会计稳健性抑制卖空了吗?——基于企业风险和会计稳健性时序特征的分析
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摘要
会计稳健性会及时披露企业负面消息,这种特性会抑制股价高估,减少融券卖空行为。以我国2010—2016年A股市场所有融资融券标的公司为样本,分析了公司会计稳健性水平对融券卖空程度的影响。研究发现,会计稳健性水平的提升能够显著抑制市场卖空行为,且公司经营风险越大,这种抑制作用越明显。进而,考虑公司会计稳健性长期历史水平,即会计稳健性时间序列特征对稳健性与卖空水平之间关系的影响。实证结果显示,"持续稳健"与"持续不稳健"分别加强和减弱了会计稳健性对卖空的抑制作用,而"非持续稳健"则未表现出明显的影响。研究结论说明公司增加会计稳健性能抑制市场卖空行为,尤其对于经营风险高的企业更是如此,而且企业应保持长时间持续稳健地披露会计信息,以此稳定投资者的稳健性预期,才能有效地发挥会计稳健性对卖空的抑制作用。
Accounting conservatism will make a firm disclose negative information in time,which will restrain the overvaluation of stock price and reduce the short selling. Using all the listed companies with short selling on China's A-share market during the years from 2010 to 2016 as sample,this paper analyzes the impact of accounting conservatism on short selling. The research finds that the improvement of accounting conservatism can significantly weaken the short selling,and the greater the risk of the company,the more obvious the inhibitory effect. Further,we consider the impact of the time series characteristic of accounting conservatism on the relationship between accounting conservatism and short selling. The empirical results show that "persistent conservatism( or non-conservatism) "strengthens( or weakens) the inhibitory effect of accounting conservatism on short selling,while"non-persistent conservatism"does not show a significant impact. The research conclusion shows that the increase in accounting conservatism can restrain short selling,especially for the enterprises with high business risk. Moreover,a firm should keep persistent conservatism in accounting information disclosure and thereby stabilize investors' conservatism expectation so that accounting conservatism can effectively inhibit short selling.
Accounting conservatism will make a firm disclose negative information in time,which will restrain the overvaluation of stock price and reduce the short selling. Using all the listed companies with short selling on China's A-share market during the years from 2010 to 2016 as sample,this paper analyzes the impact of accounting conservatism on short selling. The research finds that the improvement of accounting conservatism can significantly weaken the short selling,and the greater the risk of the company,the more obvious the inhibitory effect. Further,we consider the impact of the time series characteristic of accounting conservatism on the relationship between accounting conservatism and short selling. The empirical results show that "persistent conservatism( or non-conservatism) "strengthens( or weakens) the inhibitory effect of accounting conservatism on short selling,while"non-persistent conservatism"does not show a significant impact. The research conclusion shows that the increase in accounting conservatism can restrain short selling,especially for the enterprises with high business risk. Moreover,a firm should keep persistent conservatism in accounting information disclosure and thereby stabilize investors' conservatism expectation so that accounting conservatism can effectively inhibit short selling.
引文
[1]MILLER E M.Risk,uncertainty,and divergence of option[J].Journal of Finance,1977,3(4):1151-1168.
[2]顾琪,陆蓉.金融市场的“劣汰”机制---基于卖空机制与盈余管理的研究[J].财贸经济,2016(5):60-75.
[3]史永东,李凤羽.卖空限制、意见分歧手链与信息霹雳的股价效应---来自A股市场的经验证据[J].金融研究,2012(8):111-124.
[4]FRANCIS B,HASAN I,WU Q.The benefits of conservative accounting to shareholders:evidence from the financial crisis[J].Accounting Horizons,2013,27(2):319-346.
[5]王冲,谢雅璐.会计稳健性、信息不透明与股价暴跌风险[J].管理科学,2013(2):68-79.
[6]LAFOND R,WATTS R L.The information role of conservatism[J].The Accounting Review,2008,83(2):447-478.
[7]HUI K,MATSUNAGA S,MORSE D.The impact of conservatism on management earnings forecasts[J].Journal of Accounting and Economics,2009,47(3):192-207.
[8]ZHANG J M.The contracting benefits of accounting conservatism lenders and borrows[J].Journal of Accounting and Economics,2008,45(1):27-54.
[9]杨丹,王宁,叶建明.会计稳健性与上市公司投资行为---基于资产减值角度的实证分析[J].会计研究,2011(3):27-33.
[10]LARAJ M G,OSMA B G,PENALVA F.Conditional conservatism and cost of capital[J].Review of Accounting Studies,2011,16(2):247-271.
[11]吴锡皓,胡国柳.不确定性、会计稳健性与分析师盈余预测[J].会计研究,2015(9):27-34.
[12]张长海,胡国柳,吴顺祥.公司年度会计稳健性计量方法适应性研究[J].统计与信息论坛,2012(2):72-79.
[13]KHAN M,WATTS R L.Estimation and empirical properties of a firm-year measure of accounting conservatism[J].Journal of Accounting and Economics,2009,48(2):132-150.
[15]JAIN A,JAIN C,ROBIN A.Does accounting conservatism deter short sellers[J].SSRN Electronic Journal,2014,15(1):60-71.
[16]HENRY O T,MACKENZIE M.The impact of short selling on the price-volume relationship:evidence from Hong Kong[J].The Journal of Business,2006,79(2):671-691.
[17]李春涛,刘贝贝,周鹏.卖空与信息披露:融券准自然实验的证据[J].金融研究,2017(9):130-145.
[18]EASTON P,PAE J.Accounting conservatism and the relation between returns and accounting data[J].Review of Accounting Studies,2004,9(4):495-521.
(1)根据Khan&Watts的定义,Xi表示每股盈余,定义为净利润除以上一年权益的市场价值。Ri为市场调整的年个股回报率,等于公司i第t年5月至第t+1年4月考虑现金红利再投资的月个股回报率的乘积减1。Di是虚拟变量,当Ri<0,Di=1,Ri>0,Di=0。Sizei是公司规模,用权益市场价值的自然对数表示。Mbi是市净率,等于期末权益的市场价值与账面价值的比值。Levi是负债水平,定义为公司长、短期借款之和与权益市场价值的比值。
(2)计算3年期盈余波动水平涉及前三年的盈余数据,去除缺失值后剩余样本2 886个。
(3)计算5年期盈余波动水平涉及前五年的盈余数据,去除缺失值后剩余样本2 397个。
(4)计算会计稳健性特征涉及前三年的会计稳健性数据,去除缺失值后剩余样本2 484个。
(5)限于篇幅,稳健性检验的结果没有全部列示,欢迎感兴趣的读者索取,电子邮箱03093@bnu.edu.cn。
(6)销售净利率=净利润/销售收入。
[2]顾琪,陆蓉.金融市场的“劣汰”机制---基于卖空机制与盈余管理的研究[J].财贸经济,2016(5):60-75.
[3]史永东,李凤羽.卖空限制、意见分歧手链与信息霹雳的股价效应---来自A股市场的经验证据[J].金融研究,2012(8):111-124.
[4]FRANCIS B,HASAN I,WU Q.The benefits of conservative accounting to shareholders:evidence from the financial crisis[J].Accounting Horizons,2013,27(2):319-346.
[5]王冲,谢雅璐.会计稳健性、信息不透明与股价暴跌风险[J].管理科学,2013(2):68-79.
[6]LAFOND R,WATTS R L.The information role of conservatism[J].The Accounting Review,2008,83(2):447-478.
[7]HUI K,MATSUNAGA S,MORSE D.The impact of conservatism on management earnings forecasts[J].Journal of Accounting and Economics,2009,47(3):192-207.
[8]ZHANG J M.The contracting benefits of accounting conservatism lenders and borrows[J].Journal of Accounting and Economics,2008,45(1):27-54.
[9]杨丹,王宁,叶建明.会计稳健性与上市公司投资行为---基于资产减值角度的实证分析[J].会计研究,2011(3):27-33.
[10]LARAJ M G,OSMA B G,PENALVA F.Conditional conservatism and cost of capital[J].Review of Accounting Studies,2011,16(2):247-271.
[11]吴锡皓,胡国柳.不确定性、会计稳健性与分析师盈余预测[J].会计研究,2015(9):27-34.
[12]张长海,胡国柳,吴顺祥.公司年度会计稳健性计量方法适应性研究[J].统计与信息论坛,2012(2):72-79.
[13]KHAN M,WATTS R L.Estimation and empirical properties of a firm-year measure of accounting conservatism[J].Journal of Accounting and Economics,2009,48(2):132-150.
[15]JAIN A,JAIN C,ROBIN A.Does accounting conservatism deter short sellers[J].SSRN Electronic Journal,2014,15(1):60-71.
[16]HENRY O T,MACKENZIE M.The impact of short selling on the price-volume relationship:evidence from Hong Kong[J].The Journal of Business,2006,79(2):671-691.
[17]李春涛,刘贝贝,周鹏.卖空与信息披露:融券准自然实验的证据[J].金融研究,2017(9):130-145.
[18]EASTON P,PAE J.Accounting conservatism and the relation between returns and accounting data[J].Review of Accounting Studies,2004,9(4):495-521.
(1)根据Khan&Watts的定义,Xi表示每股盈余,定义为净利润除以上一年权益的市场价值。Ri为市场调整的年个股回报率,等于公司i第t年5月至第t+1年4月考虑现金红利再投资的月个股回报率的乘积减1。Di是虚拟变量,当Ri<0,Di=1,Ri>0,Di=0。Sizei是公司规模,用权益市场价值的自然对数表示。Mbi是市净率,等于期末权益的市场价值与账面价值的比值。Levi是负债水平,定义为公司长、短期借款之和与权益市场价值的比值。
(2)计算3年期盈余波动水平涉及前三年的盈余数据,去除缺失值后剩余样本2 886个。
(3)计算5年期盈余波动水平涉及前五年的盈余数据,去除缺失值后剩余样本2 397个。
(4)计算会计稳健性特征涉及前三年的会计稳健性数据,去除缺失值后剩余样本2 484个。
(5)限于篇幅,稳健性检验的结果没有全部列示,欢迎感兴趣的读者索取,电子邮箱03093@bnu.edu.cn。
(6)销售净利率=净利润/销售收入。
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