盈余信息与股价崩盘风险——基于盈余平滑的分解检验

Earnings information and crash risk: Evidence from decomposing tests of income smoothing

以我国A股上市公司2003年~2015年的数据作为研究样本,研究了不同类型盈余平滑对股价崩盘风险的影响.实证结果表明盈余平滑对股价崩盘风险没有显著影响,但将盈余平滑分解成有效信息盈余平滑和机会主义盈余平滑之后,发现有效信息盈余平滑能够显著地降低股价崩盘风险,而机会主义盈余平滑则会显著增加股价崩盘风险.进一步检验发现,信息环境对盈余平滑与股价崩盘风险的关系存在调节作用,在信息环境较差的公司中,有效信息(机会主义)盈余平滑会更显著地降低(增加)股价崩盘风险.这些研究结论不但丰富了股价崩盘风险的影响因素研究,而且有助于深入了解盈余平滑在资本市场中扮演的角色,对降低股价崩盘风险、稳定我国资本市场具有重要的意义.

Based on listed firms in China A-share market from 2003 to 2015,this paper investigates how different types of income smoothing affect future crash risk.Our empirical results show that income smoothing has no impact on future crash risk.However,after decomposing income smoothing into informative income smoothing and garbling income smoothing,informative income smoothing significantly reduce crash risk while garbling income smoothing significantly increase crash risk.In additional tests,our results show that the information environment has a significant impact on the effect of income smoothing on future crash risk.When the information environment is poor,informative income smoothing(garbling income smoothing)has more significant negative(positive)impact on crash risk.This paper not only provides evidence on what factors affect crash risk but also helps us to better understand how income smoothing works in capital markets,which is meaningful to reduce crash risk and maintain the safety and soundness of capital markets.