谁更可能受到针对年末突击利润调节的发函监管?——兼论发函监管的效果

Who is More Targeted to Receive an Inquiry Letter on Year-end Hurry-up Earnings Adjustment? Also on the Consequences of Regulation of Inquiry Letters

基于交易所针对年末突击利润调节行为的发函监管实践,本文聚焦于"符合什么样风险特征的上市公司更可能受到交易所针对年末突击利润调节的发函监管"。研究发现:(1)前三季度亏损、被实行ST风险警示、存在违规行为的上市公司更可能受到发函监管。增长的持续性越差,受到发函监管的可能性越大;(2)在非国有上市公司中,前三季度盈亏情况与被实行ST风险警示的情况对受到发函监管可能性的影响更明显;(3)当地区市场化程度较低时,前三季度盈亏情况、违规情况与增长的持续性对受到发函监管可能性的影响更明显。进一步扩展性检验发现,发函监管存在一定的市场效果与舆论效果。本文的研究结论为交易所进一步强化监管职责、投资者运用发函监管信息及时避险等提供参考。

Based on letters on monitoring year-end hurry-up earnings adjustment by stock exchanges, this paper focuses on “what characteristics make a firm more likely to receive an inquiry letter on year-end hurry-up earnings adjustment from the stock exchange?”. We find that:(1) firms which have losses for the first three quarters in a fiscal year, or have been capped with “ST (special treatment)”, or have conducted misbehavior are more likely to receive inquiry letters;the less sustainable the growth is, the more likely an inquiry letter would be received.(2) Compared with State-owned enterprises, non-state-owned firms are more likely to receive inquiry letters when they have losses for the first three quarters or have been capped with ST.(3) If a firm is located in a low-level marketized region, the probability to receive an inquiry letter is higher when having losses for first three quarters, or conducted misbehavior, or have less sustainable growth rate. We further test the effects of inquiry letters on market reaction and media coverage, finding that the inquiry letters do trigger some significant results. Our results are expected to provide advice to enhance monitoring of stock exchanges and to be the reference to investors’ investment risks when using inquiry letters.