自愿性信息披露评价及市场有效性检验

The Evaluation and Effectiveness of China's Listed Companies' Voluntary Disclosure

本文立足于投资者权益保护,构建包含治理结构、治理效率、利益相关者与风险控制4个一级指标、31个二级指标的中国上市公司自愿性信息披露评价体系。在此基础上,计算沪深两市2013年和2015年全部A股上市公司的自愿性信息披露指数,并从地区、行业、所有制、上市板块等角度进行比较分析。最后从信息有用性的角度对自愿性信息披露指数的市场有效性进行验证。主要研究结论如下:第一,中国上市公司自愿性信息披露水平整体偏低;第二,具体到地区、行业、上市板块、所有制而言,自愿性信息披露水平较高的分别是东部和中部上市公司、金融业上市公司、中小板上市公司、民营控股上市公司;第三,自愿性信息披露指数具有信息含量,整体上降低了股价同步性,这种效应对于面临较大融资约束的民营控股上市公司尤其显著。

Based on investor protection,this paper establishes the voluntary disclosure index system of China's listed companies which contains four aspects,namely governance structure,governance efficiency,stakeholders and risk control. The evaluation system includes four first-level indicators and 31 second-level indicators. Based on the evaluation system,it calculates and ranks the voluntary disclosure index(CCVDI^(BNU)) of listed companies from Shanghai and Shenzhen Stock Exchange Markets using data of 2013 and 2015,and then it evaluates CCVDI^(BNU) from multi-aspects including the region,the industry,ownership and the public sector. Finally,it verifies the market effectiveness of CCVDI^(BNU) from the perspective of information usefulness. Findings are as follows. Firstly,the overall voluntary disclosure level of China's listed companies is very low. Secondly,characters like the region,the industry,the ownership and the public sector have a certain influence on CCVDI^(BNU) . Thirdly,CCVDI^(BNU) is informative,which can significantly reduce stock price synchronicity,and this effect is more significant in non-SOEs which may face more financial constraints.