Abstract: Since the establishment of the “information disclosure through traffic” system, China's market supervision has gradually changed to the direction of “relaxing control and strengthening supervision”. The stock exchange's non-penalty supervision of listed companies has become an important means of information supervision in the capital market, which is an important complement to the government's supervision. This paper takes A-share listed companies in Shanghai and Shenzhen of China from 2015 to 2021 as samples to study the impact of regulatory inquiries on companies' cost of equity capital. Through empirical research, it is found that the cost of equity capital will increase significantly after the listed companies are subject to non-punitive supervision. The company's delay in responding to inquiry letters and the complexity of inquiry letter procedure and content will enhance the positive impact of non-penalized regulation on the cost of equity capital. However, the level of receiving letters in the industry in the previous year can weaken the positive impact of non-penalized regulation on the cost of equity capital to some extent.
After a series of robustness tests, such as instrumental variable method, PSM propensity matching score method, PSM-DID method, Heckman two-stage method, time effect method and only screening annual report inquiry letter, the above conclusions are still valid. The mechanism test shows that the regulatory inquiry of the exchange will expose the company's “bad news” to the spotlight, directly reduce the company's reputation, indirectly increase the company's financial risk and reduce the risk of attention, and then increase the company's equity financing cost. Further research with the sample of companies that have received the inquiry letter finds that when the inquiry letter involves imperfect information disclosure, abnormal changes in financial data, mergers and acquisitions, R&D and innovation, and when the types of problems involved increase, investors will increase their necessary return rate to avoid risks, resulting in an increase in the company's cost of equity capital. In addition, the positive impact of non-punitive regulation on the cost of equity capital mainly exists in companies with poor internal governance, and also depends on the market environment. The effect is better when the company is in a higher degree of marketization.
The significance of this study mainly lies in expanding the research perspective on the effect of non-penalized regulation and exploring its impact mechanism in depth, which not only enriches the research on the economic consequences of non-penalized regulation and the factors affecting the cost of equity capital, but also provides new ideas for improving the effectiveness of self-regulation in the capital market. Based on the research conclusions, the following suggestions are put forward: The stock exchange can strengthen the non-penalty supervision by increasing the punishment form of supervision inquiry and standardizing the content of inquiry letter. Listed companies should take the initiative to accept the regulatory inquiry of the exchange, actively improve the internal governance system, and strive to improve the awareness of information disclosure responsibility.

Key words: Non-penalty Regulation, Cost of Equity Capital, Inquiry Letter

摘要： 本文以2015—2021年沪深A股上市公司为样本,通过实证研究发现,上市公司受到非处罚性监管后,权益资本成本会显著提高;公司的延期回函行为、问询函程序和内容的复杂程度会增强非处罚性监管对权益资本成本的正向影响;而上市公司所在行业上一年的收函水平能够在一定程度上削弱非处罚性监管对权益资本成本的正向影响。进一步通过检验其内在影响机理证实,交易所的监管问询会将公司的“坏消息”曝光在聚光灯下,通过损害公司声誉、加剧公司风险,进而增加公司的股权融资成本。

关键词: 非处罚性监管, 权益资本成本, 问询函