信息披露模式变迁与股价崩盘风险——基于行业信息披露指引发布的证据

摘要/Abstract

摘要： 利用沪深交易所交错发布上市公司行业信息披露指引这一独特制度场景,从股价崩盘风险的视角,探究分行业披露政策实施引致的信息披露模式变迁对资本市场的影响。双重差分模型的结果显示,分行业披露政策的实施显著降低了公司股价崩盘风险;并且这一效应在内部控制水平较低、外部治理环境较差的公司样本中更为明显。这表明,分行业披露政策与公司内外部治理机制在降低股价崩盘风险上具有一定的替代性。进一步研究发现,分行业信息披露有助于降低管理层代理成本抑制其对坏消息的隐藏,同时增加分析师跟踪强化信息传播和吸收,进而缓解股价崩盘风险。本文的研究不仅丰富了信息披露与股价崩盘风险相关领域的理论文献,同时对我国资本市场正在进行的信息披露制度改革实践也具有重要的参考意义。

关键词: 分行业披露, 股价崩盘风险, 信息环境, 代理成本

Abstract: Information is the core element of the capital market, and high-quality information disclosure is the cornerstone of the healthy and stable development of the capital market. Strengthening the construction of information disclosure system, enhancing the transparency of information and better meeting the decision-making needs of investors are the focus of the work of regulatory authorities. With the rapid development of economy, various new economic models and forms are emerging, and the business development shows obvious characteristics of differentiation and diversification. In this context, the industry structure and scale of China's listed companies have also undergone great changes, and gradually formed a new market industry pattern of “one institute connected to all industries”. Considering the differences of business models and businesses among industries, in order to better convey the information about the operation of the company to users, since 2013, the Shanghai and Shenzhen Stock Exchange successively issued the industry information disclosure guidelines of listed companies and formulated the industry key indicators and differentiated information disclosure standards. However, there is still little literature on the impact of the change of industry-specific information disclosure model on the improvement of the information environment of the capital market.
Based on the sample of A-share listed companies in Shanghai and Shenzhen from 2009 to 2019, this paper deeply explores the impact of information disclosure by industry on the stock crash risk and its mechanism. The results of the difference in difference model show that the implementation of the disclosure by industry policy significantly reduces stock price crash risk. Further cross-sectional analysis examines the heterogeneity of the company's internal and external environment, and the results show that when the company's internal control level is low and the external regulatory environment is poor, disclosure by industry has a more significant mitigation effect on stock price crash risk. The mechanism analysis finds that information disclosure by industry can help reduce the agency cost of management and inhibit its concealment of bad news, and at the same time increase analyst tracking and strengthen information dissemination and absorption, thereby mitigating the risk of stock price crash.
The theoretical contributions and practical valuesare as follows: Firstly, the influencing factors of stock price crash risk are examined from a new perspective. The prior literature on stock price crash risk is mainly based on the characteristics of internal and external corporate governance, but little attention has been paid to the impact of changes in market information disclosure models. This paper provides a supplement. Secondly, it helps to better understand the policy effects of the implementation of information disclosure by industry guidelines. Promoting information disclosure by industry a hot issue in the reform of the information disclosure system in the capital market in recent years. However, there is still little literature concerned with the implementation effect of this reform. This paper studies this issue from the perspective of stock price crash risk and information environment improvement, which makes up for the deficiencies of previous literature. Thirdly, this paper has certain practical significance. The research conclusions of this paper show that the implementation of information disclosure by industry has played an important role in regulating the opportunistic behavior of management and improving the flow and dissemination of information. Therefore, securities regulatory authorities should continue to further promote the construction of information disclosure systems by industry, fully consider the heterogeneity of business models between industries, and formulate more targeted industry substantive disclosure indicators. At the same time, we should vigorously improve the company's internal control level, improve the external supervision mechanism, and form a joint effort to maintain market stability.

Key words: Disclosure by Industry, Stock Price Crash Risk, Information Environment, Agency Cost

中图分类号:

F832.5

赵玲, 黄昊. 信息披露模式变迁与股价崩盘风险——基于行业信息披露指引发布的证据[J]. 财经论丛, 2022, 38(7): 79-89.

ZHAO Ling, Huang Hao. The Transfer Information Disclosure Models and Stock Price Crash Risk: Evidence from the Industry Information Disclosure Guidelines[J]. Collected Essays on Finance and Economics, 2022, 38(7): 79-89.

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