信息透明度与股价崩盘风险的多维实证研究  

Multi-dimensional Empirical Study of Information Transparency and Stock Price Crash Risk

作　　者：江婕[1] 王正位 龚新宇 JIANG Jie;WANG Zhengwei;GONG Xinyu(Beijing Normal University,Beijing 100875;Tsinghua University,Beijing 100084)

机构地区：[1]北京师范大学经济与工商管理学院,北京100875 [2]清华大学五道口金融学院,北京100084 [3]清华大学经济管理学院,北京100084

出　　处：《经济与管理研究》2021年第2期53-65,共13页Research on Economics and Management

摘　　要：本文以2001—2017年中国A股上市公司为样本,分别从公开信息、私人信息、监管评价三个维度选取基于会计报表、市场交易和交易所评价的信息透明度指标,实证检验多维信息透明度与股价崩盘风险之间的关系。实证结果表明,不论是基于会计报表信息构建的应计盈余管理指标、基于市场交易信息构建的股价同步性波动指标,还是基于交易所评价的信息披露考评指标,都显著支持公司信息越不透明则未来股价崩盘风险越高的研究假设。进一步研究发现,多维信息透明度与股价崩盘风险之间都未呈现出非线性关系。因此,中国A股市场的制度建设目前仍应致力于改善信息披露质量和提高信息透明度。Based on the data of 2001-2017 Chinese A-share listed companies, this paper examines the relationship of information transparency and stock price crash risk from three dimensions: public information transparency based on accounting reports, private information transparency based on stock market trading prices, and information disclosure quality based on Shenzhen Stock Exchange evaluation.The results show that there is a significant negative relationship between information transparency and stock price crash risk, which is very robust no matter information transparency is measured by accrued earnings management, stock price synchronicity or information disclosure grade evaluation.Further study shows that there is no nonlinear relationship between information transparency and stock price crash risk, indicating that current construction of Chinese stock market system should still put efforts on improving information disclosure quality and enhancing information transparency.

关 键 词：信息透明度 股价崩盘风险 应计盈余管理 股价同步性 信息披露考评 

分 类 号：F830.9[经济管理—金融学]