We decompose the total value loss around firms’ announcements of financial restatements into components arising from investors’ revisions in cash flows and discount rates. First, relative to population benchmarks, restatements represent circumstances in which the cash flow component becomes more important in explaining valuations. While we find significant contributions from both sources, with the cash flow component explaining more than 33% of the variation in stock returns surrounding restatement announcements, this component explains only 13% to 22% in comparable non-restating firms. When restatements are caused by underlying financial fraud, the discount rate impact becomes more important, explaining about 88% of return variation. On the contrary, the cash flow impact is relatively larger for firms with higher earnings persistence or restatements associated with errors. Our decomposition of the value loss helps explain returns in the post-announcement period. Firms with a higher relative discount rate impact experience a significant downward stock price drift after the initial announcement-related price decline. For firms with a higher relative cash flow impact, the evidence suggests the initial impact of the restatement announcement is more complete with no subsequent drift pattern. Our findings close gaps in the evidence on financial restatements and extend the literature on the drivers of stock price movements.

我们将公司发布的财务重报公告前后的总价值损失分解为因投资者对现金流量和折现率的调整而产生的部分。首先，相对于人口基准，重述代表了现金流量部分在解释估值中变得更加重要的情况。虽然我们发现这两种来源都做出了重大贡献，但现金流量部分解释了重编公告中超过33％的股票收益变化，而该部分解释了可比的非重述公司中只有13％至22％。当重述是由潜在的财务欺诈引起的时，折现率的影响就变得更加重要，可以解释大约88％的收益变化。相反，对于具有较高收益持久性或与错误相关的重述的公司，现金流量的影响相对较大。我们对价值损失的分解有助于解释公告后期间的收益。在初始公告相关的价格下跌之后，具有较高相对折现率影响的公司的股价将出现大幅下跌。对于相对现金流量影响较大的公司，有证据表明，重述公告的初始影响更为完整，没有后续的漂移模式。我们的发现弥合了有关财务重述证据的空白，并扩展了有关股价变动动因的文献。在初始公告相关的价格下跌之后，具有较高相对折现率影响的公司的股价将出现大幅下跌。对于相对现金流量影响较大的公司，有证据表明，重述公告的初始影响更为完整，没有后续的漂移模式。我们的发现弥合了有关财务重述证据的空白，并扩展了有关股价变动动因的文献。在初始公告相关的价格下跌之后，具有较高相对折现率影响的公司的股价将出现大幅下跌。对于相对现金流量影响较大的公司，有证据表明，重述公告的初始影响更为完整，没有后续的漂移模式。我们的发现弥合了有关财务重述证据的空白，并扩展了有关股价变动动因的文献。