非财务信息披露与资本市场定价效率

Non-Financial Information and Capital Market Efficiency

本文基于2004—2017年沪深A股上市公司数据,运用文本分析技术,构建管理层讨论与分析(MD&A)的前瞻性指标,实证检验MD&A前瞻性信息对股价同步性的影响。研究发现,MD&A前瞻性信息越多,公司股价同步性越低。该结论在尽可能弱化内生性问题以及一系列稳健性检验后依然成立。同时,良好的公司治理机制有利于缓解代理矛盾,并发挥管理层前瞻性信息披露的价值发现功能,提高资本市场的定价效率。机制分析发现,更多的前瞻性信息能够降低分析师的盈余预测误差和减少预测分歧,并抑制噪声交易者的参与度。MD&A前瞻性信息通过吸引分析师跟踪与增加机构投资者持股等途径影响股价,其中的盈利预测与业绩承诺信息能够降低股价同步性。本文结论为监管层规范MD&A的披露制度和营造良好的披露环境提供了决策依据,同时也为资本市场如何高效运行以及提高定价效率提供了重要的政策建议。

Based on a data set of Chinese A-share listed companies from 2004 to 2017,this paper uses textual analysis technology to develop management discussion and analysis(MD&A)forward-looking statements,and examines the impact of MD&A forward-looking statements on stock price synchronicity.Empirical evidence shows that the more the MD&A forward-looking statements,the lower the stock price synchronicity.The above results hold true when we use a PSM-DID method to address possible endogenous issues.They also hold true when we use different variable definitions.Besides,a sound internal and external corporate governance system helps to alleviate agency problems,improving stock price efficiency.Mechanism analysis finds the MD&A forward-looking statement attracts more analyst coverage,reducing earnings forecast errors and earnings forecast dispersion,and suppresses the market participation of noise traders.Besides,the MD&A forward-looking statement affects stock volatility through two channels:analyst coverage and institutional ownership,and profit forecast and performance commitment information can reduce the synchronization of stock prices,which makes important contributions with regard to the timely and accurate incorporation of firm-specific information into stock price,and improves stock price efficiency.The conclusions of this paper suggest that authorities should regulate the MD&A disclosure and improve the disclosure environment.