上市公司财务重述、媒体关注与股票特质风险波动

Financial Restatement,Media Attention and Stock Idiosyncratic Risk Volatility of Listed Companies

选取沪深A股上市公司2015年1月—2017年12月期间的全部财务重述样本,探究财务重述行为对股票特质风险的影响。研究发现,上市公司财务重述行为对其股票特质风险存在显著的正向推动作用。具体来说,发生财务重述的公司股票特质风险在重述之前的5个月开始出现异动,在重述公告发布日后(0,5)的窗口期内,股票特质风险相较于基期迅速增加83.47%,随后缓慢下降,大约持续1年恢复到重述前水平。从财务重述性质来看,敏感问题和法律问题引起的重述对股票特质风险的影响程度更大。从重述时间节点来看,当期重述和滞后重述都会增加股票特质风险,但后者的影响程度更高且持续时间更长。进一步研究表明,受到更广泛财经媒体关注的样本的财务重述行为对股票特质风险的推动作用更为显著。

This paper selects all financial restatement samples of Shanghai and Shenzhen A-share listed companies from January 2015 to December 2017 to explore the impact of financial restatement on stock idiosyncratic risk.The research shows that financial restatement of listed companies has a significant positive driving effect on their stock idiosyncratic risk.Specifically,the stock idiosyncratic risk of the company with financial restatement began to change five months before the restatement.In the window period(0,5)after the restatement announcement,the idiosyncratic risk increased rapidly by 83.47%compared with the base period,and then decreased slowly,lasting about one year and returning to the level before the restatement.From the nature of financial restatement,restatement caused by sensitive issues and legal issues has a greater impact on stock idiosyncratic risk.From the restatement time node,both current restatement and delayed restatement increase stock idiosyncratic risk,but the impact of the latter is higher than the former and lasts longer.Further,the financial restatement of samples concerned by the wider financial media plays a more significant role in promoting the stock idiosyncratic risk.