视而不见?证券分析师与上市公司欺诈关系研究——基于考虑部分可观测的Bivariate Probit估计  

Turn a Blind Eye?A Research on the Relationship Between Securities Analyst and Corporate Fraud:Based on Bivariate Probit Estimation Method with Consideration on Partial Observability

作　　者：马奔 杨耀武 Ma Ben;Yang Yaowu(School of Accounting,Capital University of Economics and Business,Beijing 100070,China;Institute of Economics,Chinese Academy of Social Sciences,Beijing 100836,China)

机构地区：[1]首都经济贸易大学会计学院,100070 [2]中国社科院经济研究所,100836

出　　处：《南开经济研究》2020年第2期92-113,共22页Nankai Economic Studies

基　　金：国家社会科学基金重点项目“推进我国资本市场的改革、规范和发展研究”(14AZD035);国家自然科学基金面上项目“财富积累和财富流动的动力学机制与政策效应”(71673030);首都经济贸易大学北京市属高校基本科研业务费专项资金(XRZ2020037)的资助。

摘　　要：本文以2006—2015年中国A股上市公司为样本,应用考虑部分可观测的Bivariate Probit估计方法,同时考察欺诈事件的发生和发现两个过程,全面检验了证券分析师与上市公司欺诈之间的关系。结果表明,证券分析师与上市公司欺诈之间存在一种“护犊”现象,一方面证券分析师可有效监督上市公司,抑制上市公司的欺诈倾向,体现出积极的治理作用;另一方面却显著降低了上市公司欺诈活动被发现的概率,存在扰乱监管的嫌疑。进一步研究发现,股市周期弱化了分析师的监督效应和掩盖效应,上市公司的并购活动强化了分析师的掩盖效应。考虑内生性后,本文的主要结论依然成立。证券分析师真正关心的是上市公司是否发生了“欺诈事件”,而非是否发生了“欺诈”。This paper explores the corporate governance effect of Chinese securities analysts from the perspective of the corporate frauds.Applying Bivariate Probit estimation method with consideration on partial observability,we decompose fraud into two processes:commission of fraud and detection of fraud.Using sample of China's A-share market from 2006 to 2016,this paper comprehensively investigates the relation between analysts and the corporate frauds.The empirical results reveal that,analysts could,on one hand effectively supervise the activities of corporations by reducing the propensity of committing fraud,but on the other hand reduce the probability of fraud being exposed.Further analysis reveal that prosperity of stock market would weaken both the supervisory and cover-up effects of analysts,and the M&A activities would strengthen the cover-up effect.Our conclusion implies what analysts really care about are the fraud events,not real fraud activities.

关 键 词：证券分析师 公司欺诈 部分可观测 护犊现象 

分 类 号：F832.51[经济管理—金融学]