The impact of reporting frequency on the information quality of share price: evidence from Chinese state-owned enterprises

As a major global exchange, the Stock Exchange of Hong Kong (SEHK) only requires semi-annual reporting whereas other major exchanges including the ones in Chinese mainland require quarterly reporting. We argue against the traditional view that higher reporting frequency is necessarily more beneficial. The decision on reporting frequency depends on how the information is being processed by the recipient traders and the results are not obvious. Using a sample of Chinese companies duallisted in both China A share market and SEHK (AH shares) as the experimental group and mainland’s companies listed on SEHK (H shares) only as the control group, we apply the difference-in-difference (DID) method to investigate the impacts of reporting frequency on stock information quality. The results suggest that after China A share market require quarterly financial reporting for all listed companies in 2002, the information asymmetry of the H tranche of AH stocks increases. Different from prior studies, the results suggest a negative association between stock information quality and financial reporting frequency. We argue that the increased information asymmetry in the H tranche is caused by the noise spilled over from the A tranche. We conduct multivariable GARCH tests and find evidence supporting this conjecture.     

我国股票市场信息不对称现象成因与风险控制对策分析

由于信息在上市公司和投资者之间存在传递障碍,世界各国的股票市场普遍存在信息不对称现象。我国股票市场正处于经济转轨的特殊时期,信息披露制度的缺陷,信息不对称现象尤其严重,集中体现在发行者与投资者、机构投资者与个人投资者之间,致使投资者的利益蒙受损失。分析信息不对称现象在我国股票市场存在的原因,以及风险控制的对策,以确保股票市场健康有序的发展。     

Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange

This study investigates whether the new quarterly disclosure reporting requirement issued by the Tokyo Stock Exchange was related to the reduction of the degree of private information‐based trade and the liquidity of listed stocks in Japan, or as a reverse causality, helped dichotomize good firms and bad firms as a separating signaling equilibrium. We use the probability of asymmetric information‐based trade (Adjusted PIN) as a measure of information asymmetry and the probability of symmetric order‐flow shock (PSOS) as a measure of market illiquidity. We use a sample of public firms from 2002 to 2007 that chose to either disclose or not disclose quarterly financial reports. We find that the disclosing firms had lower information asymmetry (Adjusted PIN), lower symmetric order‐flow shocks (PSOS), and lower private information‐based trade (PIN). When we conduct further difference‐in‐differences tests, we find that the firms with lower information asymmetry and higher liquidity had a higher tendency to disclose their financial statements and vice versa. Thus, the new disclosure requirement did not necessarily improve the information asymmetry and liquidity of firms, but instead helped good and bad firms form a case for a separating signaling equilibrium.     

从股票发行与上市价格的影响因素看我国股市IPO抑价现象的原因

目前,在我国股票市场上一直存在着新股发行价低于上市价格的抑价现象,其主要原因是股市发行与交易市场参与者之间信息不对称。应加速完善上市公司信息披露机制,提高信息的真实性、及时性以及投资行为的理性化程度,借助信息和资金优势带动股票市场价格保持在合理且相对平稳的范围内。只有这样,股票市场价格才会更加清晰的反映出公司实际投资价值,发行价与上市价间的差距也会逐步降低。     

Foreign vs. domestic listing: An entrepreneurial decision

In this paper, we use a unique hand-collected dataset to analyze stock listing as an entrepreneurial decision. By comparing mainland Chinese entrepreneurial firms listed in Hong Kong with the same type of firms opting for a domestic listing on the Shenzhen second board market, we argue that the decision to list on a particular stock exchange is a question of entrepreneurial signaling, and often a trade-off between short-term financial considerations and the entrepreneur's pursuit of long-term benefits.     

Financial disclosure by SMEs listed on a semi-regulated market: evidence from the Euronext Free Market

This study investigates the financial disclosure policy of small and medium-sized enterprises listed on a stock market with very low disclosure requirements: the Free Market of the Euronext Stock Exchange. In contrast to firms listed on a regulated stock market, firms on the Free Market do not have any obligation to disclose periodic or price-sensitive information. We investigate the determinants of voluntary financial disclosure and its influence on stock liquidity. Our results suggest that firms disclose more financial information when they are likely to benefit from disclosure. Firms especially disclose when they issue equity. Voluntary disclosure also has a significant positive effect on stock liquidity, consistent with disclosure reducing information asymmetry.     

会计改革提高我国上市公司财务报告稳健性了吗?

以1992—2005年中国A股上市公司为样本,采用多重度量方式,包括累积应计数字变化、盈余反应好坏消息的时效性差异以及净值相对于市值持续向下偏误的程度等,对我国上市公司财务报告稳健程度进行研究。研究结果发现:自1998年起,由于会计改革与证券法的颁布实施,我国上市公司财务报告的稳健程度在显著增加。结果进一步揭示,我国在会计领域推行的各项会计改革与监管措施在实际运行过程中发挥了一定的成效。     

证券市场选择是否影响公司业绩与价值?--来自中国房地产行业的经验证据

企业在不同资本市场之间的选择往往是上市过程中一个重要决策。上市地点是否会影响其后续业绩表现以及价值？文章基于中国内地房地产企业数据的研究发现,在中国香港上市的企业比在中国内地上市的企业经营业绩更优,而两者在股市价值上并无显著差别。另外,在(中国)香港上市的房地产企业中,国有企业股市价值低于非国有企业;而在中国内地上市的房地产企业中,国有企业股市价值高于非国有企业。研究结果说明,证券市场完善的监管有利于降低代理人问题,提高企业经营业绩。     

中国上市公司首次股票股利信号传递有效性的实证研究

20世纪90年代中后期股票股利曾是我国证券市场较为盛行的分配方式,并因能够带来积极的股价超额收益而被视为是一种典型的信号传递过程。然而本文通过对A股一般行业上市公司首次股票股利分配后的公司业绩进行长期跟踪考察,发现首次分配股票股利的公司无论盈利性或增长能力都明显持续下降,并不能充分支持信号传递假说。统计检验和模型分析均表明,在信息不对称条件下,公司盲目追求股权融资和市场过热的投资预期,在一定程度上削弱了我国股票股利政策传递积极信号的功能,这是这种分配方式不断降温的内在原因。     

萨班斯法案的经济后果分析

二十一世纪初美国爆发了一系列上市公司的财务丑闻,美国随后通过了萨班斯法案,以加强对上市公司的监管。萨班斯法案对美国乃至世界资本市场造成了一系列深远的影响,本文从多个层面分析萨班斯法案的经济后果以及我国内部控制现状,提出完善我国上市公司内部控制规范实施的政策建议。     

Does XBRL adoption reduce information asymmetry?

This paper examines whether or not XBRL (eXtensible Business Reporting Language) adoption reduces information asymmetry in a stock market context. Student t-tests and multiple regression analysis were employed to examine the effect of XBRL adoption on information asymmetry in the capital market. A significant and negative association exists between XBRL adoption and information asymmetry, which implies that the adoption of XBRL may lead to the reduction of the information asymmetry in the Korean stock market. In addition, the effect of XBRL adoption on reducing information asymmetry is stronger for large-sized companies than for medium-sized and small-sized companies. Based on these findings, the demand for XBRL-enabled applications and services in the capital market is expected to grow while governments should promote XBRL adoption for business reporting.     

基于因子分析法的钢铁行业上市公司投资价值分析

在目前股票市场上,钢铁企业的投资价值倍受广大股民关注.通过运用因子分析方法,对上市钢铁公司的财务指标进行分析,明显看出上市公司业绩主要受三个具有一定含义的因子影响.通过对三个因子分析发现,这三个因子有利于投资者对上市公司的财务状况能够有一个明确、简洁和清晰的认识,使他们能够对股票作出正确的评价,在实际应用中,授资者还可结合财务报表的原始数据作出自己正确和明智的判断.     

基于上市公司质量的综合评价

提高上市公司质量是证券市场发展的基本要求,准确评价上市公司质量好坏显得十分重要。通常是从解读上司公司财务报告中的众多指标去把握,但信息量较大而难以快速形成整体定性结论。采用功效系数模型从众多指标中选取具有代表性的指标按其重要程度综合成一个指标值,既可概括地把握每个上市公司品质,又可整体把握整个证券市场全部上市公司的质量水平,还可扩大各上市公司之间的横向可比性,给投资者提供可靠的综合信息,甚至还可据以确定是否上市、退市的标准,现实意义重大。     

企业社会责任信息披露与股票价格关系研究——沪市民营企业的经验证据

文章以2009年沪市A股222家民营上市公司为研究样本实证检验了民营企业社会责任信息披露与股票价格的关系,结果表明,民营企业社会责任信息披露与股票价格负相关。结合企业社会责任实践及其信息披露现状、投资者基于企业社会责任的投资理念以及资本市场有效性,从作用机制视角分析了形成民营企业社会责任信息披露与股票价格关系的深层原因,并由此就改进企业社会责任及信息披露实践和促进资本市场健康发展为上市民营企业、资本市场投资者和监管者带来启示。     

非流通股价值、股改对价与解禁股减持回报

本文以2002—2006年A股非ST类上市公司的388笔非流通股交易为研究对象,得出以下主要结论:第一,非流通股转让价格仅仅是当日非流通股交易价格的0.336;非流通股转让价格相对于流通股价格的比率受非流通股比例的负面影响;第二,此轮股权分置改革对价大多集中于10送3.07股,远低于合理送股对价水平,实际送股数量难以保证流通股股东的合理经济利益。进一步的分析也表明,股改前非流通股比例、非流通股转让价格比例是影响大小非套现回报率的重要因素。     

Repurchase Announcements, Lies and False Signals

Prior stock repurchase studies have found evidence that the announcement of a repurchase program sends a positive signal to the market. Firms engaging in open-market repurchase programs do not have to report how, when, and if they actually repurchased any shares. Evidence following the stock market crash of 1987 indicates that many firms announcing repurchase plans did not actually repurchase any share and, by their own admission, had no intention of repurchasing shares. Companies announcing plans and not following through are apparently within the letter of the law. However, we argue that companies announcing plans with no intention of repurchasing shares are guilty of either lying or sending false signals. These companies create distrust in the investment community and intentionally mislead the public in violation of the SEC's antifraud provisions. Changes in the reporting procedures concerning repurchase plans are ethically and legally warranted.     

Stock Market’s Reaction to Disclosure of Environmental Violations: Evidence from China

The stock market’s reaction to information disclosure of environmental violation events (EVEs) is investigated multi-dimensionally for Chinese listed companies, including variables such as pollution types, information disclosure sources, information disclosure levels, modernization levels of the region where the company locates, ultimate ownership of the company, and ownership held by the largest shareholder. Using the method of event study, daily abnormal return (AR) and accumulative abnormal return (CAR) are calculated under different event window for examining the extent to which the stock market responds to the EVEs. Furthermore, statistical significance of the difference in stock market reaction is compared between event firms with different characteristics. The relationship between CAR and its impact factors is examined by multivariate analysis. The findings reveal that the average reduction in market value is estimated to be much lower than the estimated changes in market value for similar events in other countries, demonstrating that the negative environmental events of Chinese listed companies currently have weak impact on the stock market.     

上市公司盈利预测信息自愿披露悖论:提出与解读

本文提出了一个关于上市公司盈利预测信息自愿性披露的悖论。该悖论的发现和解读表明,上市公司自愿披露盈利预测信息对减少信息不对称、增加财务信息的有用性具有重要意义。同时,自愿披露盈利预测信息对改善与投资者关系、降低上市公司的融资成本有着正面效应。然而,披露成本的存在使得公司管理层不得不在自愿披露的收益与成本之间反复斟酌,并且盈利预测信息的供求结构、资本市场的竞争强度以及经理人市场发展水平等对上市公司披露盈利预测信息的意愿程度也会产生重要影响。     

上市公司审计、财务困境与会计师事务所更迭——基于2000-2003年上市公司数据的实证研究

上市公司会计师事务所的更换越来越引起市场、投资者以及研究者的关注。本文主要基于国外的相关研究和中国股市及上市公司的特征，提出八个研究假设，然后构建Logistic回归模型，依据2000-2003年上市公司年报数据进行假设检验，主要考察非标准审计意见、审计者规模、财务困境和审计迟滞与会计师事务所更迭之间的关系。综合Logistic回归分析结果，基本上可以认为，在同等条件下，上年度及本年度被出具非标准审计意见、由规模小的会计师事务所审计、每股经营现金流为负(处于财务困境中)、上年度和本年度审计迟滞时间长的上市公司更有可能更换会计师事务所。同时，被ST以及公司规模小的上市公司更有可能更换会计师事务所。     

机构投资者实地调研与投资-股价敏感性——基于管理层学习效应视角

文章利用2013-2018年深圳证券交易所上市公司的数据,实证检验了机构投资者实地调研对投资-股价敏感性的影响。研究发现机构投资者实地调研提高了公司投资-股价敏感性,在股价信息含量越高时,机构投资者实地调研对公司投资-股价敏感性的影响越显著,表明投资者实地调研通过信息反馈效应中的“挤入渠道”增强了管理层向市场的学习行为,机构投资者实地调研对投资-股价敏感性的影响在管理层持股的上市公司中更为显著。研究结果表明机构投资者实地调研可帮助上市公司管理层获取更多决策有用信息,提升资源配置效率,对于完善机构投资者调研制度、提升我国资本市场信息效率具有一定的实践价值。