会计信息可比性与上市公司业绩预告外溢效应

现有信息披露对资本市场影响的实证研究主要集中研究公司信息披露与自身股价之间的关系。本文对我国上市公司2007—2017年发布的业绩预告的信息外溢效应进行了检验,发现上市公司业绩预告对行业内其他公司的市场反应具有显著解释力,表明我国资本市场业绩预告存在信息外溢现象。并且,公司间会计信息可比性越高,外溢效应越显著,表明会计信息可比性促进了公司间的信息传递,对投资者股票交易具有决策参考意义。进一步检验发现,可比性对信息外溢效应的促进作用在市场竞争更激烈的公司中更为显著。此外,预告公司和非预告公司的信息环境对信息传递的影响有所差异。本文研究结论为我国资本市场外部性现象提供经验证据,对于信息披露质量要求以及披露监管政策研究具有启示意义。

Accounting Information Comparability and The Spillover Effect of Earnings Announcement

Empirical studies on the impact of information disclosure on capital market mainly focus on the relationship between company information disclosure and its own stock price.This paper investigate the information spillover effect of earnings announcement issued by listed companies in China from 2007 to 2017 and find that earnings announcement issued by listed company has a significant effect on the stock price of its peers in the industry.It indicates the information spillover effect of earnings announcement of Chinese capital market.The higher the comparability of accounting information between companies,the more significant the spillover effect is.It shows that accounting information comparability promotes the information transfer between companies,which plays a significant role in the decision-making process of stock trading of investors.Further test shows that comparability has more significant effect on information spillover when companies facing more intense market competition.The information environment of announcing company and that of its peers have different impact on the information transfer.The conclusion provides empirical evidence of the externality of capital market in China.It also enlightens the research on the requirements of information disclosure quality and on disclosure regulatory policies in China.As an important part of the public information of listed companies,the earnings announcement improves the timeliness of earnings information disclosure and is widely accepted by investors in the capital market.On the one hand,earnings announcement conveys the information about the macroeconomic,industrial and company operating information of companies to the market prior to the annual report,which has an important evaluation value for investors decision making.On the other hand,the consistency of accounting year of China's listed companies leads the companies to disclose information in a relatively concentrated period of time,which can cause large fluctuations in the capital market in a short period of time.It has a negative impact on market stability.Therefore,earnings announcement is considered to be able to disclose business information to investors in advance and stabilize the market.The information disclosure of a company will convey the industry trend,so as to convey the industry and other common influences on the earnings of other companies in the same industry,so it may lead to the market reaction of the peers in the capital market.This paper tests the spillover effect of Chinese capital market.Accounting information comparability is an important indicator of accounting information quality.By FASB quotes,comparability is the quality of information that enables users to identify similarities and differences between two sets of economic phenomena.It may help the investors decision making and the efficient allocation of capital.This paper use event studies and follow De Franco et al.(2011)to construct the proxy index of accounting information comparability of listed companies pairs to test the spillover effect of earnings announcement of listed company.To be specific,earnings announcement of a company will affect the stock return of its peers because it transfer information of them.Moreover,the higher the comparability between them,the more the information transferred between them.It proved that accounting information comparability plays an important role in the information transfer and that investors use the information from comparable companies to make investment decisions.Additional test show that the effect of the comparability on intra-information transfer is more pronounce in companies facing more fierce competition.The effect is more pronounce when the information environment of announcing company is more transparent and when the information environment of peer companies is more opaque.It shows that individual investors take use of the information of comparable companies more.Robustness test shows that our conclusion is robust even when we change the indicate variable and the event window.This paper proved the decision usefulness function of accounting information comparability and of financial accounting quality.