澄清公告异象、治理失灵与信任危机
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摘要
自1996年中国证监会开始要求公司发布“澄清公告”以来,中国股市就频频出现“澄而不清”的质疑。随着证监会和证券交易所多次修改披露规定,对公司澄清的格式、内容甚至措辞都加以规范。然而,澄清公告并不能完全消除传闻的影响,而且投资者的决策受到了澄清方式的影响。本文从保护投资者的角度,选取2005到2012年间发生的澄清公告事件,以资产重组相关事件为研究对象,从不同的视角探讨了澄清公告异象的深层次原因。
资产重组的传闻占到了市场传闻的一半,尽管监管部门已经屡次修改澄清公告的披露指引,甚至在公告中需要特别表述,要求公司承诺“三个月不重组”,都不能有效减少市场中“澄而不清”的现象。本文采用案例分析、档案式数据分析和实验研究相结合,拟对澄清公告的以下问题进行深入地研究：对于同一事件,公司如何进行澄清,采用的方法是否相同?不同澄清方式是否会造成不同的异常收益率?澄清公告是否会导致投资者困惑?管理层是否采用战略性披露迷惑投资者?公司的治理水平与澄清方式之间的相关性?投资者是否在澄清公告事件中存在决策偏差?投资者对公司所进行的披露是否信任?投资者的最终决策依据是什么?
本文对2005年以来的澄清公告进行分析整理,对澄清公告披露的现状和“澄而不清”现象的广泛性进行探讨；采用文本分析法对澄清公告进行分类,检验澄清公告的市场反应,考察不同的澄清方式如何影响资本市场；通过对异常交易量的检验,洞悉信息在不同投资者之间的信念异质的影响。本文从管理层和投资者两个角度,对澄清公告市场异象产生的原因进行剖析,研究发现公司治理的失灵和投资者对管理层的信任缺失是澄清公告异象的两个重要原因。
具体而言,本文的研究从以下几个方面开展：
1.澄清公告与“澄而不清”异象。本文从三个方面来检验市场上存在的“澄而不清”市场异象。首先,系统性地梳理澄清公告规定的演变过程,全面总结2005年-2012年的传闻性质、传闻来源和传闻公司特征,采用案例分析方法重现中国市场上广泛存在的“澄而不清”异象。其次,本文通过文本分析法,对资产重组相关事件的澄清公告进行分类整理,将公告措辞按照“完全澄清”和“部分澄清”进行分类。按照证券交易所的规定,将公告分为有承诺“三个月不重组”和无承诺两个类型进行分析,以考察不同澄清方式是否能够影响投资者的投资决策。最后,本文采用异常交易量作为投资者信念异质的替代变量,分析考察澄清公告是否让投资者感到困惑。
2.澄清公告与“治理失灵”。本文从两个方面讨论公司治理对于澄清公告披露的影响。首先,对否认重组传闻的公司,在公告后发生的重组情况进行检查,考察其否认公告后的三个月、六个月、九个月和一年之间公司是否有成功重组活动；并且检验不同的澄清方式对未来重组活动是否具有预测能力。通过该检验能够明确公司管理层在披露澄清公告时,是否发布了真实信息。由于重组是一个复杂的沟通过程,如果公司在澄清的短期内进行了重组,则说明在发布澄清公告当时,公司已经开始策划或者进行重组活动了。另一方面,本文检验公司治理对于澄清公告的影响,重点考察董事会、监事会、独立董事、大股东和审计委员会在澄清公告中发挥的治理作用。
3.澄清公告与“信任危机”。本文从投资者心理的角度来解读“澄而不清”现象,采用实验研究的方法来探讨投资者的决策过程。在实验一中,投资者阅读不同措辞方式的澄清公告,并且根据公司的基本信息做出投资决策。实验中的措辞方式与实证研究的完全相符,包括了完全澄清和部分澄清,有承诺和无承诺的不同方式。投资者依据这些披露对事件概率、股价等变量做出评估,并且做出相应的投资决策。实验目的在于解释异常股票收益率和异常股票交易量。在实验二中,投资者阅读不同格式的公告,并且根据公告对于管理层的信任度进行评分,最后做出投资决策。实验的目的是考察投资者对管理层是否信任,对管理层的信任是否能够影响到投资者的决策。
正文分为八章：
第一章,绪论部分对本文的选题背景、研究意义、研究思路和研究方法进行了介绍。
第二章,文献回顾和理论基础。本文采用会计行为研究方法结合档案式研究寻求“澄而不清”的原因。认知心理学和社会心理学是会计行为学的理论基础,本文对广泛应用在会计领域的认知心理学和社会心理学进行了简要的回顾,并且对近二十年来会计行为学中应用心理学理论进行总结。在心理学研究成果的基础上,提出研究信息披露与投资者保护机制的研究框架,在该框架中,结合档案研究与实验研究,从市场、公司治理、投资者心理等多方面探讨信息披露效率和投资者保护机制。
第三章,澄清公告规定与“澄而不清现象”。本章主要论述澄清公告规定的历史变革,并且对2005-2012年的澄清公告进行整理,展现传闻类型、传闻媒体、公司特征等各方面的描述性统计,采用案例分析展现近年来“澄而不清”现象的普遍性。
第四章,澄清公告的市场反应。本章主要考察传闻及澄清公告造成的市场反应,将公司澄清方式分为“完全澄清”和部分澄清,有承诺和无承诺。通过对传闻和澄清公告在澄清之前和澄清之后进行对比检验,以分析不同的澄清方式是否在股票市场上造成了显著的异常反应。然后,采用异常交易量作为投资者信念异质的替代变量,分析不同的澄清方式是否会导致投资者困惑。
第五章,澄清公告与治理失灵。本部分从两个方面来讨论公司治理对于澄清公告披露的影响。首先,对于否认重组传闻的公告后公司真实重组情况进行检验,分别检验在否认之后三个月、六个月、九个月和一年之间公司是否有成功进行重组活动。并且检验不同的澄清方式对未来发生重组活动的预测能力。通过该检验能够明确公司管理层在披露澄清公告时,是否发布了真实信息。由于重组是一个复杂的沟通过程,如果公司在澄清的短期内进行了重组,则说明在发布澄清公告当时,公司已经开始策划或者进行重组活动。另一方面,检验公司治理对于澄清公告的影响,重点考察董事会、监事会、独立董事、大股东和审计委员会在澄清公告中发挥的治理作用。
第六章,澄而不清与投资者决策过程。本章采用实验方法来研究投资者决策过程,投资者阅读不同措辞方式的澄清公告,并且根据公司的基本信息做出投资决策。实验中的措辞方式与实证研究的完全相符,包括了完全澄清和部分澄清,有承诺和无承诺的不同方式。投资者依据这些披露对事件概率、股价等变量做出评估,并且做出投资决策。通过了解投资者的决策路径,可以对市场上出现的股票价格异象和交易量异象进行解释。
第七章,澄而不清与信用危机。本章采用实验的方法来考察投资者对管理层的信任。实验中,不同分组的投资者阅读了资产重组相关事件和日常经营事件的澄清公告,根据公司的不同披露格式,投资者对管理层的诚信水平、事件未来发展趋势进行评价,并且做出投资决策。通过实验来评估管理层诚信水平对于投资者的影响。
第八章,全文总结及政策建议。该部分对全文的主要研究结论,政策启示和研究局限性进行系统性地总结,并对未来的研究进行展望。
本文的主要研究结论如下：
1.与前人的研究结果一致,无论是市场传闻还是澄清公告,都能够引起显著的异常收益率,并且传闻与澄清之后的异常收益率方向相反。本文进一步对前人的研究进行了扩展,经实证检验证明,公司的澄清方式能够显著影响股票的异常收益率。以资产重组相关事件传闻为例,公司否定传闻的语气越强烈,公司股票的异常收益率就越低。也就是说,市场的异常收益率与管理层澄清公告的语气相关。管理层的披露方式可以影响到投资者的决策。
2.澄清公告在短期内吸引投资者眼球,引起了较大的市场交易量,并且公司澄清的强烈程度影响投资者的投资决策,造成了投资者的“信念异质”。本文采用市场异常交易量作为投资者信念异质的替代变量,进一步检验公司的澄清方式是否使得投资者感到困惑。在澄清的当日内,澄清公告造成了投资者之间的信念异质,描述不清的事件让投资者感到困惑。
3.对公司澄清后重组活动进行检验,整体上看,有70%的公司在一年内有重组活动。澄清的方式对以后的重组活动有一定的预测力。公司发布混淆的公告,一方面是由于重组事件的不确定性造成的,另一方面存在公司为了维持股价,采用战略性披露策略影响投资者的判断。
4.通过对澄清方式与公司治理的检验,可以看出公司治理是“澄而不清”的一个重要原因。在澄清公告的披露中,监事会、审计委员会、第一大股东持股都在一定程度上遏制公告的模糊性。然而董事会,包括独立董事,并没有发挥应有的作用进行明确的澄清。总而言之,公司治理与澄清公告的披露密切相关,澄清公告“澄而不清”在很大程度上是公司的战略性披露。
5.澄清格式通过影响重组概率判断,最终影响到投资者的投资决策。投资者在面临资产重组事件时,很大程度上会忽略自身对事件性质的判断而进行投资。也就是说,即使投资者认为特定资产重组事项对于公司长远发展未必是好事,但考虑到重组会在短期内拉升股价,也会对公司进行投资。强制承诺“三个月”没有起到应有的作用,投资者仍认为公司会进行重组。
5.在日常经营事件中,投资者将澄清公告的披露方式归因于管理层的诚信度,而在做出最终的投资决策时,一方面要考虑公司的经营状况,另一方面会考虑公司管理层的诚信程度。概括而言,公司的披露方式影响到投资者对公司管理人员的评价,对管理人员的评价最终影响到个人投资者的投资决策。
6.在资产重组事件中,投资者完全不考虑管理层的诚信,也就是说,投资者认为管理层处于失信状态。在资产重组相关的事件中,投资者仅仅考虑事件的发展趋势,而不考虑管理层是否诚信可靠。可见占到半数以上的“资产重组”传闻已经让投资者麻痹,进行投资决策时毫不关心公司管理层的诚信程度,采用投机的方式,只关心股票价格。
本文的创新主要体现在以下几方面：
1.提出了一个研究信息披露与投资者保护的行为学研究方案。基于认知心理学和社会心理学的研究,本文总结了近年来在财务会计和资本市场领域,会计行为研究对于心理学理论的应用情况,进一步提出了一个研究信息披露与投资者保护的行为学研究方案。从管理层披露动机,投资者决策偏差的各方面来为监管层提出保护投资者利益的监管建议。
2.多视角检验和证明“澄而不清”现象。本文对澄清公告异象进行了深入探讨,从公司治理和投资者信任两方面来解释“澄而不清”的市场异象。采用事后检验和事前检验相结合,可以看出公司治理失灵是澄清公告市场异象的主要原因。实验研究可以清楚的探讨投资者的决策路径。
3.采用心理学理论来解释“澄而不清”现象。已有研究证实了“澄而不清”的现象,但是对于该现象产生的原因,并没有形成一个系统性地解释。本文首先对市场异象进行检验,证实澄而不清现象的存在,然后基于档案式研究的结果,通过实验研究探讨了“澄而不清”的心理学原因。在研究中,应用了归因理论、有限注意力和羊群理论来解释投资者的决策偏差,再次证明了已有的研究结论,并且发现投资者在决策中受到了认知局限的影响和社会坏境的影响,最终产生决策偏误,即出现资本市场异象。对于投资者决策过程的理解,可以帮助监管部门加强旨在提高投资者决策质量的披露制度建设。
Since1996, China Securities Regulatory Commission (CSRC) requires listed companies to issue clarification announcement when a rumor emerges in the stock market. However, the argument that "Clarification announcement blurs the truth" never stops since then. The CSRC, Shanghai Exchange and Shenzhen Exchange modified the requirement several times to improve the disclosure quality. Companies are required to promise "no asset restructuring activity in three months" in the clarification announcement. However, the clarification announcement can not offset the influence of the rumor, and investors are heavily influenced by the announcement. My study select clarification announcement in China stock markets from2005to2012, mainly focus on asset restructuring event to explore the causes of clarification announcement anomalies.
Asset restructuring rumors counts for half of the rumors in China capital market, even though standard setter sets strict rules to regulate the disclosure, for example, requires companies to promise "not engage in asset restructuring activity in three months", investors always complain that "clarification announcement blurs the truth". In my research, case study, archival study and experiment study are jointed to explore the causes of clarification anomalies. My study is proposed to answer the following questions:How the companies use the different ways to clarify the same rumor? How the wording differentiates the abnormal return? Are the investors confused by the clarification announcement? Do the managers strategically disclose the announcement to manipulate the stock price? Is corporate governance related to the clarification? Are the investors biased over the clarification announcement? Do the investors trust the companies? How investors make the final investment decision?
The study summarizes the clarification announcement since2005and demonstrate the prevalence of "blurring clarification". Further, the study adopted textual analysis and categorize the clarification into "complete deny","partially deny","promise" and "no promise". I test the abnormal return by category and the abnormal trading volume as the proxy of belief heterogeneity among investor, In order to study the causes of the clarification announcement anomalies, I conduct the test from two perspectives:managers and investor. Corporate governance failure the trust crisis on managers are two major causes.
The dissertation is arranged as follows:
Chapter1. Introduction. This chapter introduces the background, the significance, methodology and structure.
Chapter2. Literature review and theoretical basis. The paper joint the archival and behavior method to explore the clarification anomalies. Accounting research heavily relies the cognitive psychology and social psychology. My study systematically summarizes the psychology theory applied in accounting and finance research, and demonstrate how accounting behavior research apply these theories in the most recent two decades. Based on the literature, the dissertation proposes a framework to study the information disclosure and investor protection. In the framework, archival and behavior methodology are jointed applied to study the same phenomenon. A research can conduct a research form different perspectives, including market, corporate governance and investor decision making, to test the efficiency and effectiveness of the information disclosure thus propose a better investor protection setting.
Chapter3, Clarification announcement requirement and "blurring the truth". The chapter introduces the requirement of clarification announcement and how the standard setters modify the requirement over20years. This chapter also summarizes the clarification announcement between2005to2012, and provides summary statistics on the nature of the rumor, the media and the features of the companies. I also demonstrate the prevalence of "blurring truth" by cases.
Chapter4, Clarification announcement and market reaction, In this chapter, the study adopted textual analysis and categorize the clarification into "complete deny","partially deny","promise" and "no promise". The study tests the abnormal return of both the rumor and the clarification announcement by category to demonstrate how the wording of clarification announcement influences the market reaction. Also, abnormal trading volume is used as the proxy of investor heterogeneous of investor belief to test whether investors are confused by the clarification announcement.
Chapter5, Clarification announcement and Corporate governance failure. I test the corporate governance failure in two steps. First, test the restructuring activity in three months, six months, nine months and one year after company clarify the rumor. Because asset restructuring is a long complicates process, in this way, we can test the predictive power of the wording in the clarification announcement for the real restructuring activity, and test whether the managers are truthful when they issuing the clarification announcement. Second, I demonstrate how board of directors, board of supervisors, independent directors and audit committee influence the clarification announcement decision.
Chapter6,"blurring truth and investor decision". In this chapter, an experiment is conducted to test how the investors make investment decision. The instrument applied the disclosure in real situation, including "complete deny","partially deny","promise" and "no promise". Investors based upon the disclosure to evaluate the chance of restructuring and stock price and make investment decisions. Understanding the decision path, I try to explain the anomalies.
Chapter7, Clarification and trust crisis. This chapter tests the investors'trust on managers by an experiment, In the experiment, I manipulate the nature of the rumor (routine event and asset restructuring), disclosure format (conforming the requirement and non conforming). Investors evaluate the credibility and truth worth of the managers and make the decision to invest based on the provided information. In this experiment, I can demonstrate the influence of credibility on investment decision.
Chapter8:This chapter includes the main conclusion, policy implications and research limitation, and proposed for future research.
Main findings in this dissertation are as follows:
1. Consistent with prior literature, both the rumor and the clarification can induce abnormal market reaction. Additional to replicate the result of the literature, I find that the wording in the clarification announcement can significantly influence the abnormal return, the stronger the wording to clarify the rumor, the lower the abnormal return is.
2. The clarification announcement can attract investors, which causes significantly increase trading volume. The strength of deny can cause the heterogenity of belief. I use abnormal trading volume as the proxy of the heterogenity of belief to demonstrate the confusion among investor. In the event day of rumor clarification, the announcement causes confusion among investors because of the ambiguity of the wording.
3. About70%companies have asset restructuring activity, even all the companies denied the rumor. The wording of clarification has predictive value for the future restructuring event. There are two reasons that a company issue an ambiguous announcement. First, the asset restructuring event has uncertainty, and Second, the managers strategically manipulate the stock price.
4. Corporate governance failure is one of the main causes of "blurring truth". The supervisory directors, auditors and block shareholders actively prevent ambiguous clarification. However, the board of directors, including independent directors do not work as supposed to prevent the ambiguity of the clarification.
5. The wording can influence the investor decision through the effect on the chance of the future restructuring activity. Investors ignore belief of the event, even they believe a specific restructuring can be bad news in the long run, they invest into the rumor company as the price would go up with the restructuring event. The "three month promise" does not work well. Investors believe the company has a higher chance of restructuring even the company promise.
5. The investors attribute the disclosure to the credibility of the management. In the routine event, investment decision is based on the credibility of the management and the chance of the good news.
6. In asset restructuring event, the investors ignore the credibility of the managers. The investment decision is based on the chance of restructuring. Investors are already tired of "asset restructuring" rumors, which is the half of the total rumors. Investors might rationale that the rumor is spread by managers. So they ignore the credibility of the managers.
Major improvement and innovation are evident in the following aspect:
1. The dissertation proposed a framework to study information disclosure and investor protection. Under the framework, a scholar can study disclosure form different perspective, such as investor bias and manager incentive.
2. Explore the causes of "blurring truth" from different perspectives. There are mainly two causes:corporate governance failure and investor trust crisis. The ex ante and ex post test demonstrate the validity of the corporate governance test. The experiment allows me to explore the investment decision path.
3. Introduce the psychological theory to explain the reason to "blurring truth". The attribution theory and limited attention theory allow me to explain the decision bias of investors. My study extends literature by demonstrating the limitation of investor cognition which causes decision bias. The understanding of investor decision making can help standard setters improve the regulation.
资产重组的传闻占到了市场传闻的一半,尽管监管部门已经屡次修改澄清公告的披露指引,甚至在公告中需要特别表述,要求公司承诺“三个月不重组”,都不能有效减少市场中“澄而不清”的现象。本文采用案例分析、档案式数据分析和实验研究相结合,拟对澄清公告的以下问题进行深入地研究：对于同一事件,公司如何进行澄清,采用的方法是否相同?不同澄清方式是否会造成不同的异常收益率?澄清公告是否会导致投资者困惑?管理层是否采用战略性披露迷惑投资者?公司的治理水平与澄清方式之间的相关性?投资者是否在澄清公告事件中存在决策偏差?投资者对公司所进行的披露是否信任?投资者的最终决策依据是什么?
本文对2005年以来的澄清公告进行分析整理,对澄清公告披露的现状和“澄而不清”现象的广泛性进行探讨；采用文本分析法对澄清公告进行分类,检验澄清公告的市场反应,考察不同的澄清方式如何影响资本市场；通过对异常交易量的检验,洞悉信息在不同投资者之间的信念异质的影响。本文从管理层和投资者两个角度,对澄清公告市场异象产生的原因进行剖析,研究发现公司治理的失灵和投资者对管理层的信任缺失是澄清公告异象的两个重要原因。
具体而言,本文的研究从以下几个方面开展：
1.澄清公告与“澄而不清”异象。本文从三个方面来检验市场上存在的“澄而不清”市场异象。首先,系统性地梳理澄清公告规定的演变过程,全面总结2005年-2012年的传闻性质、传闻来源和传闻公司特征,采用案例分析方法重现中国市场上广泛存在的“澄而不清”异象。其次,本文通过文本分析法,对资产重组相关事件的澄清公告进行分类整理,将公告措辞按照“完全澄清”和“部分澄清”进行分类。按照证券交易所的规定,将公告分为有承诺“三个月不重组”和无承诺两个类型进行分析,以考察不同澄清方式是否能够影响投资者的投资决策。最后,本文采用异常交易量作为投资者信念异质的替代变量,分析考察澄清公告是否让投资者感到困惑。
2.澄清公告与“治理失灵”。本文从两个方面讨论公司治理对于澄清公告披露的影响。首先,对否认重组传闻的公司,在公告后发生的重组情况进行检查,考察其否认公告后的三个月、六个月、九个月和一年之间公司是否有成功重组活动；并且检验不同的澄清方式对未来重组活动是否具有预测能力。通过该检验能够明确公司管理层在披露澄清公告时,是否发布了真实信息。由于重组是一个复杂的沟通过程,如果公司在澄清的短期内进行了重组,则说明在发布澄清公告当时,公司已经开始策划或者进行重组活动了。另一方面,本文检验公司治理对于澄清公告的影响,重点考察董事会、监事会、独立董事、大股东和审计委员会在澄清公告中发挥的治理作用。
3.澄清公告与“信任危机”。本文从投资者心理的角度来解读“澄而不清”现象,采用实验研究的方法来探讨投资者的决策过程。在实验一中,投资者阅读不同措辞方式的澄清公告,并且根据公司的基本信息做出投资决策。实验中的措辞方式与实证研究的完全相符,包括了完全澄清和部分澄清,有承诺和无承诺的不同方式。投资者依据这些披露对事件概率、股价等变量做出评估,并且做出相应的投资决策。实验目的在于解释异常股票收益率和异常股票交易量。在实验二中,投资者阅读不同格式的公告,并且根据公告对于管理层的信任度进行评分,最后做出投资决策。实验的目的是考察投资者对管理层是否信任,对管理层的信任是否能够影响到投资者的决策。
正文分为八章：
第一章,绪论部分对本文的选题背景、研究意义、研究思路和研究方法进行了介绍。
第二章,文献回顾和理论基础。本文采用会计行为研究方法结合档案式研究寻求“澄而不清”的原因。认知心理学和社会心理学是会计行为学的理论基础,本文对广泛应用在会计领域的认知心理学和社会心理学进行了简要的回顾,并且对近二十年来会计行为学中应用心理学理论进行总结。在心理学研究成果的基础上,提出研究信息披露与投资者保护机制的研究框架,在该框架中,结合档案研究与实验研究,从市场、公司治理、投资者心理等多方面探讨信息披露效率和投资者保护机制。
第三章,澄清公告规定与“澄而不清现象”。本章主要论述澄清公告规定的历史变革,并且对2005-2012年的澄清公告进行整理,展现传闻类型、传闻媒体、公司特征等各方面的描述性统计,采用案例分析展现近年来“澄而不清”现象的普遍性。
第四章,澄清公告的市场反应。本章主要考察传闻及澄清公告造成的市场反应,将公司澄清方式分为“完全澄清”和部分澄清,有承诺和无承诺。通过对传闻和澄清公告在澄清之前和澄清之后进行对比检验,以分析不同的澄清方式是否在股票市场上造成了显著的异常反应。然后,采用异常交易量作为投资者信念异质的替代变量,分析不同的澄清方式是否会导致投资者困惑。
第五章,澄清公告与治理失灵。本部分从两个方面来讨论公司治理对于澄清公告披露的影响。首先,对于否认重组传闻的公告后公司真实重组情况进行检验,分别检验在否认之后三个月、六个月、九个月和一年之间公司是否有成功进行重组活动。并且检验不同的澄清方式对未来发生重组活动的预测能力。通过该检验能够明确公司管理层在披露澄清公告时,是否发布了真实信息。由于重组是一个复杂的沟通过程,如果公司在澄清的短期内进行了重组,则说明在发布澄清公告当时,公司已经开始策划或者进行重组活动。另一方面,检验公司治理对于澄清公告的影响,重点考察董事会、监事会、独立董事、大股东和审计委员会在澄清公告中发挥的治理作用。
第六章,澄而不清与投资者决策过程。本章采用实验方法来研究投资者决策过程,投资者阅读不同措辞方式的澄清公告,并且根据公司的基本信息做出投资决策。实验中的措辞方式与实证研究的完全相符,包括了完全澄清和部分澄清,有承诺和无承诺的不同方式。投资者依据这些披露对事件概率、股价等变量做出评估,并且做出投资决策。通过了解投资者的决策路径,可以对市场上出现的股票价格异象和交易量异象进行解释。
第七章,澄而不清与信用危机。本章采用实验的方法来考察投资者对管理层的信任。实验中,不同分组的投资者阅读了资产重组相关事件和日常经营事件的澄清公告,根据公司的不同披露格式,投资者对管理层的诚信水平、事件未来发展趋势进行评价,并且做出投资决策。通过实验来评估管理层诚信水平对于投资者的影响。
第八章,全文总结及政策建议。该部分对全文的主要研究结论,政策启示和研究局限性进行系统性地总结,并对未来的研究进行展望。
本文的主要研究结论如下：
1.与前人的研究结果一致,无论是市场传闻还是澄清公告,都能够引起显著的异常收益率,并且传闻与澄清之后的异常收益率方向相反。本文进一步对前人的研究进行了扩展,经实证检验证明,公司的澄清方式能够显著影响股票的异常收益率。以资产重组相关事件传闻为例,公司否定传闻的语气越强烈,公司股票的异常收益率就越低。也就是说,市场的异常收益率与管理层澄清公告的语气相关。管理层的披露方式可以影响到投资者的决策。
2.澄清公告在短期内吸引投资者眼球,引起了较大的市场交易量,并且公司澄清的强烈程度影响投资者的投资决策,造成了投资者的“信念异质”。本文采用市场异常交易量作为投资者信念异质的替代变量,进一步检验公司的澄清方式是否使得投资者感到困惑。在澄清的当日内,澄清公告造成了投资者之间的信念异质,描述不清的事件让投资者感到困惑。
3.对公司澄清后重组活动进行检验,整体上看,有70%的公司在一年内有重组活动。澄清的方式对以后的重组活动有一定的预测力。公司发布混淆的公告,一方面是由于重组事件的不确定性造成的,另一方面存在公司为了维持股价,采用战略性披露策略影响投资者的判断。
4.通过对澄清方式与公司治理的检验,可以看出公司治理是“澄而不清”的一个重要原因。在澄清公告的披露中,监事会、审计委员会、第一大股东持股都在一定程度上遏制公告的模糊性。然而董事会,包括独立董事,并没有发挥应有的作用进行明确的澄清。总而言之,公司治理与澄清公告的披露密切相关,澄清公告“澄而不清”在很大程度上是公司的战略性披露。
5.澄清格式通过影响重组概率判断,最终影响到投资者的投资决策。投资者在面临资产重组事件时,很大程度上会忽略自身对事件性质的判断而进行投资。也就是说,即使投资者认为特定资产重组事项对于公司长远发展未必是好事,但考虑到重组会在短期内拉升股价,也会对公司进行投资。强制承诺“三个月”没有起到应有的作用,投资者仍认为公司会进行重组。
5.在日常经营事件中,投资者将澄清公告的披露方式归因于管理层的诚信度,而在做出最终的投资决策时,一方面要考虑公司的经营状况,另一方面会考虑公司管理层的诚信程度。概括而言,公司的披露方式影响到投资者对公司管理人员的评价,对管理人员的评价最终影响到个人投资者的投资决策。
6.在资产重组事件中,投资者完全不考虑管理层的诚信,也就是说,投资者认为管理层处于失信状态。在资产重组相关的事件中,投资者仅仅考虑事件的发展趋势,而不考虑管理层是否诚信可靠。可见占到半数以上的“资产重组”传闻已经让投资者麻痹,进行投资决策时毫不关心公司管理层的诚信程度,采用投机的方式,只关心股票价格。
本文的创新主要体现在以下几方面：
1.提出了一个研究信息披露与投资者保护的行为学研究方案。基于认知心理学和社会心理学的研究,本文总结了近年来在财务会计和资本市场领域,会计行为研究对于心理学理论的应用情况,进一步提出了一个研究信息披露与投资者保护的行为学研究方案。从管理层披露动机,投资者决策偏差的各方面来为监管层提出保护投资者利益的监管建议。
2.多视角检验和证明“澄而不清”现象。本文对澄清公告异象进行了深入探讨,从公司治理和投资者信任两方面来解释“澄而不清”的市场异象。采用事后检验和事前检验相结合,可以看出公司治理失灵是澄清公告市场异象的主要原因。实验研究可以清楚的探讨投资者的决策路径。
3.采用心理学理论来解释“澄而不清”现象。已有研究证实了“澄而不清”的现象,但是对于该现象产生的原因,并没有形成一个系统性地解释。本文首先对市场异象进行检验,证实澄而不清现象的存在,然后基于档案式研究的结果,通过实验研究探讨了“澄而不清”的心理学原因。在研究中,应用了归因理论、有限注意力和羊群理论来解释投资者的决策偏差,再次证明了已有的研究结论,并且发现投资者在决策中受到了认知局限的影响和社会坏境的影响,最终产生决策偏误,即出现资本市场异象。对于投资者决策过程的理解,可以帮助监管部门加强旨在提高投资者决策质量的披露制度建设。
Since1996, China Securities Regulatory Commission (CSRC) requires listed companies to issue clarification announcement when a rumor emerges in the stock market. However, the argument that "Clarification announcement blurs the truth" never stops since then. The CSRC, Shanghai Exchange and Shenzhen Exchange modified the requirement several times to improve the disclosure quality. Companies are required to promise "no asset restructuring activity in three months" in the clarification announcement. However, the clarification announcement can not offset the influence of the rumor, and investors are heavily influenced by the announcement. My study select clarification announcement in China stock markets from2005to2012, mainly focus on asset restructuring event to explore the causes of clarification announcement anomalies.
Asset restructuring rumors counts for half of the rumors in China capital market, even though standard setter sets strict rules to regulate the disclosure, for example, requires companies to promise "not engage in asset restructuring activity in three months", investors always complain that "clarification announcement blurs the truth". In my research, case study, archival study and experiment study are jointed to explore the causes of clarification anomalies. My study is proposed to answer the following questions:How the companies use the different ways to clarify the same rumor? How the wording differentiates the abnormal return? Are the investors confused by the clarification announcement? Do the managers strategically disclose the announcement to manipulate the stock price? Is corporate governance related to the clarification? Are the investors biased over the clarification announcement? Do the investors trust the companies? How investors make the final investment decision?
The study summarizes the clarification announcement since2005and demonstrate the prevalence of "blurring clarification". Further, the study adopted textual analysis and categorize the clarification into "complete deny","partially deny","promise" and "no promise". I test the abnormal return by category and the abnormal trading volume as the proxy of belief heterogeneity among investor, In order to study the causes of the clarification announcement anomalies, I conduct the test from two perspectives:managers and investor. Corporate governance failure the trust crisis on managers are two major causes.
The dissertation is arranged as follows:
Chapter1. Introduction. This chapter introduces the background, the significance, methodology and structure.
Chapter2. Literature review and theoretical basis. The paper joint the archival and behavior method to explore the clarification anomalies. Accounting research heavily relies the cognitive psychology and social psychology. My study systematically summarizes the psychology theory applied in accounting and finance research, and demonstrate how accounting behavior research apply these theories in the most recent two decades. Based on the literature, the dissertation proposes a framework to study the information disclosure and investor protection. In the framework, archival and behavior methodology are jointed applied to study the same phenomenon. A research can conduct a research form different perspectives, including market, corporate governance and investor decision making, to test the efficiency and effectiveness of the information disclosure thus propose a better investor protection setting.
Chapter3, Clarification announcement requirement and "blurring the truth". The chapter introduces the requirement of clarification announcement and how the standard setters modify the requirement over20years. This chapter also summarizes the clarification announcement between2005to2012, and provides summary statistics on the nature of the rumor, the media and the features of the companies. I also demonstrate the prevalence of "blurring truth" by cases.
Chapter4, Clarification announcement and market reaction, In this chapter, the study adopted textual analysis and categorize the clarification into "complete deny","partially deny","promise" and "no promise". The study tests the abnormal return of both the rumor and the clarification announcement by category to demonstrate how the wording of clarification announcement influences the market reaction. Also, abnormal trading volume is used as the proxy of investor heterogeneous of investor belief to test whether investors are confused by the clarification announcement.
Chapter5, Clarification announcement and Corporate governance failure. I test the corporate governance failure in two steps. First, test the restructuring activity in three months, six months, nine months and one year after company clarify the rumor. Because asset restructuring is a long complicates process, in this way, we can test the predictive power of the wording in the clarification announcement for the real restructuring activity, and test whether the managers are truthful when they issuing the clarification announcement. Second, I demonstrate how board of directors, board of supervisors, independent directors and audit committee influence the clarification announcement decision.
Chapter6,"blurring truth and investor decision". In this chapter, an experiment is conducted to test how the investors make investment decision. The instrument applied the disclosure in real situation, including "complete deny","partially deny","promise" and "no promise". Investors based upon the disclosure to evaluate the chance of restructuring and stock price and make investment decisions. Understanding the decision path, I try to explain the anomalies.
Chapter7, Clarification and trust crisis. This chapter tests the investors'trust on managers by an experiment, In the experiment, I manipulate the nature of the rumor (routine event and asset restructuring), disclosure format (conforming the requirement and non conforming). Investors evaluate the credibility and truth worth of the managers and make the decision to invest based on the provided information. In this experiment, I can demonstrate the influence of credibility on investment decision.
Chapter8:This chapter includes the main conclusion, policy implications and research limitation, and proposed for future research.
Main findings in this dissertation are as follows:
1. Consistent with prior literature, both the rumor and the clarification can induce abnormal market reaction. Additional to replicate the result of the literature, I find that the wording in the clarification announcement can significantly influence the abnormal return, the stronger the wording to clarify the rumor, the lower the abnormal return is.
2. The clarification announcement can attract investors, which causes significantly increase trading volume. The strength of deny can cause the heterogenity of belief. I use abnormal trading volume as the proxy of the heterogenity of belief to demonstrate the confusion among investor. In the event day of rumor clarification, the announcement causes confusion among investors because of the ambiguity of the wording.
3. About70%companies have asset restructuring activity, even all the companies denied the rumor. The wording of clarification has predictive value for the future restructuring event. There are two reasons that a company issue an ambiguous announcement. First, the asset restructuring event has uncertainty, and Second, the managers strategically manipulate the stock price.
4. Corporate governance failure is one of the main causes of "blurring truth". The supervisory directors, auditors and block shareholders actively prevent ambiguous clarification. However, the board of directors, including independent directors do not work as supposed to prevent the ambiguity of the clarification.
5. The wording can influence the investor decision through the effect on the chance of the future restructuring activity. Investors ignore belief of the event, even they believe a specific restructuring can be bad news in the long run, they invest into the rumor company as the price would go up with the restructuring event. The "three month promise" does not work well. Investors believe the company has a higher chance of restructuring even the company promise.
5. The investors attribute the disclosure to the credibility of the management. In the routine event, investment decision is based on the credibility of the management and the chance of the good news.
6. In asset restructuring event, the investors ignore the credibility of the managers. The investment decision is based on the chance of restructuring. Investors are already tired of "asset restructuring" rumors, which is the half of the total rumors. Investors might rationale that the rumor is spread by managers. So they ignore the credibility of the managers.
Major improvement and innovation are evident in the following aspect:
1. The dissertation proposed a framework to study information disclosure and investor protection. Under the framework, a scholar can study disclosure form different perspective, such as investor bias and manager incentive.
2. Explore the causes of "blurring truth" from different perspectives. There are mainly two causes:corporate governance failure and investor trust crisis. The ex ante and ex post test demonstrate the validity of the corporate governance test. The experiment allows me to explore the investment decision path.
3. Introduce the psychological theory to explain the reason to "blurring truth". The attribution theory and limited attention theory allow me to explain the decision bias of investors. My study extends literature by demonstrating the limitation of investor cognition which causes decision bias. The understanding of investor decision making can help standard setters improve the regulation.
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