对于同一信息,交叉上市企业在不同市场进行披露的时点可能存在差异,这会导致投资者产生不同反应,进而引发股价出现不同程度的波动,2020 年颁布的新《证券法》对此进行了关注与规制.本文以 2017-2022 年 A 股上市公司为样本,采用双重差分模型从股价崩盘风险视角检验了新《证券法》对交叉上市企业信息披露的规制效果.研究发现,新《证券法》实施后,相较于非交叉上市企业,交叉上市企业的股价崩盘风险显著降低,且该过程主要通过降低投资者意见分歧与减少管理层坏消息隐藏机制实现.异质性分析发现,当管理层具有较高坏消息隐藏动机或隐藏机会,投资者信息环境较为恶劣时,新《证券法》实施效果更为凸显.本文研究结果表明,新《证券法》实施为资本市场互联互通提供了法律保障,通过完善信息披露制度有效促进我国资本市场稳定并推动企业国际化进程.
Cross-Listed Firms Disclosure Regulation and the Risk of Share Price Crash:Evidence from the Implementation of the New Securities Law
For the same information,cross-listed enterprises may disclose it at different time in different markets,which will lead to different reactions from investors and further cause different degrees of stock price fluctuations.Based on the sam-ple of A-share listed enterprises from 2017 to 2022 in China,this paper uses the DID model to test the effect of the new Securi-ties Law on the information disclosure regulation of cross-listed enterprises from the perspective of stock price crash risk.We find that after the implementation of the new Securities Law,the risk of stock price crashes of cross-listed companies is effec-tively reduced compared with non-cross-listed companies,and this process is mainly achieved by reducing the differences in investors'opinions and lowering the management's hiding degree of bad news.Heterogeneity analysis shows that the implemen-tation effect of the new Securities Law is more prominent when the management has high motivation or opportunity to hide bad news and the information environment of investors is bad.This paper emphasizes that the implementation of the new Securities Law provides a legal guarantee for the interconnection of the capital market,effectively promotes the stability of China's capital market and promotes the internationalization of enterprises by improving the information disclosure system.
Cross-listingInformation Disclosure RegulationStock Price Crash Riskthe New Securities Law
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