空气污染对地方重污染企业的股票收益率及盈余管理的影响
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摘要
雾霾等空气污染引发全社会的广泛关注。在这种压力下,空气污染对地方重污染企业的股票收益率的影响如何?地方重污染企业是否已经开展了盈余管理?影响幅度有多大?这种影响随时间有何变化?这类研究比较少见。本文采集了19个省2008-2016年间的空气污染数据、重污染企业的相关财务数据,检验雾霾等空气污染对重污染企业股票收益率及盈余管理的影响。结果发现:(1)当空气严重污染时(AQI=300),对股票收益率产生了显著的负面影响,且结果是稳健的;空气污染对股票收益率的负面影响存在着时间效应,2013年之后的负面影响开始显著起来。(2) 2008-2009年间,企业在断点API=100处和API=200处有向下做盈余管理的现象,在断点API=300处有向上做盈余管理的现象;2010-2012年间、2008-2012年间,企业在断点API=100、200、300处都有向下做盈余管理的现象;2015-2016年间,企业在各断点处不存在明显向下的盈余管理行为,尤其在断点AQI=300处,盈余管理为正值。本文对原因做了简要探讨,所得结论可以为政府监管部门、投资者和企业经营者提供参考。
Recent years has seen a significant increase of fog and haze occurrence in China, which has seriously affected the sustainable development of society, and has aroused wide public concern. Heavy polluters also face greater social pressure. Against this background, it is important to know what is the effect of air pollution on the stock returns of the heavily polluted enterprises listed in the city, and whether or not the polluters have the motivation to adopt downward earnings management? Such studies are relatively rare. In this paper, using Jones Model and multiple-cutoffs regression discontinuity to examine the impact of air pollution on the stock returns of the heavily polluted enterprises and the earnings management of local heavy polluters, we collected the air pollution index(API) data and relevant financial data of heavy polluters in 19 provinces from 2008 to 2016, and analyzed the stock returns and earnings management behavior of the heavy polluters of that period of time. The results showed that:(1) When the air is seriously polluted(AQI=300), had a negative impact on the stock returns, and the results are robust; the negative effects of air pollution on stock returns has a time effect, after 2013 between air pollution and stock returns are significantly related.(2) From 2008 to 2009, the enterprise resorted to the downward earnings management when API is exactly 100 and 200, however, the earnings management is upward when API is 300;(2) seen from the whole data in the period of 2010 to 2012 and 2008 to 2012, the enterprise exploited downward earnings management when API reaches 100, 200 and 300 respectively. At the end of the paper, the empirical results are discussed. The conclusions can provide empirical evidence for government regulators, stock market investors and business operators.
Recent years has seen a significant increase of fog and haze occurrence in China, which has seriously affected the sustainable development of society, and has aroused wide public concern. Heavy polluters also face greater social pressure. Against this background, it is important to know what is the effect of air pollution on the stock returns of the heavily polluted enterprises listed in the city, and whether or not the polluters have the motivation to adopt downward earnings management? Such studies are relatively rare. In this paper, using Jones Model and multiple-cutoffs regression discontinuity to examine the impact of air pollution on the stock returns of the heavily polluted enterprises and the earnings management of local heavy polluters, we collected the air pollution index(API) data and relevant financial data of heavy polluters in 19 provinces from 2008 to 2016, and analyzed the stock returns and earnings management behavior of the heavy polluters of that period of time. The results showed that:(1) When the air is seriously polluted(AQI=300), had a negative impact on the stock returns, and the results are robust; the negative effects of air pollution on stock returns has a time effect, after 2013 between air pollution and stock returns are significantly related.(2) From 2008 to 2009, the enterprise resorted to the downward earnings management when API is exactly 100 and 200, however, the earnings management is upward when API is 300;(2) seen from the whole data in the period of 2010 to 2012 and 2008 to 2012, the enterprise exploited downward earnings management when API reaches 100, 200 and 300 respectively. At the end of the paper, the empirical results are discussed. The conclusions can provide empirical evidence for government regulators, stock market investors and business operators.
引文
[1]郭永济,张谊浩.空气质量会影响股票市场吗?[J].金融研究,2016,(2):71-84.
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[10] Coates J, Herbert J. Endogenous steroids and financial risk taking on a London trading Floor[J].Proceedings of the National Academy of Sciences, 2008, 105(16):6167-6172.
[11] Hirshleifer D, Shumway T. Good day sunshine:Stock returns and the weather[J]. Journal of Finance,2003, 58(3):1009-1032.
[12]林树,俞乔,汤震宇等.中国投资者“热手效应”与“赌徒谬误”的实验研究[J].经济研究,2006, 8(2):56-69.
[13]陈圣飞,谢汪送,朱旭强.论适应性预期下中国投资者对股市主观概念的测定[J].经济理论与经济管理,2011(7):76-79.
[14]谭松涛,陈玉宇.投资经验能够改善股民的收益状况吗:基于股民交易记录数据的研究[J].经济研究,2012,(5):164-178.
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[16]杨炘,王小征,腾召学.中国股市个人与机构投资者的羊群效应[J].清华大学学报,2004, 12:1610-1614.
[17] Saunders E M. Stock prices and wall street weather[J]. American Economic Review, 1993, 83(5):1337-1345.
[18] Hirshleifer D, Shumway T. Good day sunshine:Stock returns and the weather[J]. Journal of Finance,2003, 58(3):1009-1032.
[19]刘运国,刘梦宁.雾霾影响了重污染企业盈余管理吗?—基于政治成本假说的考察[J].会计研究,2015,(3):79-101.
[20] Patten D M, Trompeter G. Corporate responses to political costs:An examination of the relation between environmental disclosure and earnings management[J]. Journal of Accounting&Public Policy, 2003, 22(1):83-94.
[21]孙烨,张硕.基于公共压力动机的我国上市公司环境信息披露的实证研究[J].公司治理评论,2009, 1(3):58-75.
[22]曾月明,刘佳佳.我国重污染企业政治成本,盈余管理与政府补助—基于“PM2.5爆表事件背景”[J].海南大学学报,2016, 34(2):43-50.
[23]王晓荷,田茂再.基于分层贝叶斯时空模型的雾霾天气过程计数分析[J].数理统计与管理,2017, 36(6):970-982.
[24]吴武清,万嘉澄.分析师跟踪和盈余管理:基于跟踪强度新指标的研究[J].数理统计与管理,2018, 37(1):83-95.
[25] Jones J J. Earnings management during import relief investigations[J]. Journal of Accounting Research, 1991,(2):193-228.
[26] Dechow P M, Sloan R G. Sweeney A P. Detecting earnings management[J]. The Accounting Review,1995, 70(2):193-225.
[27] Thistethwaite D L, Campbell D T. Regression discontinuity analysis:An alternative to the ex post factor experiment[J]. Journal of Educational Psychology, 1960, 51(6):309-317.
[28] Chen Y, Jin G Z, Kumar N, et al. Gaming in air pollution data?lessons from China[J]. Journal of Economic Analysis&Policy, 2012,(12):1-41.
[29] Almond D, Chen Y, et al. Winter heating or clean air? Unintended impacts of China's Huai River policy[J]. American Economic Review, 2009,(99):184-190.
[30] Currie J, Neidell M J, Schmieder J. Air pollution and infant health:Lessons from New Jersey[J].Journal of Health Economics, 2009,(28):688-703.
[31] Heutel G, Ruhm C J. Air pollution and procyclical mortality[R]. NBER working paper, 2013.
[32]席鹏辉,梁若冰.空气污染对地方环保投入的影响—基于多断点回归[J].统计研究.2015,32(9):76-83.
[33] Arnott R D, Kelso C M, et al. Forecasting factor returns an intriguing possibility[J]. Journal of Portfolio Management, 1989, 16(1):28-35.
[34]陈信元,张田余,陈冬华.预期股票收益的横截面多因素分析一来自中国证券市场的经验证据[J].金融研究,2001,(6):22-35.
[35] Fan J, Wong T J. Corporate ownership structure and the informativeness of accounting earning in East Asia[J]. Journal of Accounting and Economics, 2002,(33):401-425.
[36] Watts R L, Zimmerman T L. Positive Accounting Theory:A Ten Year Perspective[J]. The Accounting Review, 1990, 65(1):131-156.
[37]叶青,李增泉,李光青.富豪榜会影响企业会计信息质量吗?基于政治成本视角的考察[J].管理世界,2012,(1):104-120.
[38]刘运国,刘梦宁.雾霾影响了重污染企业盈余管理吗?基于政治成本假说的考察[J].会计研究,2015, 3:79-101.
[39] Hahn J, Todd P, Vander Klaauw W. Identification and estimation of treatment effects with a regression-discontinuity design[J]. Journal of Econometrica, 2001,(69):201-209.
[40] Brollo F, Perotti R, et al. The political resource curse[J]. The American Economic Review, 2013,103(5):1759-1796.
[41] Mccrary J. Manipulation of the running variable in the regression discontinuity design:A density test[J]. Journal of Econometrics, 2008, 142(2):698-714.
[42] Hu X, Li O Z, Lin Y. Particles, Pollutions and Prices[M]. Social Science Electronic Publishing, 2014.
[2] Oberndorfer U, Andreas Z. Environmentally oriented energy policy and stock returns:An empirical analysis[R]. ZEW working paper, 2006, No:06-079.
[3] Mulatu A, Gerlagh R, Dan R, et al. Environmental regulation and industry location in Europe[J].Environmental&Resource Economics, 2010, 45(4):459-479.
[4]傅帅雄,张可云,张文彬.环境规制与中国工业区域布局的污染天堂效应[J].山西财经大学学报,2011,(7):8-14.
[5] Kong D, Liu S, Dai Y. Environmental policy, company environment protection, and stock market performance:Evidence from China[J]. Corporate Social Responsibility and Environmental Management, 2012, 21(2):100-112.
[6] Thaler R H. Advances in Behavioral Finance[M]. Russell Sage Foundation, 1993.
[7] Daniel K, Hirshleifer D, Subrahmanyam A. Investor psychology and security market under-and overreactions[J]. Journal of Finance, 1998, 53(6):1839-1885.
[8] Bell I R, Baldwin C M, Schottenfeld R S. Psychological Sequelae of Hazardous Materials Exposures[M]. Clinical Environmental Health and Toxic Exposures, 2001.
[9] Nowakowicz-Debek B, Saba L, Bis-Wencel H. The effects of air pollutants on the cortisol and progesterone secretion in polar fox(Alopex lagopus)[J]. Scientifur, 2004, 28(3):218-221.
[10] Coates J, Herbert J. Endogenous steroids and financial risk taking on a London trading Floor[J].Proceedings of the National Academy of Sciences, 2008, 105(16):6167-6172.
[11] Hirshleifer D, Shumway T. Good day sunshine:Stock returns and the weather[J]. Journal of Finance,2003, 58(3):1009-1032.
[12]林树,俞乔,汤震宇等.中国投资者“热手效应”与“赌徒谬误”的实验研究[J].经济研究,2006, 8(2):56-69.
[13]陈圣飞,谢汪送,朱旭强.论适应性预期下中国投资者对股市主观概念的测定[J].经济理论与经济管理,2011(7):76-79.
[14]谭松涛,陈玉宇.投资经验能够改善股民的收益状况吗:基于股民交易记录数据的研究[J].经济研究,2012,(5):164-178.
[15] Banerjee A V. A simple model of herd behavior[J]. Quarterly Journal of Economics, 1992, 107(3):797-817.
[16]杨炘,王小征,腾召学.中国股市个人与机构投资者的羊群效应[J].清华大学学报,2004, 12:1610-1614.
[17] Saunders E M. Stock prices and wall street weather[J]. American Economic Review, 1993, 83(5):1337-1345.
[18] Hirshleifer D, Shumway T. Good day sunshine:Stock returns and the weather[J]. Journal of Finance,2003, 58(3):1009-1032.
[19]刘运国,刘梦宁.雾霾影响了重污染企业盈余管理吗?—基于政治成本假说的考察[J].会计研究,2015,(3):79-101.
[20] Patten D M, Trompeter G. Corporate responses to political costs:An examination of the relation between environmental disclosure and earnings management[J]. Journal of Accounting&Public Policy, 2003, 22(1):83-94.
[21]孙烨,张硕.基于公共压力动机的我国上市公司环境信息披露的实证研究[J].公司治理评论,2009, 1(3):58-75.
[22]曾月明,刘佳佳.我国重污染企业政治成本,盈余管理与政府补助—基于“PM2.5爆表事件背景”[J].海南大学学报,2016, 34(2):43-50.
[23]王晓荷,田茂再.基于分层贝叶斯时空模型的雾霾天气过程计数分析[J].数理统计与管理,2017, 36(6):970-982.
[24]吴武清,万嘉澄.分析师跟踪和盈余管理:基于跟踪强度新指标的研究[J].数理统计与管理,2018, 37(1):83-95.
[25] Jones J J. Earnings management during import relief investigations[J]. Journal of Accounting Research, 1991,(2):193-228.
[26] Dechow P M, Sloan R G. Sweeney A P. Detecting earnings management[J]. The Accounting Review,1995, 70(2):193-225.
[27] Thistethwaite D L, Campbell D T. Regression discontinuity analysis:An alternative to the ex post factor experiment[J]. Journal of Educational Psychology, 1960, 51(6):309-317.
[28] Chen Y, Jin G Z, Kumar N, et al. Gaming in air pollution data?lessons from China[J]. Journal of Economic Analysis&Policy, 2012,(12):1-41.
[29] Almond D, Chen Y, et al. Winter heating or clean air? Unintended impacts of China's Huai River policy[J]. American Economic Review, 2009,(99):184-190.
[30] Currie J, Neidell M J, Schmieder J. Air pollution and infant health:Lessons from New Jersey[J].Journal of Health Economics, 2009,(28):688-703.
[31] Heutel G, Ruhm C J. Air pollution and procyclical mortality[R]. NBER working paper, 2013.
[32]席鹏辉,梁若冰.空气污染对地方环保投入的影响—基于多断点回归[J].统计研究.2015,32(9):76-83.
[33] Arnott R D, Kelso C M, et al. Forecasting factor returns an intriguing possibility[J]. Journal of Portfolio Management, 1989, 16(1):28-35.
[34]陈信元,张田余,陈冬华.预期股票收益的横截面多因素分析一来自中国证券市场的经验证据[J].金融研究,2001,(6):22-35.
[35] Fan J, Wong T J. Corporate ownership structure and the informativeness of accounting earning in East Asia[J]. Journal of Accounting and Economics, 2002,(33):401-425.
[36] Watts R L, Zimmerman T L. Positive Accounting Theory:A Ten Year Perspective[J]. The Accounting Review, 1990, 65(1):131-156.
[37]叶青,李增泉,李光青.富豪榜会影响企业会计信息质量吗?基于政治成本视角的考察[J].管理世界,2012,(1):104-120.
[38]刘运国,刘梦宁.雾霾影响了重污染企业盈余管理吗?基于政治成本假说的考察[J].会计研究,2015, 3:79-101.
[39] Hahn J, Todd P, Vander Klaauw W. Identification and estimation of treatment effects with a regression-discontinuity design[J]. Journal of Econometrica, 2001,(69):201-209.
[40] Brollo F, Perotti R, et al. The political resource curse[J]. The American Economic Review, 2013,103(5):1759-1796.
[41] Mccrary J. Manipulation of the running variable in the regression discontinuity design:A density test[J]. Journal of Econometrics, 2008, 142(2):698-714.
[42] Hu X, Li O Z, Lin Y. Particles, Pollutions and Prices[M]. Social Science Electronic Publishing, 2014.