审计质量对股票非系统性风险的抑制效应研究

An Empirical Research on the Interrelationship between External Audit Quality and Stock Nonsystematic Crash Risk

审计质量具有重要的经济后果,探索其在股票非系统性风险抑制方面的功能,具有一定的理论价值和重要的政策含义。本文以可操纵性应计和财务重述作为审计质量的替代变量,使用2009～2015年中国上市公司的面板数据进行回归,发现审计质量较高公司的股票非系统性风险更小,考虑到内生性的影响,采用滞后变量法和工具变量法重新进行回归,结果仍然显著;通过更新指标、替换变量进行稳定性测试,结论不变。进一步分析发现,相对于市场竞争类企业,特定功能类企业外部审计质量的风险抑制作用更强;相对于强法律保护地区,弱法律保护地区企业的外部审计质量的风险抑制作用更强。研究结论为审计师在资本市场中的功能研究提供了新的视角,为从企业层面寻找非系统风险抑制工具提供了重要依据。

Audit quality has significant economic consequences. Exploring the tunctlons ot aualt quality m terms of suppression of non-systematic risk of the stock may have certain theoretical values and important policy implications. Using non-discretionary accruals and financial restatements as substitutes for audit quality, and using the panel data of Chinese listed companies for 2009-2015 to regress, we find that the non-systematic risk of companies＇ stock price with higher audit quality is lower. Taking into account the impact of endogenous factors, the use of lagged variables and instrumental variables to re-regression, the results are still significant; by updating indicators, replacing variables for robustness test, the conclusion remains unchanged. Through sub- sample analysis, it is found that the risk-reducing effect of external audit quality for certain functional enterprises is stronger than that of market competition enterprises; in regions with relatively strong legal protection, the external audit quality of weak legal protection areas has a stronger risk suppression effect. The paper＇s conclusion has a unique theoretical and practical significance, provides a new perspective for the auditor＇s function research in the capital market, and provides an important basis for the search for non-systematic risk-reduction tools from enterprise level.