中国式风险披露、披露水平与市场反应  

Chinese Styled Risk Disclosure,Disclosure Level and the Market Reaction

作　　者：姚颐[1] 赵梅[1] 

机构地区：[1]南开大学商学院,300071

出　　处：《经济研究》2016年第7期158-172,共15页Economic Research Journal

基　　金：国家自然科学基金面上项目(NSFC.71272187;71472096);2014年南开大学百名青年学科带头人;2016年天津市委宣传部"五个一批"(理论)人才;南开大学2011年基本科研业务费专项资金项目(NKZXB1116)的支持

摘　　要：风险要素披露是资产有效定价的前提,本文研究了我国发行新股时《招股说明书》中风险因素的披露状况以及市场反应。研究发现:第一,在控制相关变量后,公司所披露的总风险越多、财务风险和经营风险越多,IPO抑价越低、流动性越强。第二,从公司披露意愿来看,未来业绩差的公司较业绩好的公司有更强的披露意愿,这并不是因为业绩差的公司更为诚实或是更为聪明,而是为了规避未来业绩下降所带来的行政处罚。第三,从市场反应来看,面临诚信危机的证券市场,坦诚披露作为一种稀缺资源会收获更多的市场奖励,即公司的新股发行效率提高。最后,在稳健性检验中本文创造性地构建"模糊指数",对含糊其辞的风险披露予以甄别,检验结果与前文一致。本文的另一个重要贡献是,跳出了以往的计算机文本搜索方式,首次以人工阅读方式度量风险。本文的结论对我国即将推行的注册制新股发行具有重要的预测及指导作用。The effective assets pricing is based on the disclosure of risk factors. This paper studies the relationship between the risk disclosure and IPO efficiency under the Chinese IPO prospectuses. We firstly find, after controlling relevant variables, more total risks, financial risks and operational risks disclosure will reduce IPO underpricing and boost liquidity. Secondly, companies with poor future performances have stronger willingness to reveal information, as a result of avoiding the regulation penalties following with the on-going earnings falling down, rather than being more honest or wiser instead. Thirdly, with the credit lack in securities market, honest disclosures will get more reward with lower IPO underpricing and more liquidity. Another important contribution of this paper is that, instead of indirect measurements of risks by keywords searching and counting by computers, we manually collected risk information by the undergraduate students, in the way to set up the ＂ vagueness index＂ comparing with the raw risk disclosures. The conclusions of this paper are benefit for improving information disclosure level in China in terms of theory and practice.

关 键 词：信息披露 风险 IPO抑价 流动性 招股说明书 

分 类 号：F832.51[经济管理—金融学]