管理层业绩预告策略与隐含资本成本  

Management Earnings Forecast Strategies and the Implied Cost of Capital

作　　者：董南雁[1] 梁巧妮 林青 

机构地区：[1]西安交通大学管理学院 [2]国网冀北电力有限公司信息通信分公司

出　　处：《南开管理评论》2017年第2期45-57,共13页Nankai Business Review

基　　金：国家自然科学基金项目资助(71302146)资助

摘　　要：本文基于2005-2012年中国上市公司样本,以剩余收益模型为基础计算公司隐含资本成本,研究上市公司管理层业绩预告策略与隐含资本成本之间的关系。实证检验发现,当管理层采取保守或一致预告策略时,公司隐含资本成本显著低于其采取乐观预告策略时,且此关系对于国企与非国企子样本皆成立,说明公司管理层的乐观预告策略受到了市场的惩罚。进一步的实证检验还发现,与自愿预告相比,强制预告情形下管理层预告策略对资本成本的影响更显著;好消息预告下,保守预告策略是最优策略,坏消息预告下,一致预告策略是最优策略。另外,采用两阶段的处置效应模型(Treatment Effect Model),考察了预告策略内生性的影响。上述关系在不同维度稳健性检验下仍然成立。相关研究结论有助于监管层和投资者了解不同预告策略所带来的经济后果,帮助管理层优化业绩预告策略、降低企业资本成本。Management earnings forecasts are the ex ante estimations and preannouncements of forthcoming accounting earnings by corporate management before the formal announcement of periodic financial reports.Both mandatory and voluntary earnings forecasts are observable on China stock markets.Chinese listed firms retain a considerable managerial discretion in the timing,forms and accuracy of forecasts.Based on a sample of Chinese listed companies from 2005 to 2012,we examine the relationship between management earnings forecast strategies and the implied cost of capital estimated by the residual income model in Li and Mohanram（2014）.The forecast strategies are identified based on the difference between forecasted and actual earnings numbers,where upward（downward） forecast difference more than 20% is defined as optimistic（conservative） and forecast difference no more than 20% is defined as consensus（the forecast differences of 10% and 30% are also applied as criteria for sensitivity tests）.Empirical results show that if the management takes a conservative or consensus forecast strategy,the implied cost of capital is significantly lower than that if taking an optimistic forecast strategy,indicating that manager＇s optimistic forecast is punished by the market.The relationship holds for the subsamples of both the state-owned enterprises and non-state-owned enterprises.In addition,we find that the effect of management earnings forecasts strategies on the cost of equity capital is more prominent for mandatory forecasts than the effect for voluntary forecasts;and that the optimal strategy is conservative（consensus） forecast strategy for good（bad） news types.We also deal with the potential endogeneity by using a 2-stage treatment effect model.The overall empirical results are robust for different kinds of research designs.We contribute to the ongoing research on management earnings forecasts by showing the influence of different forecast strategies on the implied cost of capital and also provide new empi

关 键 词：管理层业绩预告 预告策略 隐含资本成本 

分 类 号：F275[经济管理—企业管理]