环境信息披露、分析师关注与股价同步性——基于强环境敏感型行业的分析  

Environmental Information Disclosure, Analyst Attention and Stock Price Synchronicity: Evidence from Strong Environmental Sensitive Industries

作　　者：危平[1] 曾高峰 Wei Ping, Zeng Gaofeng(School of Business, Central South University, Changsha 410083, China; 2. Green Finance Research Center, Central South University, Changsha 410083, China)

机构地区：[1]中南大学商学院,湖南长沙410083 [2]中南大学绿色金融研究中心,湖南长沙410083

出　　处：《上海财经大学学报（哲学社会科学版）》2018年第2期39-58,共20页Journal of Shanghai University of Finance and Economics

基　　金：国家自然科学基金重点项目(71633006).

摘　　要：文章以上证A股强环境敏感型行业2011–2015年的公司为样本,研究公司环境信息的披露对股价同步性的影响,以及分析师关注所起的调节作用,以揭示环境信息进入股价的渠道。研究表明:(1)上市公司环境信息的披露,无论是显著性、量化性还是时间性的内容,其披露水平与股价同步性正相关;(2)环境信息的披露并不会增加分析师的关注度;(3)关注该公司的分析师会对年报中的环境信息进行解读,并将其反映在股价中,使得环境信息与股价同步性之间的正向关系随着分析师关注度的增加而降低。因此,当噪音是股价同步性的主要驱动因素时,环境信息披露降低了对企业未来发展的不确定性认知,起了"降噪"作用。文章的研究结果为中国股票市场的环境信息效率研究提供了更为直接的证据。Since 2008, government agencies such as the Shanghai Stock Exchange and the Ministry of Environmental Protection in China have issued a series of policies to encourage and guide Chinese enterprises to carry out environmental information disclosure. With regulation strictness, more and more enterprises start to pay attention to the impacts of their own production and operation on the environment, and disclose environmental information to demonstrate their environmental compliance. Environmental information becomes an important source for corporate idiosyncratic information, not only reflecting enterprise environmental risk ＆ transmitting business signal, but also affecting enterprise financing and valuation estimation. Investors could use the environmental information to assist in investment decisions. As a representative of emerging markets, the volatility of the Chinese stock market is greatly impacted by the noise, and the research conclusions on stock price synchronicity are not consistent. The existing ＂information efficiency view＂ holds that corporate idiosyncratic information is the main factor leading to high-degree individual volatility, while a ＂noise-based view＂ argues that noise and irrational factors are the main causes of individual fluctuations. Therefore, it is valuable to explore whether environmental information disclosure can help reduce uncertainty on firm＇ s development and improve stock price synchronicity. This paper uses a sample of Chinese A-shared listed firms in the environmental sensitive indu- stries between 2011 and 2015 to investigate the relationship between environmental information disclosure and stock price synchronicity, and the role of analyst attention in moderating the relationship in the Chinese stock market. The results suggest as follows： firstly, environmental information disclosure of listed firms, no matter it covers significance, quantitative or timing issues, is positively correlated with stock price synchronicity; secondly, corporate environment

关 键 词：环境信息披露 环境敏感型行业 股价同步性 分析师关注 噪声 

分 类 号：F832.5[经济管理—金融学]