创业板上市公司文本惯性披露、信息相似度与资产定价——基于Fama-French改进模型的经验分析

“管理层讨论与分析”MD&A是上市公司财务报告“董事会报告”的重要内容,为投资者提供了管理层如何看待企业经营状况的历史信息及未来事项的前瞻性信息,在投资者决策中起到至关重要的作用。如果管理层披露的MD&A信息不能按时间推移和公司经营状况变化进行动态调整,那么将会对资本市场产生何种影响,这是投资者与监管者普遍关心的问题。本文以创业板上市公司2010年-2012年披露的MD&A文本信息为样本,以“信息相似度”为文本惯性披露行为的计指标,运用改进后的Fama-French资产定价模型,实证检验了MD&A信息相似度与股权资本成本之间的关系。经验证据显示信息相似度与股权资本成本之间存在正相关关系。     

The relationship between information content and institutional investors: evidence from new product preannouncements

In this study, we investigate the relationship between information content of new product preannouncements (NPPAs) and trading behaviors of institutional investors. Using hand-collected data from 1995 to 2004, in empirical results, we find that there is a significantly positive relationship between information content and institutional investors. NPPAs can help institutional investors to evaluate the potential success of forthcoming new products through signaling enough information content. As a result, more information cues and earlier NPPAs can make institutional investors choose these preannouncing firms into their investment portfolios to increase their holdings and attract more different institutional investors to hold these shares of preannouncing firms. In addition, we also find the positive advertising and R&D investment effects. Our findings suggest that managers should use the information content of NPPA signals to reduce information asymmetry and help managers to implement their NPPA strategies so as to receive greater financial support from institutional investors.     

The Role of Financial Institutions in the Corporate Governance of Listed Chinese Companies*

This paper explores the role of Chinese financial institutions in the corporate governance of listed companies through interviews with both senior managers of financial institutions and board directors of listed companies. Our results show that, while most securities companies are passive investors, a good proportion of the active mutual funds help their portfolio companies prepare financial forecasts, standardize their operations, raise external funds, strengthen their company image in the capital markets, and sometimes intervene in corporate issues. This limited role can be attributed to a number of factors specific to the Chinese context including highly concentrated state ownership, an immature regulatory environment, inadequate transparency and disclosure of financial information, and weak corporate governance within financial institutions themselves. It could also be affected by several other factors that are considered to cause institutional passivity in developed countries such as conflicts of interest, monitoring costs and lack of expertise.     

The impact of venture capital on investee companies: evidence from Spain

This paper examines the impact of venture capital investors on the financial structure of investee companies and the factors relevant to their capital structure, differentiated according to the investor’s public or private nature. This paper contributes to our understanding of the beneficial effects of such investors in response to the funding needs of SMEs and the decisions taken in this respect. The empirical analysis shows that, on average, these investee companies have a lower level of short-term debt than the average Spanish company. It is suggested that the debt structure is related to the growth opportunities presented, the business sector, the geographic location and the duration of the venture capital participation. These results, which are more significant in the case of companies receiving funds from public investors, highlight the effectiveness of the economic function of venture capital.     

会计信息质量与公司资本配置效率——来自我国上市公司的经验证据

高质量会计信息能通过改善契约和监督,降低道德风险和逆向选择,从而提高公司资本配置效率,但至今仍未出现针对我国上市公司的经验证据.结合我国新兴加转轨的制度背景,以我国沪深上市公司为研究样本,实证结果表明:会计信息质量与上市公司投资不足和过度显著负相关,其中应计质量和盈余平滑性与上市公司投资不足和过度间的负相关性最为显著.因此,我们应该完善我国上市公司财务报告和披露系统的市场基础设施,如机构投资者和分析师队伍等,进一步进行制度创新以更好发挥会计信息在公司资本配置中的作用.     

机构投资者信息搜寻、公开信息透明度与私有信息套利

本文利用特有的机构投资者私有信息搜寻数据,研究了机构投资者的信息搜寻、透明度与私有信息套利的关系。本文的研究发现,机构投资者的信息搜寻和信息披露的透明度降低了私有信息套利,而且机构投资者信息搜寻、信息披露透明度在私有信息套利严重的公司对降低私有信息套利的作用更加明显。同时,本文的研究结果也表明,机构投资者信息搜寻与信息披露透明度对私有信息套利存在交互效应,随着信息披露透明度的提高,机构投资者信息搜寻对私有信息套利的边际效应下降。     

机构投资者与上市公司“合谋”了吗:基于高管非自愿变更与继任选择事件的分析

机构投资者在公司治理中究竟扮演的是有效监督者,还是旁观者,抑或合谋者的角色理论界对此一直存在争议。本文选择高管更替这一研究视角,以2004-2008年间沪深A股上市公司为研究样本,实证检验机构投资者持股对高管非自愿变更以及继任选择决策的影响,以此考察机构投资者在公司治理中的角色。结果显示,机构持股比例越高,公司高管因绩差被撤职的可能性越小,而且即使高管被更换后,公司也更倾向于从内部聘任继任者。进一步的研究发现,高管被撤换后公司业绩显著提高。其中,从外部聘任继任者的公司业绩有明显改善,而从内部选聘继任者的公司经营业绩没有转机。以上结果说明在高管更替事件上,机构投资者扮演的是上市公司管理层合谋者的角色。分组样本的结果表明,机构投资者的合谋者角色仅限于在总经理更替决策上具有显著的影响力,而对董事长的更替作用有限。而且,公司的股权集中度越高,机构投资者的作用越不显著。     

北上资金、百度指数与股市关联性的时频域研究——基于协高阶矩视角

为准确考察经由陆股通的资金量与投资者关注度对股市的影响，并兼顾股市时频域特征，将EEMD与高阶矩波动模型相结合，分别构建三个频率尺度下股市收益率、北上资金与百度指数的三元GARCHSK模型，基于时变协高阶矩视角对模型所得结果进行对比分析。结果表明：北上资金及投资者关注度均与内地股市存在时变关联关系；协高阶矩逐步成为内地股市与北上资金风险传染与波动关联的重要途径，且关联性逐步提高，而投资者关注度与内地股市的关联途径较少，关联关系存在较大不确定性；内地股市的短期均值与方差变动更多地取决于北上资金量，长期非对称性、极端风险概率的变动则与投资者对相关信息的关注程度存在更为显著的关联。本文从不同频率尺度探讨北上资金、投资者关注度与内地股市的协高阶矩关联途径与时变互动关系，为后续互通机制的政策效应研究提供了更为全面的角度和思路。     

中国股票市场IPO折价实证研究

IPO折价普遍存在于世界股票市场,有关IPO折价的研究是一个热点问题.中国股市的特殊性使IPO上市股票的折价不但符合IPO的普遍规律,而且具有很多独特的规律.结合有关折价原因的几种理论和假说(包括信息不对称、股权分配、投资者非理性等),对中国股市IPO折价的存在性和不同市场、股票类型折价的差异性以及造成这些差异的原因等进行实证研究,并对承销商声誉的衡量、股市上升期和下降期的折价表现、同一企业A股和B股发行顺序对折价的影响等进行研究,揭示中国IPO折价的存在性、股票市场的差异性以及造成差异的原因,探索股票一、二级市场的有机结合路径,对规范和完善IPO市场定价机制、帮助监管者制定规则和引导投资者理性投资等具有一定的指导意义.     

An investigation of the attention effects of venture capitalist backing on entrepreneurial firms

In this paper, we predict that venture capital (VC) backed initial public offerings (IPOs) will attract more attention than non-VC-backed IPOs, as VCs offer important signals to investors searching for information about entrepreneurial firms. We use a measure developed by Google (i.e., Trends) to capture the spikes in investors' attention experienced by firms in the time period surrounding their IPOs. Our results demonstrate that firms backed by VCs enjoy a far greater spike in attention than their counterparts. Furthermore, we find that firms with more prominent VCs, a larger number of VCs, and VCs situated at farther geographic distances exhibit significantly greater spikes in investors’ attention during the week of their IPO. Combined, the findings show a clear demarcation between entrepreneurial firms with or without VC backing, they bring to the fore new upshots stemming from the relationship between VCs and entrepreneurial firms, and they raise new potential questions on this relationship and beyond.     

论控股公司的风险与回报率

在完备的资本市场中,控股公司并不能给股东带来更多的好处,因此它并没有存在的依据;在非完备的资本市场中,控股公司通过多样化投资,能够在同等风险水平上增加小投资者的财富或者在相同回报率的水平上降低小投资者的投资风险。控股公司多层控股使整个控股公司体系的财务杠杆比率很高,因此控股公司实质上采取了高财务风险、高回报率的融资政策。     

公司信息透明度与大股东资金占用研究

本文以2002-2006年非金融类的中国A股上市公司为研究对象,分析了公司信息透明度与大股东资金占用之间的关系.研究发现,在控制其它影响因素条件下,公司信息透明度越差,大股东资金占用问题越严重.该研究结论表明,提高公司信息透明度将有助于改善大股东与中小股东之间的信息不对称,缓解二者之间的代理冲突,减少大股东资金占用的可能性.     

信息不对称下逆周期缓冲资本对银行投融资的影响

本文将信息不对称引入到包含逆周期缓冲资本的分析框架，应用不完全信息条件下的信号传递理论，建立动态博弈模型，计算证券的风险中性价格，给出银行应用投资水平传递类型信号的单交叉条件，并研究了逆周期缓冲资本对银行投融资决策的影响。数值分析表明：逆周期缓冲资本能显著降低投资者的逆向选择成本，缓解银行投资扭曲程度，提升银行运营稳健性并导致银行提前投资。更为重要的是，只要设计合适的转股率，逆周期缓冲资本可以完全消除逆向选择成本。同时，结果进一步表明低成本银行更倾向于发行逆周期缓冲资本。     

机构投资者关注上市公司的信息透明度吗?——基于不同类型机构投资者选股能力视角

机构投资者一直以具有较好的选股能力立足于资本市场。本文利用2004-2007年深交所的上市公司为样本,从信息透明度角度检验机构投资者的选股能力。实证研究发现:与预期一样,在信息透明度评级较高的公司,机构持股比例会较高和持股机构数目会较多,短线机构持股比例会较高;在信息透明度评级上升的公司,机构会调高持股比例和增加机构数目,短线机构会调高持股比例,长线机构投资者并不会基于信息透明度评级的变化调节其持股比例;与预期相反,在信息透明度评级较高的公司长线机构持股比例会较高。因此,提高公司持股机构化的同时拓宽机构投资者信息获取通道是当务之急。     

B股向境内居民开放对市场信息不对称的影响——买卖价差分解方法

投资者之间的信息不对称严重影响了市场的有效性.运用买卖价差分解技术,把价差分解成流动性价差和信息不对称价差,比较了它们在B股开放前后的差异,研究了B股向境内居民开放这一事件对市场信息不对称的影响.结论表明,境内居民参与交易虽然增加了股票流动性,但并没有改善市场交易者之间的信息不对称环境.     

阶段性信息披露和风险资产定价

上市公司的内部人通常拥有比其他投资者更多的信息,同时他们有义务把所知道的信息透露给投资者。但是在现实的金融市场中,信息披露者通常会采取对其最有利的信息披露方式。不同于以往的信息披露模型,我们假定内部人所披露的信息必须是正确而且全面的,但他们可以在一定程度内调整信息披露的时机。本文研究了这种情形下的资产均衡价格,并且分析了其经济含义以及在金融监管方面的实践意义。     

多基本面下异质交易者竞争及流动性分析

假设风险资产出清价值由多个基本面组成，比较分析了同质与异质信息结构下交易者策略的相互作用及对市场的影响。结果发现：交易者人数增加所导致的竞争会提高市场流动性及市场信息效率，同时对同质交易者产生挤出效应和对异质交易者产生促进效应；异质知情交易者在私人信息质量方面的竞争则会加剧市场信息不对称程度，降低市场流动性；异质交易者间通过信息质量的竞争决定收益分配。理论上，市场流动性存在最佳状态。     

The value of audit quality in public and private companies: evidence from Spain

This paper compares the value of audit quality, proxied by the selection of a big N auditor, to the external claimholders of private and public companies. Although the combination of a lower ownership concentration of public companies, the greater demand for financial information quality about these companies and their higher litigation risk can result in the expectation that audit quality should be more valuable for public than for private companies, the greater information asymmetry between the managers and the external stakeholders and the unavailability of alternative mechanisms for monitoring the managers can make external audit more valuable for the external claimholders of private companies. In this paper, we test these two competing views by analysing if banks and lenders take into account auditor selection in the formation of the cost of debt. Our results support the second view: we find that only private companies obtain a lower cost of debt when they are audited by a high-quality auditor. These results are robust to both endogeneity and unobserved firm-specific heterogeneity.     

股权、董事会治理与中国上市公司的企业信用

交易创造整个地外推了效用曲线 ,由于交易时滞、信息不对称和内生性交易费用给交易带来了障碍。企业信用这种安排可以以信号、抵押、担保的方式部分地消除这种障碍。中国上市公司的企业信用受其治理状况的约束 ,本文从406家调查样本中选取了249家中国上市公司的数据 ,对其企业信用与股权和董事会的治理进行了实证研究。尽可能地为中国上市公司企业信用建设提供一些更有说服力的依据。     

Corporate social responsibility disclosure and information asymmetry: the role of family ownership

This study considers the moderating role of family ownership, taking into account information differences between family and minority investors, and corroborates the existence of a two-way relation between CSR disclosure and information asymmetry. Our analysis of international corporate financial data for the period 2003–2009 shows there is an adverse selection effect by which family owners take advantage of insider information, thus attenuating any reduction of information asymmetry achieved by CSR disclosure.