Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247362 
Year of Publication: 
2020
Series/Report no.: 
IES Working Paper No. 40/2020
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
We examine how the publication of intentional financial crimes committed by listed firms is interpreted by financial markets, using a systematic and quantitative review of existing empirical studies. Specifically, we conduct a meta-regression analysis and investigate the extent and nature of the impact that the publication of financial misconducts exerts on stock returns. We survey 111 studies, published between 1978 and 2020, with a total of 439 estimates from event studies. Our key finding is that the average abnormal returns calculated from this empirical literature are affected by a negative publication selection bias. Still, after controlling for this bias, our meta-analysis indicates that publications of financial crimes are followed by statistically significant negative abnormal returns, which suggests the existence of an informational effect. Finally, the MRA results demonstrate that crimes committed in common law countries, alleged crimes, and accounting crimes carry particularly weighty information for market participants. The results call for more transparency on side of enforcers along enforcement procedures, to foster timely and proportionate market reactions and support efficient markets.
Subjects: 
Meta-Analysis
Event study
Financial Misconduct
Fraud
Financial Markets
Information and Market Efficiency
Returns
Listed Companies
JEL: 
C83
G14
G18
K42
N24
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.