公司信息披露质量与传闻澄清公告效果
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摘要
公司信息披露质量与传闻澄清都是资本市场的重要问题。本文以深交所A股上市公司为样本,手工搜集了2010年至2013年样本公司发布的传闻澄清公告,研究了上市公司信息披露质量对传闻澄清公告效果的影响。研究发现:公司信息披露质量主要影响否定式澄清公告的效果,具有"股价回复效应",即公司信息披露质量越高,否定式澄清公告对股价的回复作用越显著;考虑澄清公告披露是否积极后发现,公司信息披露质量对否定式澄清公告的效果还具有"补充效应",表现为公司信息披露质量越高,披露不积极的否定式公告对股价的回复作用越显著;进一步分析发现,信息披露质量较差的公司会显著地倾向于积极披露否定式公告,迅速澄清假消息;而信息披露质量较高的公司,对肯定式公告与否定式公告都会积极公布;另外,信息披露质量的股价回复效应在对负面传闻和财务类传闻的澄清中更为显著。本文从澄清公告效果的角度重新论证了公司信息披露质量对提升市场效率的重要作用,拓展了相关研究,也为规范上市公司传闻澄清措施提供了现实启示。
We use the A-share listed firms in Shenzhen market which issued announcements to clarify rumors from 2010 to 2013 as our sample,examining how the quality of corporate information influences the effect of the clarification announcements. We find that the quality of corporate information exemplifies "stock price reversion effect",meaning the higher the quality of corporate information,the more significantly the denial announcements would reverse stock price;furthermore,the quality of corporate information has "complementing effect" on the effect of denial clarification announcements. Additional analyses show that firms with lower quality of information disclosure tend to issue the denial announcements in time,and the "stock price reversion effect" would be more manifested when the rumor is negative or is related to financial events.
We use the A-share listed firms in Shenzhen market which issued announcements to clarify rumors from 2010 to 2013 as our sample,examining how the quality of corporate information influences the effect of the clarification announcements. We find that the quality of corporate information exemplifies "stock price reversion effect",meaning the higher the quality of corporate information,the more significantly the denial announcements would reverse stock price;furthermore,the quality of corporate information has "complementing effect" on the effect of denial clarification announcements. Additional analyses show that firms with lower quality of information disclosure tend to issue the denial announcements in time,and the "stock price reversion effect" would be more manifested when the rumor is negative or is related to financial events.
引文
[1]杜兴强,周泽将.政治联系方式与民营上市公司信息透明度——基于深交所信息披露考评的经验证据[J],中南财经政法大学学报,2010(1):126-131.
[2]胡奕明,唐松莲.审计、信息透明度与银行贷款利率[J].审计研究,2007(6):74-84.
[3]贾明,阮宏飞,张喆.上市公司澄清公告的辟谣效果研究[J].管理科学,2014(2):118-132.
[4]刘春林,张宁.上市公司传闻的澄清效果研究——来自中国证券市场的证据[J].管理科学学报,2012(5):42-54.
[5]谭劲松,宋顺林,吴立扬.公司透明度的决定因素——基于代理理论、信号理论的经验研究[J].会计研究,2010(4):26-33.
[6]唐雪松,马如静.内幕交易、利益补偿与控制权转移——来自我国证券市场的证据[J].中国会计评论,2009(7):29-52.
[7]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.
[8]夏利军,鹿小楠.上市公司盈余管理与信息披露质量相关性研究[J].当代经济管理,2005(5):145-150.
[9]徐寿福,徐龙炳.信息披露质量与资本市场估值偏误[J].会计研究,2015(1):40-47.
[10]伊志宏,姜付秀,秦义虎.产品市场竞争、公司治理与信息披露质量[J].管理世界,2010(1):133-161.
[11]翟林瑜.信息、投资者行为与资本市场效率[J].经济研究,2004(3):47-54.
[12]赵静梅,何欣,吴风云.中国股市谣言研究:传谣、辟谣及其对股价的冲击[J].管理世界,2010(11):38-51.
[13]朱晓婷,杨世忠.会计信息披露及时性的信息含量分析——基于2002-2004年中国上市公司年报数据的实证研究[J].会计研究,2006(11):16-23.
[14]Bailey W.,Karolyi G.A.,Salva C.The Economic Consequences of Increased Disclosure:Evidence from International Cross-listings[J].Journal of Financial Economics,2006,81(1):175-213.
[15]Berkman H.,Dimitrov V.,Jain P.,Koch P.,Tice S.Sell on the News:Differences of Opinion,Short-Sales Constraints,and Returns around Earnings Announcements[J].Journal of Financial Economics,2009,92(3):376-99.
[16]Botosan C.A.,Plumlee M.A.A Reexamination of Disclosure Level and the Expected Cost of Equity Capital[J].Journal of Accounting Research,2002,40(1):21-40.
[17]Chambers A.,Penman S.Timeliness of Reporting and the Stock Price Reaction to Earnings Announcements[J].Journal of Accounting Research,1984,22(1):21-47.
[18]Givoly D.,Palmon D.Timeliness of Annual Earnings Announcements:Some Empirical Evidence[J].The Accounting Review,1982,57(7):486-508.
[19]Khatun N.,Naima J.,Karim Z.,Alam L.Importance of Annual Report to the Shareholders:Empirical Evidence from Banglandesh[J].The Journal of Asian Finance,Economics and Business,2016,3(3):67-77.
[20]Liu P.,Smith D.,Syed A.Stock Reaction to the Wall Street Journal′s Securities Recommendations[J].Journal of Financial and Quantitative Analysis,1990(25):399-410.
[21]Ma L.,Zhang F.Investors Reaction to Merger and Acquisition Rumors[R].SSRN Working Paper,2016.
[22]Park S.Efficiency Costs Fairness:Resolving Financial Market Rumors through Public Inquires[R].SSRN Working Paper,2013.
[23]Pound J.,Zeckhauser R.Clearly Heard on the Street:The Effect of Takeover Rumors on Stock Prices[J].Journal of Business,1990(63):291-308.
[24]Wirama D.G.,Wiksuana I.G.B.,Mohd-Sanusi Z.,Kazemian S.Price Manipulation by Dissemination of Rumors:Evidence from the Indonesian Stock Market[J].International Journal of Economics and Financial Issues,2017,7(1):429-34.
[25]Yang X.,Luo Y.Rumor Clarification and Stock Returns:Do Bull Markets Behave Differently from Bear Markets?[J].Emerging Markets Finance&Trade,2014(50):197-209.
[26]Zivney T.L.,Bertin W.T.,Torabzadeh K.M.Overreaction to Take-over Speculation[J].Quarterly Review of Economics and Finance,1996(36):89-115.
(1)2016年5月14日搜狐证券报道:《股市脱“虚”:辟谣之前借跨界定增传闻挤泡沫》,网址:http://mt.sohu.com/20160514/n449449419.shtml。
(2)我们搜集的澄清公告中,有的公告明确提出了传闻出现的日期,我们以此日期作为传闻出现日。
(1)由于《深圳交易所上市公司信息披露工作考核办法》仅针对深圳交易所上市的公司,因此本文的样本仅包括在深交所上市的公司。
(1)由于研究补充效应部分的肯定式公告样本较少,再进行细分无法进行回归检验,故我们仅针对否定式公告进行了披露积极性的检验。
(1)限于篇幅,进一步分析中的表格控制变量均未列出,感兴趣的读者可扫描本文二维码获取附录,查看完整表格,后表同。
[2]胡奕明,唐松莲.审计、信息透明度与银行贷款利率[J].审计研究,2007(6):74-84.
[3]贾明,阮宏飞,张喆.上市公司澄清公告的辟谣效果研究[J].管理科学,2014(2):118-132.
[4]刘春林,张宁.上市公司传闻的澄清效果研究——来自中国证券市场的证据[J].管理科学学报,2012(5):42-54.
[5]谭劲松,宋顺林,吴立扬.公司透明度的决定因素——基于代理理论、信号理论的经验研究[J].会计研究,2010(4):26-33.
[6]唐雪松,马如静.内幕交易、利益补偿与控制权转移——来自我国证券市场的证据[J].中国会计评论,2009(7):29-52.
[7]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.
[8]夏利军,鹿小楠.上市公司盈余管理与信息披露质量相关性研究[J].当代经济管理,2005(5):145-150.
[9]徐寿福,徐龙炳.信息披露质量与资本市场估值偏误[J].会计研究,2015(1):40-47.
[10]伊志宏,姜付秀,秦义虎.产品市场竞争、公司治理与信息披露质量[J].管理世界,2010(1):133-161.
[11]翟林瑜.信息、投资者行为与资本市场效率[J].经济研究,2004(3):47-54.
[12]赵静梅,何欣,吴风云.中国股市谣言研究:传谣、辟谣及其对股价的冲击[J].管理世界,2010(11):38-51.
[13]朱晓婷,杨世忠.会计信息披露及时性的信息含量分析——基于2002-2004年中国上市公司年报数据的实证研究[J].会计研究,2006(11):16-23.
[14]Bailey W.,Karolyi G.A.,Salva C.The Economic Consequences of Increased Disclosure:Evidence from International Cross-listings[J].Journal of Financial Economics,2006,81(1):175-213.
[15]Berkman H.,Dimitrov V.,Jain P.,Koch P.,Tice S.Sell on the News:Differences of Opinion,Short-Sales Constraints,and Returns around Earnings Announcements[J].Journal of Financial Economics,2009,92(3):376-99.
[16]Botosan C.A.,Plumlee M.A.A Reexamination of Disclosure Level and the Expected Cost of Equity Capital[J].Journal of Accounting Research,2002,40(1):21-40.
[17]Chambers A.,Penman S.Timeliness of Reporting and the Stock Price Reaction to Earnings Announcements[J].Journal of Accounting Research,1984,22(1):21-47.
[18]Givoly D.,Palmon D.Timeliness of Annual Earnings Announcements:Some Empirical Evidence[J].The Accounting Review,1982,57(7):486-508.
[19]Khatun N.,Naima J.,Karim Z.,Alam L.Importance of Annual Report to the Shareholders:Empirical Evidence from Banglandesh[J].The Journal of Asian Finance,Economics and Business,2016,3(3):67-77.
[20]Liu P.,Smith D.,Syed A.Stock Reaction to the Wall Street Journal′s Securities Recommendations[J].Journal of Financial and Quantitative Analysis,1990(25):399-410.
[21]Ma L.,Zhang F.Investors Reaction to Merger and Acquisition Rumors[R].SSRN Working Paper,2016.
[22]Park S.Efficiency Costs Fairness:Resolving Financial Market Rumors through Public Inquires[R].SSRN Working Paper,2013.
[23]Pound J.,Zeckhauser R.Clearly Heard on the Street:The Effect of Takeover Rumors on Stock Prices[J].Journal of Business,1990(63):291-308.
[24]Wirama D.G.,Wiksuana I.G.B.,Mohd-Sanusi Z.,Kazemian S.Price Manipulation by Dissemination of Rumors:Evidence from the Indonesian Stock Market[J].International Journal of Economics and Financial Issues,2017,7(1):429-34.
[25]Yang X.,Luo Y.Rumor Clarification and Stock Returns:Do Bull Markets Behave Differently from Bear Markets?[J].Emerging Markets Finance&Trade,2014(50):197-209.
[26]Zivney T.L.,Bertin W.T.,Torabzadeh K.M.Overreaction to Take-over Speculation[J].Quarterly Review of Economics and Finance,1996(36):89-115.
(1)2016年5月14日搜狐证券报道:《股市脱“虚”:辟谣之前借跨界定增传闻挤泡沫》,网址:http://mt.sohu.com/20160514/n449449419.shtml。
(2)我们搜集的澄清公告中,有的公告明确提出了传闻出现的日期,我们以此日期作为传闻出现日。
(1)由于《深圳交易所上市公司信息披露工作考核办法》仅针对深圳交易所上市的公司,因此本文的样本仅包括在深交所上市的公司。
(1)由于研究补充效应部分的肯定式公告样本较少,再进行细分无法进行回归检验,故我们仅针对否定式公告进行了披露积极性的检验。
(1)限于篇幅,进一步分析中的表格控制变量均未列出,感兴趣的读者可扫描本文二维码获取附录,查看完整表格,后表同。