信息环境、上市公司增量信息披露与资本市场定价效率——基于MD&A文本相似度的研究

Information Environment,Incremental Information Dis-closure of Listed Companies and Capital Market Pricing Efficiency:A Study Based on MD&A Text Similarity

本文基于2007—2020年中国沪深两市A股上市公司的样本,采用文本分析方法,以当期年报中管理层讨论与分析(MD&A)文本与上一期MD&A文本的相似度衡量上市公司增量信息披露水平,深入考察了上市公司增量信息披露与资本市场定价效率的关系。研究发现,公司披露的MD&A文本相似度越高,即增量信息披露越少,公司的股价同步性越高,股价崩盘风险也越大。进一步研究发现,当公司披露的MD&A可读性较低、新媒体运用较少、审计质量较低、媒体报道较少,即内外部信息环境较差时,MD&A文本相似度提高公司股价同步性与股价崩盘风险的作用加剧。本文的研究对如何提高上市公司信息披露水平,改善信息环境,进而促进资本市场的良好运行提供了新的经验证据。

The quality of accounting information disclosure by listed companies directly affects the interests of information users and determines the efficiency and effectiveness of the capital market.Although China has already constructed a system of securities information disclosure system including Securities Law and Administrative Measures for Information Disclosure of Listed Companies,cases of illegal and irregular disclosure of information by listed companies are still emerging one after another,which seriously hit the confidence of investors and damage the ecological environment of the capital market,so how to improve the pricing efficiency of the capital market from the perspective of information disclosure has become an urgent problem to be solved.The voluntary disclosure of information by the company can effectively alleviate the degree of asymmetry between the company and the information users,and thus enhance the pricing efficiency of the capital market.The annual report,as an important document disclosed by the company,contains information on the company's financial position,operating results and cash flow for the entire fiscal year,which is a bridge for communication between management and investors and one of the most important ways for investors to obtain information.Further,management discussion and analysis(hereinafter referred to as MD&A),as the essence part of non-financial information in the annual report,includes both the explanations and analyses by the management of the listed company of the company's historical operating information,as well as the forecasts and outlooks of the opportunities,risks and challenges facing the company's future development,and its disclosure quality will alleviate the asymmetry of information to varying degrees.Based on a sample of A-share listed companies in China's Shanghai and Shenzhen markets from 2007 to 2020,this paper uses text analysis method to investigate the relationship between incremental information disclosure and capital market pricing efficiency,and measures the level of incremental information disclosure of listed companies by the similarity between the MD&A text in the current period's annual report and the previous period's MD&A text.It is found that the higher the similarity of the MD&A text disclosed by the company,which means the less incremental information disclosure,the higher the synchronization of the company's stock price and the higher the risk of stock price crash.It is further found that the effect of MD&A text similarity in aggravating a company's stock price synchronization and stock price crash risk intensifies when the company’s internal and external information environment is poorer,such as less readable MD&A,less use of new media,lower audit quality,and less media coverage.The contributions of this paper are as follows:First,this paper interprets the causes of stock price synchronicity and stock price collapse risk based on the incremental information perspective of textual information disclosed by firms and is different from the existing studies that focus on textual horizontal incremental information,i.e.,the idiosyncratic information disclosed by firms'MD&A that is different from other firms in the same industry and market.This paper focuses on the fact that the information in the text of corporate disclosure has its own before and after changes,and selects the similarity index between the current period's MD&A and the previous period's MD&A text to explore the relationship between the longitudinal incremental information and the efficiency of pricing in the capital market,which then expands the related research field.Secondly,when exploring the information content of annual report texts,the existing literature mainly focuses on whether the text of annual reports contains specific types of information,such as market competition,macro environment,etc.,or compares the text of annual reports disclosed by companies with their peers in the same industry,whereas in the field of textual longitudinal information research,it mainly explores the relationship between the content of longitudinal information and the cost of equity capital,penalties for non-compliance,and credit risk.This paper expands the research on textual longitudinal information from the level of capital market pricing efficiency,and at the same time organically combines MD&A textual information similarity with internal and external information environment to reveal the moderating role of internal and external information environment,which enriches the field of research on the information effect of MD&A textual information similarity and internal and external information environment.