Zhou H. Inquiry letter supervision and stock price informativeness-Research based on the stock price non-synchronicity[J]Applied Economics Letters. Published online: Dec 2, 2021.
https://www.tandfonline.com/doi/full/10.1080/13504851.2021.2011097
论文简介
Based on the sample of listed companies in China, this paper discusses the impact of the annual report inquiry letter sent by stock exchanges on stock price informativeness. Research results show that the inquiry letter increases the stock price non-synchronicity, indicating a positive impact of the inquiry letter on stock price informativeness. This effect is more pronounced for companies with low information transparency and poor corporate governance, suggesting that inquiry letter increases stock price informativeness through the information channel and governance channel. Further research shows that, the positive impact of inquiry letter on stock price informativeness is affected by the frequency of receiving inquires, whether accounting firms are required to express verification opinions and the number of questions in the inquiry. Results of this paper support the positive role of inquiry letter in improving market information efficiency.
本文以中国上市公司为研究样本，探讨交易所年报问询函对股价信息含量的影响。研究发现：OLS回归表明年报问询函对股价信息含量有正向影响。这种效应对于信息透明度较低、公司治理较差的公司更为显著，说明问询函是通过信息渠道和治理渠道来增加股价信息含量的。以非流动性指标ILLIQ或私有信息交易量衡量股价信息含量后，或采取倾向得分匹配以及倾向得分匹配和双重差分结合的检验方法之后，结论仍然不变。进一步研究发现，收函次数较多、要求中介机构发表核查意见以及包含问题数量较多的问询函对股价信息含量的提升作用较高。本文的研究结果支持问询函在提高市场信息效率方面的积极作用。