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论文编号：	11512
作者编号：	1120150818
上传时间：	2020/4/14 16:29:55
中文题目：	风险信息、披露策略与市场解读——来自IPO招股说明书的经验证据
英文题目：	Risk Factors, Disclosure Strategies and Market Response: Evidence from IPO prospectuses in China
指导老师：	姚颐
中文关键字：	风险信息；披露策略；IPO抑价；国有控制；分析师预测
英文关键字：	Risk Information; Disclosure Strategy; IPO Underpricing; State Control; Analyst Forecasts
中文摘要：	充分而及时的信息披露是对市场参与者尤其是投资者的有效保护，更是资本市场价值估值的核心。风险因素是资产有效定价的基础，与风险因素相关的信息披露能够直接向投资者、分析师等外部信息使用者传递有关公司未来估值尤其是现金流不确定性的关键信息。当前国外有关风险因素披露经济后果的研究方兴未艾。那么，在我国整体法律环境有待完善、信息不透明程度较高以及国有经济占主导地位的转型制度背景下，公司充分披露风险是一个好的披露策略 吗？充分披露风险是否会降低资本成本呢？我国证券市场的投资者、分析师等市场参与者又将如何解读？国有控制背后所体现的隐性担保效应是否会对投资者解读风险信息产生影响？迄今为止，这些问题在我国还处于研究的初期阶段。本文从发行公司在招股说明书（以下简称招股书）中披露的风险信息入手，研究了2006年我国证监会颁布《公开发行证券的公司信息披露内容与格式准则第1号—招股说明书（修订稿）》（以下简称《修订稿》）后风险信息的披露状况、影响因素以及管理层的披露动机，并结合中国特殊制度背景对市场参与者如何解读公司的风险信息进行了检验。本文共分为六章。第一章为引言，依次阐述了本文的研究背景、研究动机、研究意义、研究问题、研究思路、研究框架和研究方法，并指出本文可能存在的创新之处。第二章为文献综述，对会计信息披露和风险信息披露两方面的文献进行了总结和评述，进而引出本文的研究动机。第三章，风险披露现状与披露动机。首先，系统介绍了国内整体信息环境薄弱、政府主导资源配置和与风险披露相关的监管规范三个方面的制度背景；其次，在对风险信息披露的成本和收益进行理论分析的基础上，从公司自身风险水平、高管个人特征、宏观制度环境等视角构建了影响风险信息披露的决定因素模型；再次，对公司管理层披露风险信息的现状和披露动机进行了实证检验。最后，考虑到内生于公司自身特征的风险披露并不是衡量公司风险披露策略的合理测度指标，本文采用风险决定因素模型的残差项来度量公司的风险披露策略，反映与公司实际应该披露的风险信息相比，管理层可自由选择披露风险的多少。第四章和第五章分别从投资者进行价值估值和分析师发布盈余预测的视角对公司风险信息披露策略的经济后果进行了实证检验。第六章，对本文的研究发现进行了提炼，在此基础上为上市公司和主要监管部门提出了相应的政策建议，并指出了论文的局限性和未来研究方向。通过理论分析和实证检验，本文主要得到以下结论：一是，本文发现国内IPO公司在招股书中并未坦诚披露风险，许多公司刻意隐瞒风险、进行含糊式披露，所披露的风险信息中约六成并不具有信息含量。公司披露的风险信息存在较大的行业异质性，并且在样本期间内，IPO公司披露的具有信息含量的风险信息总体呈逐年下降趋势。特别地，本文发现公司本身风险水平、公司规模和业绩水平是决定公司风险信息披露多少的三个关键因素，公司的风险水平越高、规模越大、业绩越差，越有可能在招股书中提前多披露风险信息。从公司披露动机来看，除了信息透明动机外，IPO公司同时存在着应付未来监管风险的机会主义披露动机。相比之下，未来业绩差的公司较业绩好的公司有更强的披露意愿，这并不是因为业绩差的公司更为诚实或是更为聪明，而是为了规避未来业绩下降所带来的行政处罚风险和诉讼风险。二是，在控制了公司风险水平、业绩、规模、行业、年度等特征变量对风险信息披露的影响后，本文发现，IPO公司在招股书中可操纵的风险信息披露（尤其是技术风险和会计风险披露）越多、IPO抑价和新股上市后的股价波动越小，充分的风险信息披露提升了新股定价效率，具有积极的市场反应。可见，面临诚信危机的证券市场，坦诚披露作为一种稀缺资源将收获更多投资者的奖励即公司的新股发行效率提高。进一步，在一个国有经济占主体的转型市场中，本文发现国有控制背后的隐性担保效应阻碍了信息披露透明效应的实现。风险披露对新股定价效率的提升作用仅在非国有控制公司中存在；相反地，在国有控制公司中，国有控制带来的隐性担保效应成为投资者在评估公司价值时的首要考虑因素，进而弱化了投资者对高质量风险信息的需求。 三是，面对定性的风险信息，分析师在进行盈余预测的过程中将如何解读？本文的实证研究发现，风险披露优化了分析师面临的公共信息集。具体地，在控制了公司特征、分析师特征和券商特征等因素后，招股书中的风险披露（尤其是会计风险和经营风险相关的披露）越多，分析师预测盈余与实际盈余的偏差越小、盈余预测会更及时并且分析师群体之间越容易形成对未来盈余的一致性预期。进一步，本文还考察了分析师特征对其风险认知能力的影响，发现明星分析师与非明星分析师对于风险信息的解读并不存在显著差异；分析师所处的券商规模越大，越能更好地解读并利用风险信息。此外，本文还发现风险信息披露的信息透明效应在规模较大、盈利水平较高且业绩波动较小的公司可能会更为显著。可见，分析师在处理风险信息时会受到其他公司特征尤其是公司整体信息环境的影响。本文的结论对世界范围内的风险披露研究提供了来自中国的经验证据，对我国在风险信息披露领域的制度完善提供了一定的理论支持，对我国上市公司信息披露体系的进一步完善具有重要的理论及现实意义。
英文摘要：	As the core of firm valuation, adequate and timely information disclosure is an effective protection for market participants, especially investors. Risk factors are the basis of effective asset pricing. Risk Information disclosure can directly convey key information about the company's future valuation, especially the uncertainty of cash flow, to investors, analysts and other market participants. Until now, foreign studies on the economic consequences of risk factor disclosures are in the ascendant. Under the background of a transition system, China is featured with imperfect legal environment, high degree of information opacity and resources allocation dominated by the government. Would it be a good disclosure strategy for companies to fully disclose risks? Does full disclosure of risk reduce the cost of capital? How do investors, analysts and other market participants treat risk disclosures in China? Will the implicit insurance effect of state control affect the interpretation of risk information by domestic investors? In order to answer these questions, this thesis studies the risk information disclosed by firms in prospectuses after one amended regulation, entitled Amended Standards Concerning the Contents and Formats of Information Disclosure by Publicly Listed Companies No. 1 – Prospectus. This thesis consists of six chapters. The first chapter covers introduction, the research background, research motivation, contribution, research ideas, research framework and research methods. The second chapter introduces the literature review, which summarizes and reviews the existing literatures from two aspects, the literature review of accounting information disclosure, the economic consequences and main measurement methods of risk information disclosure, and then leads to the research motivation. Chapter three introduces the institutional background firstly, which systematically introduces the institutional background of the overall weak information environment, the government-oriented resource allocation, as well as the regulations related to risk factors. Secondly, performs the theoretical analysis on the costs and benefits of risk information disclosure, and constructs a determining factor model that influences risk information disclosure from the perspectives of the company's own risk level, management's risk preference, etc. Thirdly, this chapter also conducts empirical tests on motivations of the company's management to disclose risk information. Chapter four and Chapter five empirically test the market response to risk information disclosure from the perspectives of investor value valuation and analyst earnings forecasting activities. Chapter six summaries the research findings, puts forward suggestions on policy-making, and points out the limitations and future research directions. Through theoretical analysis and empirical tests, the following conclusions are reached: Firstly, this thesis finds that China’s IPO firms often provide vague risk-factor disclosures that lack informativeness. About 60% of the risk information disclosed did not contain information content. There is great industry-level heterogeneity in the risk information disclosure. And during the sample period, the informative risk information disclosure generally shows a downward trend year by year. Specifically, pre-disclosure proxies for firm risk, firm size and performance level are three key factors that determine the level of risk information disclosures. Generally speaking, firms with higher ex-ante risk level, larger size and poorer operating performance are more likely to disclose risk information in advance in prospectuses. Furthermore, IPO firms will disclose risk factors opportunistically in order to cope with future regulatory risks, as well as enhance corporate information transparency to avoid undervaluing in a “lemon” market. Moreover, firms with poor future performance have stronger willingness to reveal information, as a result of mitigating the administrative penalties and lawsuits following with the on-going earnings falling down other than being more honest and wise instead. Secondly, after controlling for firm-level characteristics, such as firm ex-ante risk, firm size and profitability, this thesis finds that the risk factor disclosure (especially the technical-related risk and accounting-related risk) in the prospectus significantly reduces the IPO underpricing and post-IPO stock return volatility. In a state-controlled economy like China, state-controlled firms receive superior perks and benefits, as well as the implicit insurance effect from the government. Consistent with the theoretical conjecture that more risk-factor disclosures reduce cost of equity, our results indicate that high-quality risk-factor disclosures are associated with less IPO underpricing and lower post-IPO stock return volatility among non-state-controlled IPO firms. However, we find an insignificant association between risk-factor disclosure quality and IPO underpricing (or post-IPO stock return volatility) among state-controlled firms. Our findings suggest that state-offered implicit insurance is the predominant consideration when investors value IPO shares of state-controlled firms, thereby weakening the investor demand for high-quality risk-factor disclosures. Thirdly, using Chinese IPO firms, this thesis examines the impact of risk information disclosure on the properties of financial analysts’ earnings forecasts. By constructing disclosure index by manually reading the disclosure of risk factors in IPO prospectuses, this thesis finds that high-quality risk factor disclosure is associated with lower earnings forecast bias, more timely forecasts, and less dispersion. Separating total risk factors into five different types, we show that analysts have better ability in processing financial risk and operational risk disclosure compared to the other three types (technology-related risk, market risk, and macroeconomic risk). Cross-sectional tests reveal that the positive effect of risk disclosure is mainly concentrated in firms with greater information transparency (e.g., larger firms, firms with higher profitability, and firms with lower performance volatility). We conduct additional robustness tests and address potential endogeneity concerns. Our study has broad implications for firms in emerging economies. This thesis provides empirical evidence from China for the risk-disclosure research worldwidely. Furthermore, this thesis provides theoretical support for the improvement of risk information disclosure regulations in China, as well as has important theoretical and practical significance for the further improvement of the information disclosure system of listed companies in China.
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