Cross-Listed Firms Disclosure Regulation and the Risk of Share Price Crash: Evidence from the Implementation of the New Securities Law

Abstract

Abstract: For the same information, cross-listed enterprises may disclose it at different time in different markets, which will lead to different reactions from investors and further cause different degrees of stock price fluctuations. Based on the sample of A-share listed enterprises from 2017 to 2022 in China, this paper uses the DID model to test the effect of the new Securities Law on the information disclosure regulation of cross-listed enterprises from the perspective of stock price crash risk. We find that after the implementation of the new Securities Law, the risk of stock price crashes of cross-listed companies is effectively reduced compared with non-cross-listed companies, and this process is mainly achieved by reducing the differences in investors' opinions and lowering the management's hiding degree of bad news. Heterogeneity analysis shows that the implementation effect of the new Securities Law is more prominent when the management has high motivation or opportunity to hide bad news and the information environment of investors is bad. This paper emphasizes that the implementation of the new Securities Law provides a legal guarantee for the interconnection of the capital market, effectively promotes the stability of China's capital market and promotes the internationalization of enterprises by improving the information disclosure system.

Key words: Cross-listing, Information Disclosure Regulation, Stock Price Crash Risk, the New Securities Law

摘要： 对于同一信息,交叉上市企业在不同市场进行披露的时点可能存在差异,这会导致投资者产生不同反应,进而引发股价出现不同程度的波动,2020年颁布的新《证券法》对此进行了关注与规制。本文以2017—2022年A股上市公司为样本,采用双重差分模型从股价崩盘风险视角检验了新《证券法》对交叉上市企业信息披露的规制效果。研究发现,新《证券法》实施后,相较于非交叉上市企业,交叉上市企业的股价崩盘风险显著降低,且该过程主要通过降低投资者意见分歧与减少管理层坏消息隐藏机制实现。异质性分析发现,当管理层具有较高坏消息隐藏动机或隐藏机会,投资者信息环境较为恶劣时,新《证券法》实施效果更为凸显。本文研究结果表明,新《证券法》实施为资本市场互联互通提供了法律保障,通过完善信息披露制度有效促进我国资本市场稳定并推动企业国际化进程。

关键词: 交叉上市, 信息披露规制, 股价崩盘风险, 新《证券法》

CLC Number:

F832.5

王夺, 李延喜, 何超, 胡云戈. 交叉上市企业信息披露规制与股价崩盘风险——来自新《证券法》实施的经验证据[J]. 财经论丛, 2025, 41(1): 80-91.

References

[1]Hong H., Stein J. C. Differences of Opinion, Short-sales Constraints, and Market Crashes[J]. The Review of Financial Studies, 2003, 16(2): 487-525.
[2]Jin L., Myers S. C. R2 around the World: New Theory and New Tests[J]. Journal of Financial Economics, 2006, 79(2): 257-292.
[3]陈运森, 袁薇, 兰天琪. 法律基础建设与资本市场高质量发展——基于新《证券法》的事件研究[J]. 财经研究, 2020, (10): 79-92.
[4]DeFond M. L., Hung M., Li S., et al. Does Mandatory IFRS Adoption Affect Crash Risk?[J]. The Accounting Review, 2015, 90(1): 265-299.
[5]Zhang Y., Guan Y., Kim J. B. XBRL Adoption and Expected Crash Risk[J]. Journal of Accounting and Public Policy, 2019, 38(1): 31-52.
[6]李沁洋, 许年行. 资本市场对外开放与股价崩盘风险——来自沪港通的证据[J]. 管理科学学报, 2019, (8): 108-126.
[7]钟覃琳, 陆正飞. 资本市场开放能提高股价信息含量吗?——基于“沪港通”效应的实证检验[J]. 管理世界, 2018, (1): 169-179.
[8]Hau H., Massa M., Peress J. Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change[J]. The Review of Financial Studies, 2010, 23(4): 1681-1717.
[9]Stapleton R. C., Subrahmanyam M. G. Market Imperfections, Capital Market Equilibrium and Corporation Finance[J]. The Journal of Finance, 1977, 32(2): 307-319.
[10]Pagano M., Randl O., Röell A. A., et al. What Makes Stock Exchanges Succeed? Evidence from Cross-listing Decisions[J]. European Economic Review, 2001, 45(4-6): 770-782.
[11]Greenstone M., Oyer P., Vissing-Jorgensen A. Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments[J]. The Quarterly Journal of Economics, 2006, 121(2): 399-460.
[12]王雄元, 严艳. 强制性信息披露的适度问题[J]. 会计研究, 2003, (2): 13-18, 65.
[13]Schwert G. W. Why Does Stock Market Volatility Change Over Time?[J]. The Journal of Finance, 1989, 44(5): 1115-1153.
[14]陈国进, 张贻军. 异质信念、卖空限制与我国股市的暴跌现象研究[J]. 金融研究, 2009, (4): 80-91.
[15]Cheung S. L., Palan S. Two Heads Are Less Bubbly than One: Team Decision-making in an Experimental Asset Market[J]. Experimental Economics, 2012, 15: 373-397.
[16]丁慧, 吕长江, 陈运佳. 投资者信息能力: 意见分歧与股价崩盘风险——来自社交媒体“上证e互动”的证据[J]. 管理世界, 2018, (9): 161-171.
[17]Hutton A. P., Marcus A. J., Tehranian H. Opaque Financial Reports, R2, and Crash Risk[J]. Journal of Financial Economics, 2009, 94(1): 67-86.
[18]Kim J. B., Zhang L. Accounting Conservatism and Stock Price Crash Risk: Firm-level Evidence[J]. Contemporary Accounting Research, 2016, 33(1): 412-441.
[19]Boubaker S., Mansali H., Rjiba H. Large Controlling Shareholders and Stock Price Synchronicity[J]. Journal of Banking & Finance, 2014, 40: 80-96.
[20]Xu N., Li X., Yuan Q., et al. Excess Perks and Stock Price Crash Risk: Evidence from China[J]. Journal of Corporate Finance, 2014, 25: 419-434.
[21]Kim J. B., Li Y., Zhang L. Corporate Tax Avoidance and Stock Price Crash Risk: Firm-level Analysis[J]. Journal of Financial Economics, 2011, 100(3): 639-662.
[22]Kim Y., Li H., Li S. Corporate Social Responsibility and Stock Price Crash Risk[J]. Journal of Banking & Finance, 2014, 43: 1-13.
[23]褚剑, 方军雄. 中国式融资融券制度安排与股价崩盘风险的恶化[J]. 经济研究, 2016, (5): 143-158.
[24]Chen J., Hong H., Stein J. C. Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices[J]. Journal of Financial Economics, 2001, 61(3): 345-381.
[25]D' Augusta C., Bar-Yosef S., Prencipe A. The Effects of Conservative Reporting on Investor Disagreement[J]. European Accounting Review, 2016, 25(3): 451-485.
[26]Kim J. B., Zhang L. Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks[J]. Contemporary Accounting Research, 2014, 31(3): 851-875.
[27]Kim J. B., Lu L. Y., Yu Y. Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage[J]. The Accounting Review, 2019, 94(4): 345-364.
[28]王雄元, 张鹏, 顾俊. 信息环境、年报披露时间选择与下年盈余管理[J]. 南开管理评论, 2009, (5): 47-54, 93.
[29]Liu Z., Huynh T. L. D., Dai P. F. The Impact of COVID-19 on the Stock Market Crash Risk in China[J]. Research in international Business and Finance, 2021, 57: 101419.
[30]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.
[31]Cookson J. A., Niessner M. Why don't We Agree? Evidence from a Social Network of Investors[J]. The Journal of Finance, 2020, 75(1): 173-228.
[32]Roychowdhury S., Sletten E. Voluntary Disclosure Incentives and Earnings Informativeness[J]. The Accounting Review, 2012, 87(5): 1679-1708.
[33]伊志宏, 王皓, 陈钦源. 企业对外担保与股价崩盘风险——基于A股上市公司的经验证据[J]. 会计研究, 2021, (4): 157-177.
[34]刘贯春, 叶永卫, 张军. 税收征管独立性与企业信息披露质量——基于国地税合并的准自然实验[J]. 管理世界, 2023, (6): 156-174.
[35]俞萍, 何慧华, 方军雄. 媒体背景董秘的治理角色: 基于股价崩盘风险的证据[J]. 财务研究, 2023, (3): 77-89.
[36]辛清泉, 孔东民, 郝颖. 公司透明度与股价波动性[J]. 金融研究, 2014, (10): 193-206.
[37]李丽丹, 龙文滨, 胡珺, 等. 省域边界、信息成本与股价崩盘风险[J]. 会计研究, 2022, (7): 154-170.
[38]Kim O., Verrecchia R. E. The Relation among Disclosure, Returns, and Trading Volume Information[J]. The Accounting Review, 2001, 76(4): 633-654.