避免亏损与公开增发盈余管理的识别与估计:来自聚束设计的实证证据  

Identification and Estimation of Earnings Management to Avoid Delisting and Satisfy SPO Conditions:Evidence from a Bunching Design Study

作　　者：张红 汪小圈 ZHANG Hong;WANG Xiaoquan(Institute of Industrial Economics,Jinan University;Faculty of Economics and Management,East China Normal University)

机构地区：[1]暨南大学产业经济研究院,广东广州510632 [2]华东师范大学经济学院,上海200062

出　　处：《金融研究》2021年第4期187-206,共20页Journal of Financial Research

基　　金：国家自然科学基金青年项目(71703054,71902062);中央高校基本科研业务费专项资金资助项目(19JNKY07);广东省文科重点实验室“产业大数据应用与经济决策研究实验室”的资助。

摘　　要：基于2002-2017年中国A股上市公司披露的加权平均净资产收益率(ROE)数据,本文识别出上市公司在0%(避免亏损)和6%(公开增发股票)两个阈值处的盈余管理动机,并对盈余管理频率和幅度进行估计。首先,数据证实A股上市公司ROE分布图在阈值0%和6%处存在明显的左侧样本缺失、右侧样本聚集现象,表明公司确实为满足政策要求在阈值附近进行了盈余管理,将公司ROE从阈值左侧操纵至右侧。其次,本文用聚束设计方法估计出3.18%的上市公司为避免汇报亏损而进行盈余管理,占真实亏损公司的59.25%,进行盈余管理的公司将ROE平均提高了2.115个百分点。为了成功公开增发而进行盈余管理的上市公司比例虽然仅有0.28%,但占到了实际股票公开增发公司的58.13%,平均盈余管理幅度为0.524个百分点。最后,异质性分析表明:2016年以前上市公司为了避免亏损而进行盈余管理的动机一直很稳定,2002-2005年是为了满足公开增发条件而进行盈余管理最严重的年份;动机强烈的ST企业和杠杆率高的企业进行盈余管理的频率更高。In 2001,the China Securities Regulatory Commission(CSRC)officially cancelled the Particular Transfer(PT)of stocks and announced that listed companies reporting losses for three consecutive years will have their listings suspended within 10 days of the announcement of the third annual report.In the same year,the CSRC required listed companies that want to issue new stocks to meet the requirement that the average of the weighted average return on equity(ROE)of the previous three fiscal years must not be less than 6%.Given these regulations,listed firms are likely to attempt to manage their earnings to avoid delisting or to satisfy secondary public offering(SPO)conditions.In this paper,we use a bunching design method to estimate the earnings management frequency(how many companies manage their earnings)and the earnings management magnitude(how many companies’earnings are manipulated)from the distribution of weighted average ROE of listed companies for the 2002-2017 period using two thresholds:0%(delisting policy)and 6%(SPO conditions).The results shed light on whether the scale of earnings management is economically significant.Although many papers focus on the estimation of earnings management,they do not solve the problems associated with estimations in the case of multiple thresholds.Furthermore,the estimation models used have too many assumptions.Domestic research on the estimation of the earnings management of listed companies has stagnated over the last 10 years.However,many policy changes have taken place during this period,such as allowing listed companies to conduct non-public secondary issuance and the strengthening of financial supervision.Therefore,we use a new methodology—bunching design￣￣—to determine whether the previous findings still hold after such policy changes and to simultaneously estimate the frequency of earnings management at two thresholds.In contrast to existing studies,which assume the specific form of the ROE density function,we use a polynomial function and other control varia

关 键 词：盈余管理 退市政策 公开增发政策 聚束设计 

分 类 号：F832.51[经济管理—金融学] F275