We contribute to auditing literature by examining trading behavior of mutual and pension funds around first‐time going concern modified opinions (GCMO). We find that mutual funds are significant net sellers of GCMO firms in the period before the GCMO announcement and then decrease their net selling at the GCMO announcement. In contrast, pension funds appear to be less active net sellers in the pre‐GCMO period and then significantly increase their net selling as an immediate response to the GCMO announcement, and then reduce their net selling in the post‐GCMO period. Our net selling results are robust to a battery of additional tests, including alternative specifications of the GCMO event window, using an extended pre‐GCMO benchmark period, controlling for 8‐K and earnings announcements, excluding subsequently bankrupt firms and using change variables in our models. In additional analyses, we find that overall trading volume increases for both mutual and pension funds at the GCMO announcement. Our examination of trading behavior provides initial evidence on differences between these two groups of institutional investors in their trading response to first‐time GCMOs, and enables us to provide a more robust assessment of the information content of GCMOs for these different groups of sophisticated market participants.

中文翻译：

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围绕审计师持续关注的机构投资者交易的修改意见：共同基金和养老基金的分析

我们通过围绕首次关注持续改进意见（GCMO）审查共同基金和养老基金的交易行为，为审核文献做出了贡献。我们发现共同基金在GCMO公告之前的时期内是GCMO公司的重要净卖方，然后在GCMO公告中减少了它们的净卖方。相比之下，养老金基金在GCMO之前的时期似乎不是活跃的净卖家，然后作为对GCMO公告的立即响应，大大增加了其净出售额，然后在GCMO之后的时期减少了净出售额。我们的净销售结果对一系列附加测试（包括GCMO事件窗口的替代规格），使用GCMO之前的基准测试期进行了扩展，控制8-K和收益公告，排除随后破产的公司，并在我们的模型中使用变更变量。在其他分析中，我们发现，在GCMO公告中，共同基金和养老金的整体交易量均有所增加。我们对交易行为的检查为这两组机构投资者在对首次GCMO的交易反应中的差异提供了初步证据，并使我们能够针对这些不同的成熟市场参与者组提供更可靠的GCMO信息内容评估。 。