非处罚性监管具有信息含量吗？--基于问询函的证据

Does the Non-penalty Regulation Have Information Content? Evidence from Inquiry Letters

监管机构对上市公司出具问询函正成为中国资本市场重要的监管手段,但这种非处罚性监管对于证券市场而言是否具有信息含量?市场是否认可其监管作用?市场反应的强度会受到哪些因素的显著影响?这些都是尚待解决的重要问题。本文通过对财务报告问询函的研究发现,市场对问询函收函公告的反应显著为负,对回函公告的反应显著为正,财务报告问询函有信息含量且市场认可财务报告问询函的监管作用,而且上市公司特征以及财务报告问询函特征会进一步影响市场的反应强度。结论意味着问询函在信息披露监管方面发挥了作用,对证券市场监管的模式创新具有重要的政策启示。

The frequent issuance of inquiry letters by regulators is becoming an important regulatory tool in China＇s capital markets. This paper investigates the information content and the regulatory role of the no - penalty regulation. Based on the financial report inquiry letter, the authors document that the market reaction to the receipt announcement is significantly negative, while the market reaction to the reply announcement is significantly positive. The announcement of the financial report inquiry letter has information content and the market recognizes the regulatory role of inquiry letters. Moreover, the characteristics of the listed company and the financial report inquiry letter will affect the market reaction. These findings suggest that inquiry letters play a role in information disclosure regulation.