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英文文献：Loss aversion and the zero-earnings discontinuity
英文文献作者：Leonidas Enrique de la Rosa,Nikolaj Kirkeby Niebuhr
英文文献摘要：
Prior literature suggests that the zero-earnings discontinuity is caused by earnings management. This makes sense if investors are na?ve. We test for the possibility of investor na?veté and find that they are aware of firms performing earnings management around zero reported earnings and that there is no ob-vious gain of reaching zero reported earnings. We extend a signaling model to include loss-averse investors and we find that earnings management is not only rational, but in equilibrium, it is not possible for investors to deduce the correct value of firms’ earnings around the discontinuity. Assuming our model gen-erates the observed data, a loss-aversion coefficient of 1.2595 matches the discontinuity below zero reported earnings observed in the data simulated from the model and in the actual data. This loss-aversion coefficient is consistent with Tversky and Kahneman (1992), who find that losses are weighted roughly twice as heavily as gains.
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