融券卖空、分析师跟踪与企业信息披露质量
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摘要
分析师跟踪和卖空机制的信息挖掘是投资者获取企业信息的重要渠道。在分析师存在乐观偏差的情况下,卖空投资者专注于负面信息的挖掘功能如能弥补分析师偏差的不足,对于提高企业信息披露质量会具有重要意义。针对我国2010年开始实施的融券卖空试点外生事件,运用双重差分方法实证研究在企业信息存在偏差情况下卖空机制的负面信息挖掘功能与分析师跟踪的关系及其对企业信息披露质量的影响。研究发现:在存在分析师乐观偏差时,卖空机制可以促进企业负面信息披露,纠正分析师偏差的影响,弥补分析师跟踪不足的缺陷,从而提高企业信息披露质量;但在分析师无乐观偏差时,卖空机制并不能提高企业信息披露质量。
Information mining by analyst tracking and short selling are important channels for investors to obtain corporate information. In the case of analysts with optimistic bias, short-selling investors focusing on negative information mining functions can make up for the lack of analyst bias,which is of great significance for improving the quality of corporate information disclosure. Based on the exogenous events of the pilot short selling implemented in 2010 in China,this paper uses DID method to empirically study the relationship between the negative information mining function of the short selling and the analyst tracking in the case of the deviation of enterprise information,and the impact on the quality of corporate information disclosure. The study finds that short selling mechanism can promote negative information disclosure,correct the impact of analyst bias,make up for the shortcomings of analyst tracking,and improve the quality of corporate information disclosure when analyst optimistic bias exists. However,when the analyst has no optimistic bias,short selling mechanism can not improve the quality of information disclosure.
Information mining by analyst tracking and short selling are important channels for investors to obtain corporate information. In the case of analysts with optimistic bias, short-selling investors focusing on negative information mining functions can make up for the lack of analyst bias,which is of great significance for improving the quality of corporate information disclosure. Based on the exogenous events of the pilot short selling implemented in 2010 in China,this paper uses DID method to empirically study the relationship between the negative information mining function of the short selling and the analyst tracking in the case of the deviation of enterprise information,and the impact on the quality of corporate information disclosure. The study finds that short selling mechanism can promote negative information disclosure,correct the impact of analyst bias,make up for the shortcomings of analyst tracking,and improve the quality of corporate information disclosure when analyst optimistic bias exists. However,when the analyst has no optimistic bias,short selling mechanism can not improve the quality of information disclosure.
引文
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[19]Li Y,Zhang L.Short selling pressure,stock price behavior,and management forecast precision:Evidence from a natural experiment[J].Journal of Accounting Research,2015,53(1):79-117.
[20]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.
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[22]Lim T.Rationality and analysts’forecast bias[J].The Journal of Finance,2001,56(1):369-385.
[23]Jackson A R.Trade generation,reputation,and sell-side analysts[J].The Journal of Finance,2005,60(2):673-717.
[24]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?--基于自然实验的证据[J].经济研究,2015(4):165-177.
[25]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性--来自中国融资融券市场的自然实验[J].金融研究,2015(6):173-188.
[26]曾颖,陆正飞.信息披露质量与股权融资成本[J].经济研究,2006(2):69-79.
[27]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):133-141.
[28]罗进辉.上市公司的信息披露质量为何摇摆不定?[J].投资研究,2014(1):134-152.
[29]郭娜,祁怀锦.业绩预告披露与盈余管理关系的实证研究--基于中国上市公司的经验证据[J].经济与管理研究,2010(2):81-88.
[30]谭松涛,甘顺利,阚铄.媒体报道能够降低分析师预测偏差吗?[J].金融研究,2015(9):192-206.
[2]Healy P M,Palepu G K.Information asymmetry,corporate disclosure,and the capital markets:A review of the empirical disclosure literature[J].Journal of Accounting and Economics,2001,31(1):405-440.
[3]Verrecchia R E.Discretionary disclosure[J].Journal of Accounting and Economics,1983,5(1):179-194.
[4]Verrecchia R E.Essays on disclosure[J].Journal of Accounting and Economics,2001,32(1),97-180.
[5]伍燕然,江婕,谢楠,等.公司治理、信息披露、投资者情绪与分析师盈利预测偏差[J].世界经济,2016(2):100-119.
[6]Francis J,Philbrick D.Analysts’decisions as products of a multi-task environment[J].Journal of Accounting Research,1993,31(2):216-230.
[7]曹胜,朱红军.王婆贩瓜:券商自营业务与分析师乐观性[J].管理世界,2011(7):20-30.
[8]许年行,江轩宇,伊志宏,等.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012,(7):127-140.
[9]Clinch G,Li W,Zhang Y.Short selling and firms’disclosure of bad news:Evidence from regulation SHO[J].Social Science Electronic Publishing,2016,6(11):140-117.
[10]李志生,李好,马伟力,等.融资融券交易的信息治理效应[J].经济研究,2017(11):150-164
[11]黄俊,黄超,位豪强,等.卖空机制提高了分析师盈余预测质量吗--基于融资融券制度的经验证据[J].南开管理评论,2018(2):135-148.
[12]汪宜霞,夏新平.招股说明书信息含量与新股长期市场表现的实证研究[J].中国会计评论,2004(1):43-60.
[13]蒋义宏.净利润境内外审计差异的实证分析--来自中国B股上市公司年报的证据[J].管理世界,2002(7):121-125.
[14]Healy P,Wahlen J.A review of the earnings management literature and its implications for standard setting[J].Social Science Electronic Publishing,1999,13(4):365-383.
[15]De Bondt W F M,Thaler R H.Do security analysts overreact?[J].The American Economic Review,1990,80(2):52-57.
[16]Abarbanell J S,Bernard V L.Test of analysts’Overreaction/Underreaction to earnings information as an explanation for anomalous stock price behavior[J].The Journal of Finance,1992,47(3):1181-1207.
[17]吴东辉,薛祖云.财务分析师盈利预测的投资价值:来自深沪A股市场的证据[J].会计研究,2005(8):37-43.
[18]李文贵.财务分析师盈余预测特性研究--中国A股市场的实证检验[J].财会通讯(学术版),2007(9):52-55.
[19]Li Y,Zhang L.Short selling pressure,stock price behavior,and management forecast precision:Evidence from a natural experiment[J].Journal of Accounting Research,2015,53(1):79-117.
[20]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.
[21]Michaely R,Womack K L.Conflict of interest and the credibility of underwriter analyst recommendations[J].Social Science Electronic Publishing,1999,12(12),653-686.
[22]Lim T.Rationality and analysts’forecast bias[J].The Journal of Finance,2001,56(1):369-385.
[23]Jackson A R.Trade generation,reputation,and sell-side analysts[J].The Journal of Finance,2005,60(2):673-717.
[24]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?--基于自然实验的证据[J].经济研究,2015(4):165-177.
[25]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性--来自中国融资融券市场的自然实验[J].金融研究,2015(6):173-188.
[26]曾颖,陆正飞.信息披露质量与股权融资成本[J].经济研究,2006(2):69-79.
[27]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):133-141.
[28]罗进辉.上市公司的信息披露质量为何摇摆不定?[J].投资研究,2014(1):134-152.
[29]郭娜,祁怀锦.业绩预告披露与盈余管理关系的实证研究--基于中国上市公司的经验证据[J].经济与管理研究,2010(2):81-88.
[30]谭松涛,甘顺利,阚铄.媒体报道能够降低分析师预测偏差吗?[J].金融研究,2015(9):192-206.