年报语调向上操纵与股价崩盘风险:信息增量还是印象管理?

Upward Manipulation of Annual Report Tone and Stock Price Crash Risk:Information Increment or Impression Management?

本文以2009—2021年所有A股上市公司作为研究对象,通过公司年报中“管理层讨论与分析”部分的语调操纵测度年报语调操纵,探究年报语调向上操纵对股价崩盘风险的影响。研究结果表明,年报语调向上操纵通过信息增量影响资本市场,具体表现为年报语调向上操纵水平越高,股价崩盘风险越低;在使用工具变量回归、倾向得分匹配和熵平衡克服内生性问题,并经过一系列稳健性检验之后,该结论依然成立。机制检验结果表明,公司未来业绩、股价同步性和分析师预测准确性是年报语调向上操纵抑制股价崩盘风险的中介渠道。进一步的检验结果表明,在内部控制质量低、媒体关注低或者机构持股比例低的情况下,年报语调向上操纵对股价崩盘风险的抑制作用更强。本文的研究在丰富股价崩盘风险和语调操纵相关文献的同时,对提升信息披露质量、促进资本市场健康发展具有一定的启示作用。

Taking all A-share companies listed in China from 2009 to 2021 as the research object,this paper investigates the influence of upward manipulation of annual report tones on stock price crash risk by measuring the tone manipulation of annual reports through tone management in the management discussion and analysis section.The results show that upward manipulation of annual report tones influences the capital market through information increment,which indicates that the higher the level of upward manipulation of annual report tones,the lower the stock price crash risk.This conclusion is still valid after using instrumental variable regression,propensity score matching and entropy balance to overcome endogenous problems,as well as a series of robustness tests.The mechanism test suggests that future firm performance,stock price synchronization and analyst forecast accuracy are mediating channels for upward manipulation of annual report tones to restrain stock price crash risk.Furthermore,upward manipulation of the tone has a stronger inhibitory effect on stock price crash risk in the case of low internal control quality,media attention or institutional ownership.The findings may enrich the literature related to stock price crash risk and tone manipulation,and shed some light on improving the quality of information disclosure and promoting the healthy development of capital markets.