交易所年报问询函如何影响市场反应?——基于天齐锂业的案例研究

How do Exchange Annual Report Inquiry Letters Affect Market Reaction?——Case Study based on Tianqi Lithium

年报问询函作为一种事后监管的手段,近年来备受关注。基于信息传递机制和媒体关注机制,构建了年报问询函引起市场反应的理论框架。以天齐锂业为案例研究对象,发现天齐锂业通过传递“直观增量信息”“非直观增量信息”以及引发媒体关注等路径影响市场反应,市场通过产生相应的市场反应认可了年报问询函的监管职能。通过与赣锋锂业对比发现,当问询内容较多且涉及经营情况、问询力度较大、感情色彩更消极时,引发的负面市场反应更大,且二次延期回复会进一步降低累计超额收益率。结合特定行业、特定公司案例的研究,刻画年报问询函引发的市场反应和作用路径,对企业深刻理解问询函影响市场反应的机制,以及监管部门优化问询函监管作用具有启示意义。

As a means of ex post supervision,the annual report inquiry letter has received increasing attention in recent years.Based on the mechanism of information transmission and mechanism of media attention,this paper builds a theoretical framework for the market reaction caused by the annual report inquiry letter.Take Tianqi Lithium as the case study object,it is found that Tianqi Lithium influences the market response by delivering“intuitive incremental information”,“non-intuitive incremental information”and arousing media attention.The market recognized the regulatory function of the annual report inquiry letter by generating corresponding market reactions.By comparison with Ganfeng Lithium,it is found that when the query content is more related to the business situation,the query is more powerful and the emotional color is more negative,the negative market reaction is larger,and the second delay of reply will further reduce the cumulative excess return rate.Combining with the case studies of specific industries and specific companies,the detailed description of the market reaction and action path triggered by the annual report inquiry letter has enlightening significance for enterprises to deeply understand the mechanism of the inquiry letter affecting the market response,as well as the regulatory departments to optimize the regulatory role of the inquiry letter.