投资者调研提升了资本市场定价效率吗——基于会计信息价值相关性的研究
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摘要
基于会计信息价值相关性视角,采用价格模型探讨了投资者调研对资本市场效率的影响。研究发现,投资者对上市公司的调研越频繁,公司盈余的会计信息价值相关性越高,并且这种现象在信息披露水平较低、业绩波动性较高的公司中更为明显,以上结论在采用了回报模型、倾向得分匹配等方法进行稳健性检验后依然显著。进一步研究发现,相对于买方机构,卖方机构的调研行为对公司盈余价值相关性的影响更大。研究结论为中国如何进一步完善公司信息披露制度,提高资本市场效率提供了经验借鉴。
Based on the vision of value relevance of financial information,and by adopting the price model,this study empirically examines the impact of investors' site visit on the capital market efficiency.It finds that investors' site visits increase the value relevance of EPS and stock price.And this effect is more significant in companies which have low information disclosure or high volatility of earnings.Above results are positive after robustness test of return model and PSM method.Additionally,compared with the buy-side institutional investors,the sell-side institutional investors' site visit are more helpful in increasing the value relevance of EPS and stock price.Those results provide enlightenment for improving Chinese listed companies' information disclosure and capital market efficiency.
Based on the vision of value relevance of financial information,and by adopting the price model,this study empirically examines the impact of investors' site visit on the capital market efficiency.It finds that investors' site visits increase the value relevance of EPS and stock price.And this effect is more significant in companies which have low information disclosure or high volatility of earnings.Above results are positive after robustness test of return model and PSM method.Additionally,compared with the buy-side institutional investors,the sell-side institutional investors' site visit are more helpful in increasing the value relevance of EPS and stock price.Those results provide enlightenment for improving Chinese listed companies' information disclosure and capital market efficiency.
引文
[1]毛新述,王斌,林长泉,王楠.信息发布者与资本市场效率[J].经济研究,2013(10).
[2]Lin Q.,Lee J..2004.Consumer Information Search When Making Investment Decisions,Financial Services Review,Vol.13,No.4:319-332.
[3]Potter G..1992.Accounting Earnings Announcements,Institutional Investor Concentration,and Common Stock Returns,Journal of Accounting Research,Vol.30,No.1:146-155.
[4]陈小林,孔东民.机构投资者信息搜寻、公开信息透明度与私有信息套利[J].南开管理评论,2012(1).
[5]谭松涛,崔小勇.上市公司调研能否提高分析师预测精度[J].世界经济,2015(4).
[6]曹新伟,洪剑峭,贾琬娇.分析师实地调研与资本市场信息效率——基于股价同步性的研究[J].经济管理,2015(8).
[7]孔东民,刘莎莎,陈小林,邢精平.个体沟通、交易行为与信息优势:基于共同基金访问的证据[J].经济研究,2015(11).
[8]黄泽先,曾令华,江群,段忠东.信息揭示与资本市场效率——信息有效与配置有效[J].经济学(季刊),2008(2).
[9]李小晗,朱红军.投资者有限关注与信息解读[J].金融研究,2011(8).
[10]王咏梅,王亚平.机构投资者如何影响市场的信息效率——来自中国的经验证据[J].金融研究,2011(10).
[11]Roberts J.,Sanderson P.,Barker R.,Hendry J..2006.In the Mirror of the Market,Accounting Organizations and Society,Vol.31,No.3:277-294.
[12]Dasgupta S.,Gao J.G.N..2010.Transparency,Price Informativeness,and Stock Return Synchronicity:Theory and Evidence,Journal of Financial&Quantitative Analysis,Vol.45,No.5:1189-1220.
[13]Kimbrough M.D..2005.The Effect of Conference Calls on Analyst and Market Underreaction to Earnings Announcements,The Accounting Review,Vol.80,No.1:189-219.
[14]Matsumoto D.,Pronk M.,Roelofsen E..2011.What Makes Conference Calls Useful?The Information Content of Managers'Presentations and Analysts'Discussion Sessions,The Accounting Review,Vol.86,No.4:1383-1414.
[15]Hollander S.,Pronk M.,Roelofsen E..2010.Does Silence Speak?An Empirical Analysis of Disclosure Choices During Conference Calls,Journal of Accounting Research,Vol.48,No.3:531-563.
[16]Bushman R.M..1991.Public Disclosure and the Structure of Private Information Markets,Journal of Accounting Research,Vol.29,No.2:261-276.
[17]汪炜,袁东任.盈余质量对自愿性信息披露的影响及作用机理[J].统计研究,2014(4).
[18]黎文靖,杨丹.管理层为何自愿披露劳动力成本上涨风险信息?——来自中国上市公司的经验证据[J].财经研究,2013(10).
[19]Bharath S.T.,Sunder J.,Sunder S.V..2010.Accounting Quality and Debt Contracting,Accounting Review,Vol.83,No.1:1-28.
[20]程小可,孙健,姚立杰.科技开发支出的价值相关性研究——基于中国上市公司的经验证据[J].中国软科学,2010(6).
[21]叶康涛,张姗姗,张艺馨.企业战略差异与会计信息的价值相关性[J].会计研究,2014(5).
[22]李虹,田马飞.内部控制、媒介功用、法律环境与会计信息价值相关性[J].会计研究,2015(6).
[23]Gu Z.,Yang Y.G..2012.Monitors or Predators:The Influence of Institutional Investors on Sell-Side Analysts,The Accounting Review,Vol.88,No.1:137-169.
(1)在稳健性检验中本文采用未经处理的投资者调研次数进行检验,结果未发生显著改变。
(1)由于篇幅所限,该稳健性检验结果未在文中报告,有兴趣者可向作者索取。
(2)本文也采用未经市场收益调整的股票回报作为因变量,检验结果未发生明显改变。
[2]Lin Q.,Lee J..2004.Consumer Information Search When Making Investment Decisions,Financial Services Review,Vol.13,No.4:319-332.
[3]Potter G..1992.Accounting Earnings Announcements,Institutional Investor Concentration,and Common Stock Returns,Journal of Accounting Research,Vol.30,No.1:146-155.
[4]陈小林,孔东民.机构投资者信息搜寻、公开信息透明度与私有信息套利[J].南开管理评论,2012(1).
[5]谭松涛,崔小勇.上市公司调研能否提高分析师预测精度[J].世界经济,2015(4).
[6]曹新伟,洪剑峭,贾琬娇.分析师实地调研与资本市场信息效率——基于股价同步性的研究[J].经济管理,2015(8).
[7]孔东民,刘莎莎,陈小林,邢精平.个体沟通、交易行为与信息优势:基于共同基金访问的证据[J].经济研究,2015(11).
[8]黄泽先,曾令华,江群,段忠东.信息揭示与资本市场效率——信息有效与配置有效[J].经济学(季刊),2008(2).
[9]李小晗,朱红军.投资者有限关注与信息解读[J].金融研究,2011(8).
[10]王咏梅,王亚平.机构投资者如何影响市场的信息效率——来自中国的经验证据[J].金融研究,2011(10).
[11]Roberts J.,Sanderson P.,Barker R.,Hendry J..2006.In the Mirror of the Market,Accounting Organizations and Society,Vol.31,No.3:277-294.
[12]Dasgupta S.,Gao J.G.N..2010.Transparency,Price Informativeness,and Stock Return Synchronicity:Theory and Evidence,Journal of Financial&Quantitative Analysis,Vol.45,No.5:1189-1220.
[13]Kimbrough M.D..2005.The Effect of Conference Calls on Analyst and Market Underreaction to Earnings Announcements,The Accounting Review,Vol.80,No.1:189-219.
[14]Matsumoto D.,Pronk M.,Roelofsen E..2011.What Makes Conference Calls Useful?The Information Content of Managers'Presentations and Analysts'Discussion Sessions,The Accounting Review,Vol.86,No.4:1383-1414.
[15]Hollander S.,Pronk M.,Roelofsen E..2010.Does Silence Speak?An Empirical Analysis of Disclosure Choices During Conference Calls,Journal of Accounting Research,Vol.48,No.3:531-563.
[16]Bushman R.M..1991.Public Disclosure and the Structure of Private Information Markets,Journal of Accounting Research,Vol.29,No.2:261-276.
[17]汪炜,袁东任.盈余质量对自愿性信息披露的影响及作用机理[J].统计研究,2014(4).
[18]黎文靖,杨丹.管理层为何自愿披露劳动力成本上涨风险信息?——来自中国上市公司的经验证据[J].财经研究,2013(10).
[19]Bharath S.T.,Sunder J.,Sunder S.V..2010.Accounting Quality and Debt Contracting,Accounting Review,Vol.83,No.1:1-28.
[20]程小可,孙健,姚立杰.科技开发支出的价值相关性研究——基于中国上市公司的经验证据[J].中国软科学,2010(6).
[21]叶康涛,张姗姗,张艺馨.企业战略差异与会计信息的价值相关性[J].会计研究,2014(5).
[22]李虹,田马飞.内部控制、媒介功用、法律环境与会计信息价值相关性[J].会计研究,2015(6).
[23]Gu Z.,Yang Y.G..2012.Monitors or Predators:The Influence of Institutional Investors on Sell-Side Analysts,The Accounting Review,Vol.88,No.1:137-169.
(1)在稳健性检验中本文采用未经处理的投资者调研次数进行检验,结果未发生显著改变。
(1)由于篇幅所限,该稳健性检验结果未在文中报告,有兴趣者可向作者索取。
(2)本文也采用未经市场收益调整的股票回报作为因变量,检验结果未发生明显改变。