证券交易所监管与股价同步性——基于年报问询函的证据

摘要/Abstract

摘要： 本文以2015—2018年我国A股上市公司为研究对象，考察了年报问询函对股价同步性的影响。研究发现，年报问询函显著降低股价同步性。进一步研究发现，机构投资者持股和产品市场竞争减弱了年报问询函对股价同步性的影响。并且，当年报问询函包含的问题数量越多、年报问询函需要中介机构发表核查意见时，年报问询函对股价同步性的降低效果越明显。最后，年报问询函通过缓解信息不对称来降低股价同步性。本文丰富了年报问询函的经济后果研究，也为市场监管者提供了启示。

关键词: 年报问询函, 股价同步性, 信息不对称

Abstract: This study investigates the impact of annual report comment letters on stock price synchronicity based on the data of Chinese A-share listed companies from 2015 to 2018. This study shows that annual report comment letters decreases stock price synchronicity significantly. Further analyses suggest that institutional investor’s ownership and product market competition reduce the impact of annual report comment letters on stock price synchronicity. Moreover, we find the reduction effect of annual report comment letters on stock price synchronicity is more strong when annual report comment letters contain more questions and need to be verified by the intermediary. At last, we find information asymmetry is the mechanism through which annual report comment letters reduce stock price synchronicity. Our findings enrich the research about annual report comment letters’ economic consequences and also have implications for regulators to make decisions.

Key words: annual report comment letters, stock price synchronicity, information asymmetry

袁蓉丽, 王群, 李瑞敬. 证券交易所监管与股价同步性——基于年报问询函的证据[J]. 管理评论, 2022, 34(2): 281-290,352.

Yuan Rongli, Wang Qun, Li Ruijing. Stock Exchanges Regulation and Stock Price Synchronicity——Evidence Based on Annual Report Comment Letters[J]. Management Review, 2022, 34(2): 281-290,352.

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