创业板上市公司文本惯性披露、信息相似度与资产定价——基于Fama-French改进模型的经验分析

中国管理科学 ›› 2014, Vol. 22 ›› Issue (8): 56-63.

创业板上市公司文本惯性披露、信息相似度与资产定价——基于Fama-French改进模型的经验分析

蒋艳辉, 马超群, 熊希希

湖南大学工商管理学院, 湖南长沙 410079

收稿日期:2013-07-19 修回日期:2014-05-05 出版日期:2014-08-20 发布日期:2014-08-23
作者简介:蒋艳辉（1981- ），女（汉族），湖南人，湖南大学工商管理学院，信息管理系副主任，博士，讲师，研究方向：财务信息分析与挖掘.
基金资助:
国家自然科学基金青年基金项目（71201052）；国家自然科学基金杰出青年基金项目（70825006）；湖南省风险导向审计研究基地项目（12K021）；湖南省博士后科研资助专项计划（2013RS4052）

The GEM Listed Corporations Inertia Disclosure, Information Similarity and Asset Pricing——Empirical Test Based on Improved Fama-French Model

JIANG Yan-hui, MA Chao-qun, XIONG Xi-xi

Business School, Hunan University, Changsha 410079, China

Received:2013-07-19 Revised:2014-05-05 Online:2014-08-20 Published:2014-08-23

摘要/Abstract

摘要： “管理层讨论与分析”MD&A是上市公司财务报告“董事会报告”的重要内容，为投资者提供了管理层如何看待企业经营状况的历史信息及未来事项的前瞻性信息，在投资者决策中起到至关重要的作用。如果管理层披露的MD&A信息不能按时间推移和公司经营状况变化进行动态调整，那么将会对资本市场产生何种影响，这是投资者与监管者普遍关心的问题。本文以创业板上市公司2010年-2012年披露的MD&A文本信息为样本，以“信息相似度”为文本惯性披露行为的计指标，运用改进后的Fama-French资产定价模型，实证检验了MD&A信息相似度与股权资本成本之间的关系。经验证据显示信息相似度与股权资本成本之间存在正相关关系。

关键词: MD&A, 惯性披露, Fama-French模型

Abstract: As an important part of financial report, "Management's Discussion and Analysis" (MD&A) provides investors historical information to look at business conditions and forward-looking information on future events, and plays a crucial role in investors' decision-making. But MD&A disclosed by management is not dynamically adjusted in the time sequence, what the economic consequences it will bring to the capital markets, which is the issues investors and regulators are generally concerned about. Take as the object of our analysis the text information disclosure (MD&A) of the GEM listed companies in the past two years (2010-2012), in this paper, the level of MD&A inertia disclosure by the indicator "information similarity"is firstly quantitatively measured, then the asset pricing model-Fama-French Model is improved to explore the correlations between the information similarity and the cost of equity capital. The result of our study indicates that, a positive relationship between the information similarities with the cost of equity capital exists. This paper enriches the literature of information disclosure and enhances understanding of text information disclosure behavior.

Key words: MD&A, inertia disclosure, Fama-French model

中图分类号:

F234.4
F275

蒋艳辉, 马超群, 熊希希. 创业板上市公司文本惯性披露、信息相似度与资产定价——基于Fama-French改进模型的经验分析[J]. 中国管理科学, 2014, 22(8): 56-63.

JIANG Yan-hui, MA Chao-qun, XIONG Xi-xi. The GEM Listed Corporations Inertia Disclosure, Information Similarity and Asset Pricing——Empirical Test Based on Improved Fama-French Model[J]. Chinese Journal of Management Science, 2014, 22(8): 56-63.

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