资本市场开放能否提高企业信息披露质量？——基于“沪港通”和年报文本挖掘的分析

提高信息披露质量对于改善上市公司治理结构和保护股东权益具有重要意义。本文利用2014年开通的“沪港通”机制这一准自然实验,研究资本市场开放是否提高了企业的信息披露质量。从2010-2019年A股上市公司年报文本中提炼可读性指标衡量信息披露质量,使用匹配和双重差分方法进行实证研究,发现“沪港通”机制实施以后,标的公司(纳入“沪港通”的A股上市公司)的信息披露质量显著提高。这一结论对不同的估计方法、样本区间及控制变量组均保持稳健。异质性分析表明,对于盈余操纵水平较高、股价信息含量较低的企业,资本市场开放能够更好地改善其信息披露质量。本文丰富了资本市场开放对企业行为和绩效影响的实证研究,为继续推进资本市场开放政策提供了理论依据。

Can Opening the Capital Market Improve the Quality of Corporate Information Disclosure？ An Analysis Based on the Shanghai-Hong Kong Stock Connect and Annual Report Texts

The Shanghai-Hong Kong stock market exchange mechanism(hereafter referred to as the Shanghai-Hong Kong Stock Connect)was implemented on November 17,2014.Investors in Hong Kong have been able to buy and sell stocks on Shanghai Stock Exchange within a specified range since the implementation of the Shanghai-Hong Kong Stock Connect mechanism.Mainland investors,conversely,are now able to buy and sell Hong Kong Stock Exchange stocks within a specified range.We take this capital market opening policy as a quasi-natural experiment.We use data from A-share listed companies from 2010 to 2019 to study the impact of capital market opening on the quality of public information disclosure by listed companies.Referring to the literature,we calculate two readability indicators to measure the quality of companies'public information disclosure.These indicators are the proportion of commonly used words and the degree of text certainty.We take companies affected by the Shanghai-Hong Kong Stock Connect as the experimental group,and the remaining companies as the control group.We use difference-in-differences(DID)estimation,propensity score matching(PSM),and the synthetic control method to identify the causal effect of this capital market opening on the quality of companies'public information disclosure.We source companies'annual report texts from the Juchao Information Network.The financial data come from the CSMAR database.We find that the capital market opening has improved the readability of relevant companies'annual report texts and significantly improved the quality of public information disclosure.This result is robust to various processing methods,including the addition of corporate governance and information environment control variables,consideration of the Shenzhen-Hong Kong Stock Connect,and the adoption of time-varying DID estimation.Further heterogeneity analysis shows that the improvement of text readability is more pronounced in companies with greater earnings manipulation and less stock price information.This indicates that the capital market opening effect is more significant in companies with weaker governance and lower information disclosure quality.The main contributions of our research are as follows.First,we shift the research perspective from the amount of information disclosure by listed companies to information disclosure quality given the exogenous impact of capital market opening.Our findings indicate that capital market opening is an effective way to improve the market's overall information quality.Second,we exploit text mining technology to construct text readability indicators,thereby enriching related research on information disclosure quality.We provide a more intuitive and less dependent method of measuring the quality of information disclosure by mining and analyzing listed companies'annual report texts.We thereby enhance understanding of the impact of capital market opening on the quality of information disclosure.Third,we provide new empirical evidence of the impact of capital market opening on corporate behavior and performance.We find that capital market opening improves the quality of corporate public information disclosure.Our empirical evidence helps us to understand the important role of capital market opening in promoting the maturity of financial markets.It also provides theoretical support for the Chinese capital market opening policy.Our study's policy implications for capital market opening and capital market system construction are as follows.First,China could open its capital market further to the global financial market,expand the market's capacity,make full use of the resources of both domestic and international markets,and guide enterprises to improve their governance.Second,the expansion of financial market opening leads to more stringent requirements for the quality of supervision.Supervisory departments should increase their emphasis on the quality of information disclosure and actively guide enterprises to improve their information disclosure quality,especially regarding public information.Finally,supervisors should also pay attention to the difficulty of understanding disclosure texts and to minimizing false and ambiguous statements that may mislead investors.This will guide companies to improve the quality of their information disclosure in annual reports.For example,supervisors could ask companies to clarify unclear words in their annual reports to urge them to enhance their information disclosure.