公司信息披露质量与传闻澄清公告效果

Corporate Information Disclosure Quality and the Effect of Rumors Clarification Announcements

公司信息披露质量与传闻澄清都是资本市场的重要问题。本文以深交所A股上市公司为样本,手工搜集了2010年至2013年样本公司发布的传闻澄清公告,研究了上市公司信息披露质量对传闻澄清公告效果的影响。研究发现:公司信息披露质量主要影响否定式澄清公告的效果,具有"股价回复效应",即公司信息披露质量越高,否定式澄清公告对股价的回复作用越显著;考虑澄清公告披露是否积极后发现,公司信息披露质量对否定式澄清公告的效果还具有"补充效应",表现为公司信息披露质量越高,披露不积极的否定式公告对股价的回复作用越显著;进一步分析发现,信息披露质量较差的公司会显著地倾向于积极披露否定式公告,迅速澄清假消息;而信息披露质量较高的公司,对肯定式公告与否定式公告都会积极公布;另外,信息披露质量的股价回复效应在对负面传闻和财务类传闻的澄清中更为显著。本文从澄清公告效果的角度重新论证了公司信息披露质量对提升市场效率的重要作用,拓展了相关研究,也为规范上市公司传闻澄清措施提供了现实启示。

We use the A-share listed firms in Shenzhen market which issued announcements to clarify rumors from 2010 to 2013 as our sample,examining how the quality of corporate information influences the effect of the clarification announcements.We find that the quality of corporate information exemplifies"stock price reversion effect",meaning the higher the quality of corporate information,the more significantly the denial announcements would reverse stock price;furthermore,the quality of corporate information has"complementing effect"on the effect of denial clarification announcements.Additional analyses show that firms with lower quality of information disclosure tend to issue the denial announcements in time,and the"stock price reversion effect"would be more manifested when the rumor is negative or is related to financial events.