上市公司信息披露对公司股价影响的实证研究--以环境信息披露为例  

Empirical Research on the Influence of Information Disclosure of Listed Companies on Company Stock Price——Environmental Information Disclosure as an Example

作　　者：陈开军[1] 杨倜龙 李鋆 CHEN Kaijun;YANG Tilong;LI Yun

机构地区：[1]西北师范大学经济学院

出　　处：《金融监管研究》2020年第5期48-65,共18页Financial Regulation Research

基　　金：甘肃省社科规划项目(14YB032);国家社科基金一般项目(17BJL106)的资助。

摘　　要：信息披露是公司治理的重要措施,环境信息披露政策更是实现上市公司绿色高质量发展的重要工具。本文采用事件研究法,基于A股上市重污染行业公司的资本市场表现,对上市公司环境信息披露的有效性进行了检验。在采用市场模型检验上市公司在事件窗口的异常收益率基础上,进一步构造异常收益率差值,并检验了披露前后异常收益率差值的变化。检验结果显示:环境信息披露当日事发公司异常收益率显著为负,且负向最大,平均异常收益率负向扩大了3.3个百分点。这表明,环境信息披露当日市场对企业做出了惩罚性反应。但在披露日第二天,这种惩罚性反应大幅减弱,惩罚性反应并不持久。本文还进一步分析了制度因素以及社会因素对我国环境信息披露惩罚性反应的影响,发现加大处罚力度、严格环境管制对惩罚性反应具正向作用,企业的政治关联度则具相反作用;而加强投资者的环保意识和媒体的报道,则有助于环境信息披露政策的有效实施。基于实证分析,本文最后从政府、企业和投资者三个层面提出了政策建议。Information disclosure is an important measure for corporate governance, and environmental information disclosure policy is an important tool for achieving green and high-quality development of listed companies. This article uses the event research method to test the effectiveness of listed companies’ environmental information disclosure based on the capital market performance of A-share listed companies with heavy pollution. Based on the market model to test the abnormal returns of listed companies in the event window, the difference between abnormal returns is further constructed, and the change in the difference between abnormal returns before and after disclosure is tested. The test results show that the abnormal return rate of the incident company on the day of environmental information disclosure is significantly negative, and the negative magnitude is the largest, and the average abnormal return increases by 3.3 percentage points in the negative direction. This shows that the market might make a punitive response to companies on the day of environmental information disclosure. But on the second day of the disclosure day, this punitive response is greatly weakened, and the punitive response is not lasting. This article further analyzes the impact of institutional factors and social factors on the punitive response of environmental information disclosure in china, and finds that increased punishment and strict environmental control have a positive effect on the punitive response, and the political relevance of the company has the opposite effect;and strengthening investors’ environmental awareness and media coverage will help the effective implementation of environmental information disclosure policies. At the end of the article, based on empirical analysis, this article puts forward policy recommendations from three levels of government, enterprise and investor respectively.

关 键 词：环境信息披露 事件研究 资本市场监管 上市公司质量 

分 类 号：F832.59[经济管理—金融学]