商誉与股价崩盘风险——基于信号理论视角的研究

Goodwill and stock price crash risk: A research based on the signaling theory perspective

本文利用2008—2016年A股上市公司样本,采用多元回归的分析方法,从信号理论视角探讨企业商誉对股价崩盘风险的影响。研究发现,企业商誉价值越高,企业所承担的股价崩盘风险越大;进一步研究发现,对于计提商誉减值准备的企业,商誉对企业股价崩盘风险的影响相对较弱;地区市场化水平越高,商誉对股价崩盘风险的影响越大。以上结果为商誉价值包含的风险问题提供了经验证据,也为企业商誉价值管理提供了新的思路。

With increasing value of goodwill in mergers and acquisition activities,the problem of goodwill bubble has attracted more and more attention.Previous studies have suggested that higher goodwill value usually indicates more benefit from future synergetic effect,so goodwill can be used as an important factor to predict the future excess profitability of enterprises.However,can goodwill always be used as a positive signal to bring profits for enterprises?To answer this question,this paper attempts to research the effect of goodwill on stock price crash risk.Stock price crash usually refers to the phenomenon that stock price suddenly falls sharply without warning,which is believed to have originated from the hoarding of bad news by managers out of their own interests under the condition of information asymmetry.A large number of studies discussed stock price crash risk from the perspective of enterprise information quality,and confirmed that in the context of information asymmetry,high quality enterprise information is particularly important for reducing stock price crash risk.Considering the high uncertainty and controllability in the process of recognition,measurement and subsequent impairment of goodwill,this paper proves that goodwill may increase the uncertainty of the future operation of enterprises and degrade the quality of financial information,and finally have a significant positive effect on stock price crash risk.The specific reasons are as follows,first,the recognition of goodwill is highly subjective,and the high probability of failure in mergers and acquisition activities makes it difficult for goodwill to create synergetic value,thus increasing the uncertainty of future business.At the same time,the immeasurable value of goodwill and the high operability in the subsequent impairment activity weaken the quality of enterprise financial information.Although a large number of previous studies have discussed the defects of goodwill,most of them only focus on theoretical analysis,and the test for the impact of huge goodwill on enterprise risk was even rarer.Besides,this paper carries out grouping test according to whether the enterprise has provision of goodwill impairment,and argues that when firms have provision of goodwill impairment,the impact of goodwill on the risk of corporate stock price crash will be relatively weakened.The main reason is that the provision for impairment of goodwill effectively corrects the inflated value of goodwill,and makes the amount of goodwill much closer to its real value.At the same time,the value of goodwill is conducive to the valuation of the enterprise by investors,which releases the risk caused by the uncertainty of future operation and the distortion of financial information.We further propose that,for enterprises in regions with high marketization level,the fierce competition environment and free market atmosphere reduce the credibility of the amount of goodwill and improve the controllability of its value,thus intensifying the positive influence of goodwill on the risk of stock price crash.We use the sample of A-share listed companies from 2008 to 2016 to discuss the influence of corporate goodwill on stock price crash risk from the perspective of signal theory.Using multiple regression analysis,we find out that goodwill and stock price crash risk are positively correlated,which means that the higher the value of goodwill,the higher the risk of stock price crash.Besides,for enterprises that have provision of goodwill value impairment,the positive effect of goodwill on stock price crash risk will no longer significant;We further find out that,for enterprises in regions with favorable marketization level,the positive influence of goodwill on stock price crash risk will be stronger.In order to test the reliability of the above regression results,this paper also conducts the following robustness test.First,as this paper only tests the enterprises with goodwill,this however mean that our samples may have a potential problem of selection bias.To address this problem,we adopted Heckman′s two-stage regression model to alleviate the endogenous problems that may exist in this paper.Besides,since Fan Gang′s marketization index is only updated to 2014,the data of 2015-2016 were predicted by time-series regression based on the data from 2008 to 2014.In order to further test the regulatory role of market index,this paper shortened the sample period and repeated the above test with the data from 2008 to 2014.The robustness results supported all the conclusions above.The contribution of this paper is mainly reflected in the following aspects:First,previous discussion on goodwill value risk is mainly based on theoretical analysis,while this paper empirically examines the influence of goodwill value on stock price crash risk,providing effective empirical evidence for previous theoretical studies.Second,this paper helps us to better understand the formation mechanism of stock price crash risk,and further confirmed the importance of improving the quality of accounting information.Third,this paper deepens the understanding of the importance of goodwill impairment provision and the impact mechanism of stock price crash risk by carrying out grouping test according to whether the enterprise has provision of goodwill impairment.Fourth,the test of market index helps to clarify the difference in the influence of goodwill on the risk of stock price crash under different marketization levels.This article also provides the following policy implications:First,given goodwill value can play a role of warning in predicting stock price crash risk,firms and regulators may need to be alerted to high goodwill value in mergers and acquisitions activities,and make reasonable estimates of goodwill to reduce the risk of goodwill,which may also be beneficial to enterprises and their stock holders.Second,in the process of goodwill impairment,managers have great chance for value manipulation,which will further increase the risk of goodwill.Therefore,the management needs to pay more attention to the normative of goodwill impairment activity,so as to better restore the true value of goodwill,and finally reduce the risk of the collapse of the stock price caused by goodwill.Third,with the rapid development of China′s economy,regions with high marketization level need to strengthen the management of financial information quality and improve risk prevention awareness while developing economy.