论坛主题：Does financial regulation uncertainty affect the mispricing of bank earnings?
We examine the impact of financial regulation policy uncertainty on the mispricing of earnings among banks, which are heavily regulated and strongly influenced by such policies. The tension underlying our study stems from two opposing effects. To the extent that economic uncertainty generated by the regulatory process can trigger opinion divergence (rational attention) among investors, it is expected to delay (accelerate) the share price responses to banks’ earnings announcements. Consistent with the dominance of the opinion divergence effect, we show that regulatory uncertainty, measured through a news-based index, positively relates to post-earnings-announcement drift, forecast error and dispersion among analysts, and idiosyncratic return volatility. Our identification strategy also confirms that these effects are stronger among banks that are more sensitive to the regulations, i.e., banks with lower capital adequacy. Although financial regulations seek to provide capital market stability, our evidence implies that regulatory uncertainty can invoke negative externalities on market information efficiency.
朱振梅，毕业于英国曼彻斯特大学，美国麻省理工学院访问学者，现任复旦大学管理学院会计学副教授，入选财政部全国学术类会计领军（后备）人才计划。研究方向为资本市场与会计和审计，信息披露和市场有效性等领域。近年来已在Journal of Accounting Research、British Accounting Review、International Review of Financial Analysis等本领域重要学术期刊发表论文数篇，其研究成果获2014 British Accounting Review的最佳论文。