或有事项信息披露能降低股价同步性吗?  

Can Contingency Information Disclosure Reduce Stock Price Synchronicity?

作　　者：张婷[1] 张敦力[1] ZHANG Ting;ZHANG Dunli(School of Accounting,Zhongnan University of Economics and Law,Wuhan 430073,China)

机构地区：[1]中南财经政法大学会计学院,湖北武汉430073

出　　处：《中南财经政法大学学报》2020年第3期3-13,158,共12页Journal of Zhongnan University of Economics and Law

基　　金：财政部“会计名家工程”支持项目(2019);中央高校基本科研业务费专项资金资助项目“审计师风险判断与风险信息披露研究”(201911137)。

摘　　要：本文基于上市公司年报附注中描述或有事项的段落信息,从股价同步性角度探讨我国公司年报中或有事项信息披露的有用性。研究发现:总体上,年报或有事项信息披露降低了股价同步性,即披露的或有事项信息越多,融入股票定价机制中的公司层面信息越多,股价同步性越低。进一步研究发现:当年增加或有事项信息披露的年报更受投资者关注并引起强烈的市场反应;信息透明度是或有事项信息披露影响股价同步性的不完全中介;按信息中介机构参与度分组研究后发现,或有事项信息披露对股价同步性的负向影响主要体现在分析师跟踪较多、机构投资者持股较多及媒体报道较多的企业中,这表明信息中介机构是年报或有事项信息融入股价的重要媒介;年报或有事项信息披露对股票定价机制的积极影响在年报整体质量较好的公司中更明显。Based on the contingency information disclosed out of the table,this paper empirically examines the effect of contingency information on stock price synchronization.We provide new evidence that the disclosure of contingent information in the annual report reduces the synchronization of stock price,that is,the more the contingent information is disclosed,the more the firm-specific information is integrated into the stock price,and the lower the synchronization of stock price.Channel tests reveal that annual reports with increased disclosure of contingent information in that year is more concerned by investors,which makes the stock price absorb more contingent information and can cause strong market reaction.Reducing information asymmetry is an incomplete mediating effect in the relationship between the disclosure of contingent information and the synchronicity of stock price.When studying the participation of information intermediaries,we find that the negative effect of contingent information on stock price synchronicity is more pronounced when the enterprise followed by more analysts,held by more institutional investors or reported more by news media,which indicates that information intermediaries are important mediums for the integration of contingent information into stock price.In addition,cross-sectional analysis shows that the effect of contingency information in annual reports only exists in firms with high quality accounting information.

关 键 词：或有事项信息 公司特质信息 股价同步性 投资者反应 信息媒介 

分 类 号：F234.4[经济管理—会计学]