风险承担、信息不透明与股价同步性
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摘要
基于非理性行为假说,以信息透明度为切入点,实证检验了风险承担与股价同步性之间的关系.研究结果表明:在受噪音驱动较明显的中国资本市场中,企业风险承担水平与股价同步性呈负相关关系,一系列稳健性测试支持了文章基本结论.进一步分析显示,管理层为缓解风险承担带来的财务困境和代理冲突,采取盈余管理等手段隐藏公司信息是这种关系的内在机制;过度自信的管理者会加剧风险承担与股价同步性之间的负向关系.研究结论首次为风险承担与股价同步性之间的关系提供了理论解释和经验证据,其重要启示是:虽然风险承担降低了股价同步性,但其看似利好的背后并非更多的特质信息披露,也并非更高的市场定价效率,而是更低的公司透明度和更多的机会主义行为.
Based on the theory of irrational behavior hypothesis, this paper investigates the relation between risk-taking and stock price synchronicity from the perspective of information transparency. Several findings were extracted as follows: Firstly, because of the noise-trading, the high level of risk-taking reduces the stock price synchronicity in China which are supported by a series of robustness tests. Furthermore,opportunistic behaviors such as earnings management and bad news hiding is the possible mechanism of the relation between risk-taking and stock price synchronicity; managerial overconfidence aggregates such negative relationship. This study provides the theoretical explanation and empirical evidence for the relationship between risk taking and stock price synchronicity for the first time, the very important implication of this study is that although risk-taking would decrease stock price synchronicity, which is not the reflection of effective information disclosure or capital pricing. On the contrary, risk-taking decreases information transparency and induces more opportunistic behaviors.
Based on the theory of irrational behavior hypothesis, this paper investigates the relation between risk-taking and stock price synchronicity from the perspective of information transparency. Several findings were extracted as follows: Firstly, because of the noise-trading, the high level of risk-taking reduces the stock price synchronicity in China which are supported by a series of robustness tests. Furthermore,opportunistic behaviors such as earnings management and bad news hiding is the possible mechanism of the relation between risk-taking and stock price synchronicity; managerial overconfidence aggregates such negative relationship. This study provides the theoretical explanation and empirical evidence for the relationship between risk taking and stock price synchronicity for the first time, the very important implication of this study is that although risk-taking would decrease stock price synchronicity, which is not the reflection of effective information disclosure or capital pricing. On the contrary, risk-taking decreases information transparency and induces more opportunistic behaviors.
引文
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1.本研究行业分类采用证监会2012版行业分类标准,制造业取两位代码,其余行业取一位代码.
2.通过统计检验发现,本研究中个体效应显著,且Hausman检验拒绝了随机效应模型;同时由于时间效应显著,行业效应显著,因此回归中控制了时间因素和行业因素;通过Modified Wald检验,发现数据存在异方差问题,因此应采用稳健型标准误进行估计.
3.本文对匹配前后各个控制变量的差异进行了检验,大部分控制变量均存在显著差异,配对后所有所需的控制变量均不存在显著差异.
4.工具变量适用性检验中,其最小特征值统计量大于10, Sargan检验卡方值不显著(10%水平),说明不存在弱工具变量问题,所选工具变量符合外生要求.
[2] Morck R, Yeung B, Yu W. The information content of stock markets:Why do emerging markets have synchronous stock price movements?[J]. Journal of Financial Economics, 2000, 58(1-2):215-260.
[3] Durnev A, Morck R, Yeung B. Value-enhancing capital budgeting and firm-specific stock return variation[J]. The Journal of Finance,2004, 59(1):65-105.
[4] Djembissi B. Excessive risk taking and the maturity structure of debt[J]. Journal of Economic Dynamics and Control, 2011, 35(10):1800-1816.
[5] Boubakri N, Mansi S A, Saffar W. Political institutions, connectedness, and corporate risk-taking[J]. Journal of International Business Studies, 2013, 44(3):195-215.
[6]余明桂,李文贵,潘红波.民营化、产权保护与企业风险承担[J].经济研究,2013(9):112-124.Yu M G, Li W G, Pan H B. Privatization, property rights protection and corporate risk-taking[J]. Economic Research Journal, 2013(9):112-124.
[7]张敏,童丽静,许浩然·社会网络与企业风险承担——基于我国上市公司的经验证据[J].管理世界,2015(11):161-175.Zhang M, Tong L J, Xu H R. Social network and corporate risk-taking:Evidence from China[J]. Management World, 2015(11):161-175.
[8] Tobin J. Money and income:Post Hoc Ergo Propter Hoc?[J]. Quarterly Journal of Economics, 1969, 84(2):301-317.
[9] Caggese A. Entrepreneurial risk, investment, and innovation[J]. Journal of Financial Economics, 2012, 106(2):287-307.
[10] Bonfiglioli A. Investor protection and income inequality:Risk sharing vs risk taking[J]. Journal of Development Economics, 2012, 99(1):92-104.
[11] Kim E H, Lu Y. CEO ownership, external governance, and risk-taking[J]. Journal of Financial Economics, 2011,102(2):272-292.
[12]苏坤.管理层股权激励、风险承担与资本配置效率[J].管理科学,2015, 28(3):14-25.Su K. Management equity incentive, risk-taking and efficiency of capital allocation[J]. Journal of Management Sciences, 2015, 28(3):14-25.
[13] Hilary G, Hui K W. Does religion matter in corporate decision making in America?[J]. Journal of Financial Economics, 2009, 93(3):455-473.
[14] Li K, Griffin D, Yue H. How does culture influence corporate risk-taking?[J]. Journal of Corporate Finance, 2013,23:1-22.
[15] Jin L, Myers S."R2 around the world:New theory and new tests"[J]. Journal of Financial Economics, 2006, 79:257-292.
[16] Hutton A P, Marcus A J, Tehranian H. Opaque financial reports, R2, and crash risk[J]. Journal of financial Economics, 2009, 94(1):67-86.
[17]于忠泊,田高良,曾振.上市公司临时报告对资本市场信息传递的影响[J].系统工程理论与实践,2012, 32(6):1151-1165.Yu Z B, Tian G L, Zeng Z. Impact of listed companies'interim reports on market information transmission[J].Systems Engineering—Theory&Practice, 2012, 32(6):1151-1165.
[18]田高良,司毅,秦岭,等.网络舆情及其应对与资本市场信息效率[J].系统工程理论与实践,2018,38(1):46-66.Tian G L, Si Y, Qin L, et al. Internet public opinions, response and listed firms'information efficiency[J]. Systems Engineering—Theory&Practice, 2018, 38(1):46-66.
[19]游家兴,张俊生,江伟.制度建设、公司特质信息与股价波动的同步性——基于R2研究的视角[J].经济学:季刊,2007,6(1):189-206.You J X, Zhang J S, Jiang W. Institution building, firm-specific information and the synchronicity of stock prices:A R2-based perspective[J]. China Economic Quarterly, 2007, 6(1):189-206.
[20]黄俊,郭照蕊.新闻媒体报道与资本市场定价效率——基于股价同步性的分析[J].管理世界,2014(5):121-130.Huang J, Guo Z R. The effect of the media coverage on the pricing efficiency the capital market:An analysis based on the stock price synchronicity[J]. Management World, 2014(5):121-130.
[21]伊志宏,李颖,江轩宇·女性分析师关注与股价同步性[J].金融研究,2015(11):175-189.Yin Z H, Li Y,Jiang X Y. Female analysts'coverage and stock return synchronicity[J]. Journal of Financial Research, 2015(11):175-189.
[22] West K D. Dividend innovations and stock price volatility[J]. Econometrica, 1986, 56(1):37-61.
[23] Skaife H A, Gassen J, Lafond R. Does stock price synchronicity reflect information or noise? The international evidence[J]. SSRN Electronic Journal, 2005, 44(3):118-121.
[24] Paulo A, Ken P, Paul T. The use of the R2 as a measure of firm-specific information country critique[J]. Journal of Business Finance&Accounting, 2010, 37(1-2):1-26.
[25] Hu C, Liu S. The implications of low R2:Evidence from China[J]. Emerging Markets Finance&Trade, 2013,49(1):17-32.
[26] Cesari A D, Huang M W. Dividend changes and stock price informativeness[J]. Journal of Corporate Finance,2015, 35:1-17.
[27] Bramante R, Petrella G, Zappa D. On the use of the market model R-square as a measure of stock price efficiency[J]. Review of Quantitative Finance and Accounting, 2015, 44(2):379-391.
[28]许年行,洪涛,吴世农,等.信息传递模式、投资者心理偏差与股价“同涨同跌”现象[J]·经济研究,2011(4):135-146.Xu N H, Hong T, Wu S N, et al. Information flow model, investor psychological bias and stock price comovement[J]. Economic Research Journal, 2011(4):135-146.
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1.本研究行业分类采用证监会2012版行业分类标准,制造业取两位代码,其余行业取一位代码.
2.通过统计检验发现,本研究中个体效应显著,且Hausman检验拒绝了随机效应模型;同时由于时间效应显著,行业效应显著,因此回归中控制了时间因素和行业因素;通过Modified Wald检验,发现数据存在异方差问题,因此应采用稳健型标准误进行估计.
3.本文对匹配前后各个控制变量的差异进行了检验,大部分控制变量均存在显著差异,配对后所有所需的控制变量均不存在显著差异.
4.工具变量适用性检验中,其最小特征值统计量大于10, Sargan检验卡方值不显著(10%水平),说明不存在弱工具变量问题,所选工具变量符合外生要求.