IPO制度改革、盈余透明度与投资者异质信念
|
摘要
本文实证检验了IPO制度改革、IPO盈余透明度与投资者异质信念的作用关系。检验结果发现:第一,以应计盈余管理、真实活动盈余管理及总盈余管理表示的IPO盈余透明度降低均会导致更高的投资者异质信念;延长窗口期后这一作用会因盈余管理方式不同而呈现不同作用强度;第二,各个阶段IPO制度改革均显著影响了应计盈余管理表示的IPO盈余透明度对投资者异质信念的作用,而以真实活动盈余管理及总盈余管理表示的IPO盈余透明度对投资者异质信念的作用,除了在额度管理到指标管理阶段改革受到显著弱化外,其他阶段的IPO制度改革均没有对其产生显著影响。本文从信息披露的角度分析了投资者异质信念的形成过程,并进一步检验了IPO制度改革对这一过程的影响,为我国资本市场IPO制度改革及稳定市场波动提供了参考依据。
This study selects samples of 2896 IPO companies in the A-share capital market in1990—2015, and takes the IPO event as the research object. In this paper, the effect of IPO earnings transparency on investors' heterogeneous beliefs and the impact of the IPO system reform on this role are studied. The test results show that: First, we group the sample based on the mean and median of IPO earnings transparency variables and conduct a comparative test. In general, the results show that investors' heterogeneous beliefs in group with high IPO earnings transparency are significantly lower than those in group with low IPO earnings transparency. After controlling the influence of other factors,we find that IPO companies reduce earnings transparency by improving earnings manipulation through accounting policies and real activities, and with the decrease of earnings transparency,investors' heterogeneous beliefs are significantly improved. After extending the window period, the results show that the reduction of earnings transparency caused by IPO's manipulation of earnings information through accounting policies and real activities significantly leads to the higher heterogeneity of investors' beliefs in the longer window period after IPO. Second, the IPO system reform at various stages has significantly affected the effect of IPO earnings transparency measured by accrual earnings management on investors' heterogeneous beliefs, but the effect of IPO earnings transparency measured by real earnings management and total earnings management on investors' heterogeneous beliefs is not significantly affected by the IPO system reform at various stages except the significant weakening effect of the reform from quota management to index management.This study shows that earnings transparency significantly affects the formation of investors' heterogeneous beliefs. The IPO system reform has played a certain moderating effect in this process. The overall performance of the IPO system reform is the improvement of the marketization of system implementation, which will gradually highlight the decisive role of the market in resource allocation, and enhance the correlation between the management information disclosure strategy and investors' decision-making. Investors' understanding and application of information directly affect the effectiveness of the capital market, and transparent information will help investors form a consistent understanding of the value of IPO companies and reduce transaction volatility. Therefore, in the process of the market-oriented reform of the IPO system, it will be one of the most important ways to stabilize the market volatility by improving information transparency to reduce investors' heterogeneous beliefs in decision-making.
This study selects samples of 2896 IPO companies in the A-share capital market in1990—2015, and takes the IPO event as the research object. In this paper, the effect of IPO earnings transparency on investors' heterogeneous beliefs and the impact of the IPO system reform on this role are studied. The test results show that: First, we group the sample based on the mean and median of IPO earnings transparency variables and conduct a comparative test. In general, the results show that investors' heterogeneous beliefs in group with high IPO earnings transparency are significantly lower than those in group with low IPO earnings transparency. After controlling the influence of other factors,we find that IPO companies reduce earnings transparency by improving earnings manipulation through accounting policies and real activities, and with the decrease of earnings transparency,investors' heterogeneous beliefs are significantly improved. After extending the window period, the results show that the reduction of earnings transparency caused by IPO's manipulation of earnings information through accounting policies and real activities significantly leads to the higher heterogeneity of investors' beliefs in the longer window period after IPO. Second, the IPO system reform at various stages has significantly affected the effect of IPO earnings transparency measured by accrual earnings management on investors' heterogeneous beliefs, but the effect of IPO earnings transparency measured by real earnings management and total earnings management on investors' heterogeneous beliefs is not significantly affected by the IPO system reform at various stages except the significant weakening effect of the reform from quota management to index management.This study shows that earnings transparency significantly affects the formation of investors' heterogeneous beliefs. The IPO system reform has played a certain moderating effect in this process. The overall performance of the IPO system reform is the improvement of the marketization of system implementation, which will gradually highlight the decisive role of the market in resource allocation, and enhance the correlation between the management information disclosure strategy and investors' decision-making. Investors' understanding and application of information directly affect the effectiveness of the capital market, and transparent information will help investors form a consistent understanding of the value of IPO companies and reduce transaction volatility. Therefore, in the process of the market-oriented reform of the IPO system, it will be one of the most important ways to stabilize the market volatility by improving information transparency to reduce investors' heterogeneous beliefs in decision-making.
引文
[1]包锋,徐建国.异质信念的变动与股票收益[J].经济学(季刊), 2015,(4):1591–1610.
[2]邓路,廖明情.上市公司定向增发方式选择:基于投资者异质信念视角[J].会计研究, 2013,(7):56–62.
[3]邓路,王化成.投资者异质信念与定向增发股价长期市场表现[J].会计研究, 2014,(11):38–45.
[4]方匡南,何纯,王郁.基于Sai-GA-SVR的我国IPO制度与新股市场特征研究[J].管理科学学报, 2015,(4):98–110.
[5]雷光勇,王文,金鑫.盈余质量、投资者信心与投资增长[J].中国软科学, 2011,(9):144–155.
[6]李增福,董志强,连玉君.应计项目盈余管理还是真实活动盈余管理?——基于我国2007年所得税改革的研究[J].管理世界, 2011,(1):121–134.
[7]权小锋,肖斌卿,吴世农.投资者关系管理能够稳定市场吗?——基于A股上市公司投资者关系管理的综合调查[J].管理世界, 2016,(1):139–152.
[8]唐雪松,林雁.股市传闻、会计信息透明度与散户认知负向偏差——一项实验研究[J].财经研究, 2014,(5):31–41.
[9]田利辉,张伟,王冠英.新股发行:渐进式市场化改革是否可行[J].南开管理评论, 2013,(2):116–132.
[10]辛清泉,孔东民,郝颖.公司透明度与股价波动性[J].金融研究, 2014,(10):193–206.
[11]曾庆生.高管及其亲属买卖公司股票时“浑水摸鱼”了?——基于信息透明度对内部人交易信息含量的影响研究[J].财经研究, 2014,(12):15–26, 88.
[12]张志红,田昆儒,李香梅.评估师经验、收益信息透明度对估值判断影响的实验研究[J].会计研究, 2015,(4):27–32.
[13]朱宏泉,余江,陈林.异质信念、卖空限制与股票收益——基于中国证券市场的分析[J].管理科学学报, 2016,(7):115–126.
[14]Baker S D, Hollifield B, Osambela E. Disagreement, speculation, and aggregate investment[J]. Journal of FinancialEconomics, 2016, 119(1):210–225.
[15]Chan L H, Chen K C W, Chen T Y, et al. Substitution between real and accruals-based earnings management after voluntaryadoption of compensation Clawback provisions[J]. The Accounting Review, 2015, 90(1):147–174.
[16]Firth M, Wang K P, Wong S M. Corporate transparency and the impact of investor sentiment on stock prices[J]. ManagementScience, 2015, 61(7):1630–1647.
[17]Ottaviani M, S?rensen P N. Price reaction to information with heterogeneous beliefs and wealth effects:Underreaction,momentum, and reversal[J]. American Economic Review, 2015, 105(1):1–34.
[2]邓路,廖明情.上市公司定向增发方式选择:基于投资者异质信念视角[J].会计研究, 2013,(7):56–62.
[3]邓路,王化成.投资者异质信念与定向增发股价长期市场表现[J].会计研究, 2014,(11):38–45.
[4]方匡南,何纯,王郁.基于Sai-GA-SVR的我国IPO制度与新股市场特征研究[J].管理科学学报, 2015,(4):98–110.
[5]雷光勇,王文,金鑫.盈余质量、投资者信心与投资增长[J].中国软科学, 2011,(9):144–155.
[6]李增福,董志强,连玉君.应计项目盈余管理还是真实活动盈余管理?——基于我国2007年所得税改革的研究[J].管理世界, 2011,(1):121–134.
[7]权小锋,肖斌卿,吴世农.投资者关系管理能够稳定市场吗?——基于A股上市公司投资者关系管理的综合调查[J].管理世界, 2016,(1):139–152.
[8]唐雪松,林雁.股市传闻、会计信息透明度与散户认知负向偏差——一项实验研究[J].财经研究, 2014,(5):31–41.
[9]田利辉,张伟,王冠英.新股发行:渐进式市场化改革是否可行[J].南开管理评论, 2013,(2):116–132.
[10]辛清泉,孔东民,郝颖.公司透明度与股价波动性[J].金融研究, 2014,(10):193–206.
[11]曾庆生.高管及其亲属买卖公司股票时“浑水摸鱼”了?——基于信息透明度对内部人交易信息含量的影响研究[J].财经研究, 2014,(12):15–26, 88.
[12]张志红,田昆儒,李香梅.评估师经验、收益信息透明度对估值判断影响的实验研究[J].会计研究, 2015,(4):27–32.
[13]朱宏泉,余江,陈林.异质信念、卖空限制与股票收益——基于中国证券市场的分析[J].管理科学学报, 2016,(7):115–126.
[14]Baker S D, Hollifield B, Osambela E. Disagreement, speculation, and aggregate investment[J]. Journal of FinancialEconomics, 2016, 119(1):210–225.
[15]Chan L H, Chen K C W, Chen T Y, et al. Substitution between real and accruals-based earnings management after voluntaryadoption of compensation Clawback provisions[J]. The Accounting Review, 2015, 90(1):147–174.
[16]Firth M, Wang K P, Wong S M. Corporate transparency and the impact of investor sentiment on stock prices[J]. ManagementScience, 2015, 61(7):1630–1647.
[17]Ottaviani M, S?rensen P N. Price reaction to information with heterogeneous beliefs and wealth effects:Underreaction,momentum, and reversal[J]. American Economic Review, 2015, 105(1):1–34.