Investor reaction to the information content of audit report for Tunisian companies: abnormal returns and abnormal liquidity

In response to recent corporate scandals, the economic and legislative orientations tend to strengthen the audit control. The new laws on an international level (Sarbanes-Oxley Act of 2002) and national (law 2005 relating to the financial security) which, among other things, reinforced the role and the responsibility for the external audits. This assumption implicit is that the auditor's opinion provides investors with value-relevant information. We examine 15-day returns following disclosure of qualified audit opinions in the Tunisian stock market. We find no evidence of significant negative abnormal returns associated with qualified audit opinions. In order to refine this first result, we analyse the liquidity following the date of the audit report publication. We are able to document a significant market reaction associated with qualified audit opinions. We find evidence a significant negative abnormal liquidity associated with qualified audit opinions. Our results show that qualified audit opinions do not have information value for investors, using the abnormal return as a measure of the market reaction. However, our empirical results support our second hypotheses that the qualified audit opinion provides financial statement users with value-relevant information and negatively associated with abnormal liquidity.