor. German stock markets provide a unique setting for our research because German listed firms were allowed to designate IFRS, German GAAP, or U.S. GAAP as their financial reporting system. This feature facilitates distinguishing systematic accounting risk from market risk. Motivated by Arbitrage Pricing Theory and Fama and French (1993), we construct three variables to capture the additional premiums on the non-diversifiable risks associated with German GAAP and U.S. GAAP and test the explanatory power of the three variables for the expected portfolio returns. Our results show that investors would require systematic premiums on the non-diversifiable risks related to financial reporting systems, and these findings are consistent with Zhang's (2013) argument. After having identified the premiums on the systematic risks of German GAAP and U.S. GAAP, we then compare IFRS, German GAAP, and U.S. GAAP with respect to systematic accounting risk. In our sample, 106 firms switched their accounting system from German GAAP to IFRS, and 29 firms changed from U.S. GAAP to IFRS. We conduct tests on the 135 firms to identify whether the firms' sensitivities to nondiversifiable accounting risk and their cost of capital significantly decline after adopting IFRS. Our results show that the 135 firms experience significant declines in their accounting sensitivities and cost of capital after adopting IFRS, suggesting that the risk of IFRS is lower than the risk of German GAAP and U.S. GAAP. Furthermore, we find that the declines in the accounting sensitivities and cost of capital of firms that have high accounting sensitivities before adopting IFRS are larger than the declines of firms with low accounting sensitivities before adopting IFRS. The results imply that firms with high accounting sensitivities before adopting IFRS benefited more from adopting IFRS, in the form of a reduced cost of capital, than do the firms with low accounting sensitivities.