监管信息披露与债权人定价决策——基于沪深交易所年报问询函的证据

Disclosure of Regulatory Information and Creditor Pricing Decision:Evidence from Chinese Comment Letters

本文检验交易所监管问询函及其公开披露与否对公司债务资金成本的影响。实证结果发现,交易所监管问询函显著提升了被问询公司的债务资金成本,并且问询函包含问题个数越多、需要第三方出具专业审核意见以及问询内容涉及相关风险事项时,债务资金成本上升程度越大,而当问询函未向市场公开披露时,被问询公司的债务资金成本不会受到影响。横截面测试发现,上市公司所在地市场化水平强化了风险与债务资金成本的正向关系,而国有产权属性、银企关系背景以及集团化经营模式则削弱了风险与债务资金成本的正向关系。本文从信息效应视角补充了监管问询函经济后果的相关研究,也揭示了半强式市场中监管信息公开披露的重要性。

Using Chinese comment letters data,we investigate the impact of the disclosure of comment letters on the cost of debt financing.Empirical results show that when the comment letters are publicly disclosed,creditors charge borrowers significantly higher cost of debt financing.Furthermore,when more questions or risk factors are contained in the comment letters or when professional opinions from a third party are requested to issue,the cost of debt financing is further higher.However,when the comment letters are not publicly disclosed,the cost of debt financing is not affected.In cross-sectional test,we find that the degree of regional market development and the characteristics of debtor both affect the relationship between cost of debt financing and comment letters.Our research not only supplements the literature on the economic consequences of comment letters from the perspective of information effect,but also reveals the importance of public disclosure of regulatory information in semi-strong efficient market.