摘要
本文基于2005—2020年深交所对中小板和创业板公司的“信息披露考评”结果,构建了非平衡面板数据回归及调节效应模型,研究公司信息披露质量、投资者的成长性预期与公司股价崩盘风险的关系。研究结果表明,中小创企业的信息披露质量越高,其股价崩盘的风险越低;信息披露考评结果的降级,会导致其未来股价崩盘的风险显著增加。本文的创新之处在于,明确区分了市场投资者对中小创企业未来成长性的合理预期与过度乐观预期,并发现两者对公司未来股价崩盘风险的影响具有显著的异质性:成长性合理预期会降低公司的股价崩盘风险,而过度乐观预期则会显著提升中小创公司股价崩盘的风险,并且公司信息披露质量的提升会显著强化后者,加速市场对中小创企业过度乐观估值的理性回归,具有显著的正向调节效应。上述结论经稳健性检验后依然成立。本文的研究结果对改进我国证券交易所“信息披露考评”制度、合理引导中小创投资者的成长性预期以及管控A股市场股价崩盘风险,具有重要的现实启示意义。
Based on the panel data of the SME and GEM companies in Shenzhen stock exchange for years 2005 to 2020, this paper decomposes M/B into investors’ reasonable growth expectation and over-optimistic expectation, then studies the relationship of information disclosure quality, investors’ growth expectations and stock price crash risks. We found that the higher the quality of information disclosure, the lower the stock price crash risk, and company’s stock price crash risk soars when the rating result gets downgraded. Further research shows that investors’ reasonable growth expectation may lower the company’s stock price crash risk next year, while over-optimistic growth expectation can significantly raise it, and company’s information disclosure quality can reinforce the latter relation via significant moderating effect, accelerating the over-valued company’s market value reversion. These conclusions remain valid in all robustness tests. The empirical results of this paper have policy implications for the improvement of both stock exchanges’ information disclosure rating system, investors’ growth expectation mechanism and stock price crash risk management in China’s A-share markets.
作者
陈远志
田靖
CHEN Yuanzhi;TIAN Jing
出处
《金融监管研究》
CSSCI
北大核心
2021年第12期75-91,共17页
Financial Regulation Research
基金
广东省自然科学基金项目“我国中小创企业的成长性预期估值特征、形成机理与股价崩盘风险研究”的资助,项目编号:2018A030313932
粤港澳大湾区发展广州智库青年课题(2019GZWTQN02)及重点课题(2018GZWTZD22)的阶段性研究成果。
关键词
信息披露质量
投资者成长性预期
股价崩盘风险
深交所信息披露考评
Information Disclosure Quality
Investors’Growth Expectations
Stock Price Crash Risk
Information Disclosure Rating System of Shenzhen Stock Exchange
