证券交易所一线监管能提升证券分析师盈利预测质量吗?——基于年报问询函的证据

Can Front-Line Regulations of Stock Exchanges Improve the Quality of Security Analysts’ Earnings Forecasts? Evidence from Inquiry Letters on Annual Reports

本文以2014~2017年沪深A股非金融类上市公司为样本,在倾向性得分匹配(propensity score matching,PSM)的基础上采用双重差分(differencein-difference,DID)回归方法检验年报问询函对证券分析师盈利预测质量的影响。主回归结果表明,年报问询函显著提升了证券分析师盈利预测质量。作用机制检验表明,只有当年报问询函内容涉及公司会计遵循、收入确认和利润波动、公司经营风险等重要内容时,以及当公司的内外部监督机制较弱和媒体关注度高时,年报问询函才能显著地促进证券分析师盈利预测质量,表明问询函制度通过信息效应和监督效应提升了证券分析师盈利预测质量。进一步分析发现,当公司收到年报问询函后,证券分析师盈利预测修正能引发更显著的市场反应,表明市场认识到问询函制度对证券分析师盈利预测质量的提升效应。本文的研究结论表明,以问询函制度为代表的证券交易所一线监管对提高证券市场信息中介的信息解读质量有着正面促进作用,对于监管层如何进一步改进监管制度、提升市场信息效率具有较好的参考价值。

Based on a sample of Shanghai and Shenzhen A-share listed companies from 2014 to 2017,this paper employs Propensity Score Matching(PSM)and Difference-in-Difference(DID)methods to examine the effect of inquiry letters on firms’annual reports from stock exchanges on the quality of security analysts’earnings forecasts.Our results show that the quality of security analysts’earnings forecasts improves with inquiry letters.Further investigations reveal that the improvement occurs when the content of inquiry letters is related to the company’s accounting compliance status,controversial revenue recognition,profits fluctuations,and operating risk or when the internal and external supervision mechanisms of the company are weak and the media attention is high.These results suggest that in addition to exerting heightened supervision the inquiry letter system increases the quality of security analysts’forecasts through extracting additional information.Moreover,after a company receives an inquiry letter,its analysts’earnings forecast revisions induce significant market reactions,confirming that valuable information is extracted by the inquiry letter.Our results suggest that the front-line regulations of stock exchanges,as represented by the inquiry letter system,serve as not only a supervision mechanism but also a channel for the market participants,particularly security analysts,to extract valuable information,thereby improving the market efficiency.