衍生工具应用与股价同步性

Derivatives Usage and Stock Price Synchronicity

随着衍生工具在上市公司中的普遍应用以及新会计准则的实施,企业财务报告中披露的衍生工具信息得到了资本市场的广泛关注,影响了股票市场的信息传递效率。基于这一背景,以2007—2014年具有风险敞口的A股非金融类上市公司为样本,采用倾向得分匹配法研究发现,由于衍生工具经济实质和会计处理的复杂性导致信息透明度下降,应用衍生工具的企业特质信息含量减少,股价同步性上升。对于低公司治理水平的上市公司,管理层应用衍生工具进行投机的可能性更大,并可能利用衍生工具进行盈余管理,降低盈余质量和信息透明度,进而影响股价同步性。研究结果有助于进一步揭示在现行会计制度下衍生工具应用对于A股资本市场信息传递效率的影响效果和内在机制,为有关部门完善监管措施降低金融风险提供实证依据,也有助于提升资本市场服务实体经济的资源配置效率。

With the widederivatives usage in listed companies in A-share stock marketandthe implementation of new accounting standards,disclosure of information on derivatives has received increasing attention from the capital market and impacted on its information transmission efficiency; yet,has not received sufficient scholarly attention. With a sample of Ashare non-financial listed companies from 2007 to 2014,using the risk exposure and propensity score matching method,we find that the complexity of the economic essence andaccounting treatment of derivatives has led to anincrease of information opacity,lower idiosyncratic information,and higherstock markets synchronicity. Furthermore,further study demonstrates that for companies with a lower corporate governance index,it is more likely for the management to usederivatives for speculation purposes and to manage earnings,thus decreasing the earnings quality,information transparency and increasing stock price synchronicity. This study helps toexplorethe impact of derivatives under the current accounting standards on the information transmission efficiency of capital markets and internal mechanisms.