客观运用还是主观操纵:公允价值计量与股价崩盘风险

Objective Application or Subjective Manipulation:Fair Value Measurement and Stock Price Crash Risk

公允价值计量是提高了公司信息披露规范水平,还是加大了管理层主观判断的空间?文章选取2008-2020年我国沪深A股非金融类上市公司为研究对象,通过多元线性回归实证探讨了公允价值计量与股价崩盘风险的相关关系,明确了公允价值计量在股权价值中的作用。实证结果表明:企业运用公允价值计量的程度越深,未来历经股价崩盘风险的可能性越低;与非国有企业相比,国有企业中公允价值计量与股价崩盘风险的负相关关系更加显著。考虑到内生性问题,在稳健性检验中采用替换变量和PSM倾向得分匹配两种方法后,主假设结论依然成立。以上经验证据拓宽股价崩盘风险影响因素研究的同时丰富了公允价值计量的经济后果研究。据此,提出应当进一步规范公允价值计量在资本市场的应用环境以及加大运用力度,以期实现公允价值计量有效平稳股权价值大幅波动的目标,为资本市场的健康长效发展提供增量经验证据。

Does fair value measurement increase the level of corporate information disclosure standards, or does it increase the space for management’s subjective judgment? This paper selects China’s Shanghai and Shenzhen A-share non-financial listed companies from 2008 to 2020 as the research object, and empirically explores the correlation between fair value measurement and stock price collapse risk through multiple linear regression, and clarifies the role of fair value measurement in equity value. The empirical results show that the deeper the enterprise uses fair value measurement, the lower the possibility of experiencing stock price collapse risk in the future;compared with non-state-owned enterprises, the negative correlation between fair value measurement and stock price collapse risk in state-owned enterprises is more significant. Taking into account the endogenous problem, this article adopts two methods of substitution variable and PSM propensity score matching in the robustness test, and the main hypothesis is still valid. The above empirical evidence broadens the research on the influencing factors of stock price crash risk and enriches the research on the economic consequences of fair value measurement. Accordingly, this article proposes that the application environment of fair value measurement in the capital market should be further regulated and the application should be strengthened, in order to achieve the goal of effective fair value measurement and stable equity value fluctuations, and provide incremental empirical evidence for the healthy and long-term development of the capital market.