预防性监管能够抑制股价崩盘风险吗?——基于交易所年报问询函的研究

Does the preventive regulation mitigate stock price crash risk? Evidence from comment letters

中国共产党的十九大报告提出,要健全金融监管体系.现有关于金融市场监管的实证研究几乎都关注于事发后的处罚.然而,从防范风险的视角来看,预防性监管应扮演重要角色.近年来,沪深交易所针对上市企业年报中可能存在的风险苗头,向上市公司及时发送问询函,这是预防性监管的体现.为此,以交易所年报问询函作为实验环境,分析预防性监管是否能有效降低金融市场风险.研究发现,交易所年报问询函的确能够降低公司股价崩盘风险,而且,这种影响在信息透明度较低公司中更为明显.研究为完善投资者利益保护机制、维护金融市场稳定提供了新的监管思路.

The report of 19th CPC National Congress claims that it is necessary to improve the financial regulatory system to forestall systemic financial risks. Prior studies on financial regulation mainly focus on ex post penalties. However, preventive regulation plays a key role in forestalling systemic financial risks. For exampie, The Shanghai and Shenzhen Stock Exchange have sent comment letters in time to firms which have potential risks in financial report recently. So, based on the experiment environment of the Exchange＇ s comment letters, the paper examines whether preventive regulation mitigates stock price crash risk effectively. The results show that exchange comment letters can mitigate stock price crash risk and the effect is more pronounced if a firm＇ s financial report is more opaque. Therefore, these findings offer a new regulato Exchange＇ s comment letters are beneficial to protect investors＇ interest and maintain the ry viewpoint that the stability of financial markets.