李洋 王春峰 房振明 向健凯

摘 要：基于2010～2018年中国上市公司的业绩预告样本，本文探究了上市公司业绩预告行为及其市场反应。研究发现，业绩预告的准确性与披露时间呈倒U形关系，表明披露时间越晚的业绩预告，准确性可能越低，为上市公司的策略披露行为提供了直接证据。进一步研究发现，对于会计截止日期之前发布的业绩预告，价格反应和信息不对称下降程度对披露时间不敏感，而对于会计截止日期之后发布的业绩预告，价格反应与披露时间负相关，且披露时间越晚的预告，信息不对称下降幅度越大。上述结果表明披露时间与市场反应呈非单调关系，上市公司业绩预告行为符合策略披露假说。关键词：业绩预告;真实披露;策略披露;市场反应

中图分类号：F832.5文献标识码：A文章编号：1003-5192（2021）01-0045-08doi：10.11847/fj.40.1.45

Abstract：Based on the sample of Chinese listed companies’ management forecasts from 2010 to 2018， this paper studies the behavior of the management forecasts and their market reactions. The results show that there is an inverse U-shaped relationship between the releasing time and the accuracy of management forecasts， indicating that the accuracy may be lower when the releasing time is later， which provides direct evidence for the behavior of strategic disclosure. Furthermore， for the management forecasts released before the fiscal quarter， the price reaction and the reduction in information asymmetry is not sensitive to the releasing time. However， for the management forecasts released after the fiscal quarter， the price reaction is negatively correlated with the releasing time， and the reduction in information asymmetry is more pronounced when the releasing time is later. The above results indicate that the relationship between releasing time and market reactions is non-monotonous， and the behavior of management forecasts conforms to the strategic disclosure hypothesis.

Key words：management forecasts; true disclosure; strategic disclosure; market reaction

1 引言

2019年4月中央財经工作会议明确指出中国资本市场的改革目标是建立“以信息披露为核心的注册发行制”。业绩预告作为上市公司信息披露的重要组成部分，一直受到监管部门和投资者的广泛关注。与西方国家不同，中国资本市场中的业绩预告不仅是上市公司向市场传递信息的渠道，也是监管部门保护中小投资者利益的一项制度安排。中国监管部门制定业绩预告制度的初衷是尽早为投资者提供有价值的业绩信息，并降低业绩公告集中发布时的股价波动[1]。然而，在高信息不对称和弱公司治理的市场环境中，管理层有动机隐匿坏消息或发布误导性信息。……