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论文编号：	3145
作者编号：	1120070708
上传时间：	2011/6/2 10:48:14
中文题目：	财务报告透明度对投资者保护作用研究
英文题目：	Study on the effect of financial Report Transparency
指导老师：	周晓苏
中文关键字：	财务报告透明度 投资者保护 股市波动 买卖价差
英文关键字：	financial report transparency, investor protection, stock market volatility, bid-ask spread
中文摘要：	摘 要 随着《证券法》、《公司法》等法规的颁布实施、会计准则的制定和实施、对上市公司监管的强化以及股权分置改革的基本完成，投资者产权保护得到了较大程度的提高；但是，会计信息的低透明度仍是投资者保护的薄弱环节。据上交所中国公司治理报告(2008)显示，1996－2007年受到中国证监会与沪深交易所处罚的上市公司违规行为中，信息披露违规所占比重高达78%。在新的环境下，上市公司降低财务报告透明度的动机更加复杂，手段多样化而且更加隐蔽；上市公司的对会计信息的操纵行为与上市公司对大股东的利益输送、对股市的操纵相结合，依然对中小投资者造成严重危害。所以，研究财务报告透明度与投资者的保护及其相互作用，研究如何提高财务报告透明度以提高投资者保护，是保护投资者尤其是保护中小投资者的迫切现实需求。 本文主要以产权理论、信息不对称理论以及认知理论、投资行为理论为指导，将提高财务报告透明度视为对投资者知情权的保护。作者认为知情权是投资者产权束的一个组成部分。在投资者产权保护的框架内探讨财务报告透明度（知情权保护）与投资者其他产权保护的关系，理清财务报告透明度与投资者其他产权保护的逻辑关系，研究财务报告透明度对投资者其他产权要素的作用路径，建立财务报告透明度对投资者保护作用路径的初步理论。 目前财务报告透明度有四类计量方法：（1）权威机构的评分；（2）自愿披露数量；（3）采用模型计算；（4）自己建立指标体系评分计量财务报告透明度。我国有深圳交易所公司信息质量评级是权威机构的评分，但是公司信息质量评级与公司绩效高度正相关，导致该评级在在绩效基础上提供增量信息较少，难以在本文的研究中作为财务报告透明度的代理变量。除了操控性应计模型法，其他方法也都存在不同的缺陷，难以适应本文的实证研究。在借鉴现有研究成果的基础上，构建新的操控性应计模型，将操控性应计的波动性作为盈余透明度的替代变量。 利用上述研究成果，利用认知理论和投资行为理论，利用上证和深证上市公司的财务数据、高频数据，理论分析并实证研究财务报告透明度在资本市场对投资者的保护机制和保护成效： （1）研究在资本市场巨幅波动中财务报告透明度对投资者的保护。从股市泡沫产生的机制入手，借用心理学的证真偏差理论，深入分析财务报告透明度在股价暴涨的“牛市” 氛围中，以及在股市暴跌的“熊市”氛围中所能够发挥的作用。采用操控性应计标准差的作为财务报告透明度的代理变量，用股市暴涨的涨幅和暴跌的跌幅对操控性应计标准差进行回归，发现高透明度财务报告能够降低投资者的证真偏差，减轻投资者在“牛市”对股价过于乐观的定价倾向，减少股价中的泡沫，从而保护投资者的权益；减轻投资者“熊市”中过于悲观的定价倾向，抑制低泡沫股票在熊市中的价格下降幅度，从而在股市的暴跌中保护投资者。由此证明财务报告透明度在股市暴跌暴涨两种情况下，通过抑制涨跌幅度发挥投资者保护作用。 （2）应用信息不对称理论、证真偏差理论，研究财务报告透明度是否能够降低信息不对称，降低投资者对股票价格的认知差异，从而降低买卖价差。在实证设计上区分了包含交易指令规模影响的有效价差和不包含交易指令规模影响的交易价差，并利用2004年到2008年中国上市公司非金融公司的年度财务数据，和2007到2008年1月10月股市上涨、高峰、低谷和正常4个时段各连续5个交易日的高频数据进行实证检验，在控制资产规模、交易量、股票价格、总资产净利润率及其增量等因素影响下，实证证明高财务报告透明度有显著的降低买卖价差的作用。
英文摘要：	Abstract With the the promulgation and implementation of “Securities Act”, “Company Law” and “Accounting Standards”, the strengthening supervision of listed companies , and the basic completion of the current share reform, the protection of investor property rights has been greatly improved in China. However, the low transparency of accounting information is still the weak aspect of investor protection. According to the Chinese Corporate Governance Report (2008), the 78 percent of the listed companies punished by the CSRC or Shanghai Stock Exchange, or Shenzhen Stock Exchange, vialate information disclosure regulations. Under the new circumstances, the motivation to reduce accounting information transparency in listed companies becomes more complex, and the means more diversified and subtle. The combination of listed company's manipulation of accounting information, the benefits transfer to large shareholders, and stock market manipulation, still harms the small and medium investor.Therefore, to study accounting information transparency and investor protection and their interactions, to study how to improve the transparency, and to study how to improve the accounting information transparency to strengthen the protection of investor is the urgent needs of protection of investor, especially for the small and medium investor. Under the guidance of the property rights theory, asymmetric information theory, cognitive theory and investment behavior theory, this paper looks the improvement of the transparency of financial reporting as the protection for investors’ right to know. The author argues that investors’ right to know is a part of a bundle of property rights. Within the framework of property right protection, the relations among the financial report transparency, protection for right to know and other property rights protection are discussed; the logical relationship of financial report transparency and protection of the property rights is clarified, to study the pathes of financial report transparency to protect other property rights, to develop the initial theory on the pathes. Currently there are four types of transparency in financial reporting measurement methods: (1) authority of the score; (2) the number of voluntary disclosure; (3) The model; (4) score index system measuring their financial reporting transparency. China has the Shenzhen Stock Exchange company information quality rating is the rating authority, but the information quality rating of the company a high positive correlation with corporate performance, resulting in the performance rating of the incremental information provided on the basis of less difficulty in this study as a financial transparency in reporting and proxy variables. In addition to handling accruals models method, there are also other ways to different defects, it is difficult to adapt to empirical research. Transparency of the existing surplus in the draw based on the research results, build a new model for handling accruals, will control the volatility of accruals as an alternative earnings variable transparency. According to property rights theory, information asymmetries and incentive theory, this paper takes the improvement of the transparency of accounting information as the protection of the investors’ right to know. Investors’ the right to know is the part of bundle of property rights. In the framework of the protection of investor property rights，this paper aims to discuss the the relationship between accounting information transparency and, explore the logical relationship of accounting information transparency and the protection of investors’ other property rights, study the path and mechanisms of accounting information transparency for investors’ other property rights, establish the basic theory of the protection of investor protection mechanism and path by accounting information transparency. Following theoretical analysis, guided by investor protection, and from the perspective of the investors’ right to know, this paper explores the contents of the accounting information transparency, the characteristics of accounting information transparency and meeting the requirements of investors. There are three types of measurement methods of accounting information transparency currently, which is not conducive to the rapid analysis and comparison of accounting information the transparency for all companies, in particular, not conducive to the empirical research of the transparency accounting information. On the basis of the research results of earnings transparency, this article builds a new model of discretionary accruals and the new indicators of earnings transparency. Currently there are four types of methods to measure financial report transparency: (1) the score by the authority; (2) the number of voluntary disclosure; (3) the model; (4) the score index system measuring their financial report transparency of ones own. The Shenzhen Stock Exchange company information quality score is the score by authority in China, but there is a high positive correlation between the score and corporate performance, resulting in that the score supply little incremental information on the basis of corporate performance, not proper to proxy the financial report transparency. Besides the score by the authority, there are different defects in other methods, which makes them not proper to be used in the empirical study in this paper. Based on the current research results, a new model to measure the discretionary accruals is developed, the volatility of which to be used to proxy the corporate performance transparency. Using the above results, under the guidance of cognitive theory and investment behavior theory, and using the financial data and high-frequency trade data of listed companies listed in the Shanghai exchange and Shenzhen Stock exchange, this paper theoretically analyses and do empirical research on the investor protection effect of financial report transparency. (1) The study on investor protection effct of financial report transparency in the huge fluctuations of the capital market in China. Starting with the analysis of the stock market bubble mechanism, using psychological confirmation bias theory, deeply analyse financial report transparency effect in the "bull market" atmosphere, and the "bear market" atmosphere of stock market. Using the standard deviation of accruals as a proxy for financial report transparency, using increase in the boom and decline in slump of stock market as dependent viariable respectively, make regression, finding that high transparency can reduce confirmation bias of investors, reduce extent of too optimistic tendency of the investors in the “bull market” and stock market bubble to protect the rights of investors; meanwhile, reduce the extent of the too pessimistic tendency in “bear market”, restrain the price decline to protect the rights of investors in the slump of stock market. Thus, provide provement that the financial report transparency can protect investors by restraining the increase and decline in the boom and slump of stock market. (2) Using asymmetric information theory and confirmation bias theory, study whether the financial report transparency can reduce information asymmetry and investors’ cognitive differences about stock price, thereby reducing the bid-ask spread. In empirical design, this paper develops two effective bid-ask spread indexes one including the trade order scale effect, the other including the little. This paper uses annual financial data of non-financial companies listed in China from 1998 to 2008 and high-frequency data in five consecutive trading days in january2007, january2008 October 2008 and April 2009 to empirically test the effect of the financial report transparency to reduce the spread, in the control of asset size, trading volume, and stock price factors, and the result shows that point.
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