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| 文章编号：1672-3104(2018)03-0088-08 |
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基于GMM的信息披露质量与股价崩盘风险研究 |
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蔡艳萍，刘晓光 |
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（湖南大学工商管理学院，湖南长沙 41000） |
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| 摘 要： 基于我国上市公司股权高度集中，且投资者保护制度尚不完善这一现实背景，以2006—2016年深交所上市公司A股为研究对象，采用动态面板模型(GMM)着重探讨上市公司信息披露质量对股价崩盘风险的影响效应，并进一步考察终极控制人的两权分离度对二者关系的调节作用，在此基础上，采用倾向得分匹配(PSM)法进行稳健性检验。结果表明：上市公司信息披露质量与股价崩盘风险呈显著负相关关系，两权分离度水平的提高会强化该负相关关系。 |
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| 关键词： 信息披露质量；股价崩盘风险；两权分离度；GMM；PSM |
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Research on the quality of information disclosure and the risk of stock-price crash based on GMM |
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CAI Yanping , LIU Xiaoguang |
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（School of Business Administration, Hunan University, Changsha 410000, China） |
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| Abstract: In the context that the share-holding of listed companies is highly concentrated in our country and that investors' protection system is imperfect, the present study, by taking the listed companies in Shenzhen Stock Exchange from 2006-2016 in China as the study basis and by employing dynamic panel data methods, analyzes the effect of the quality of information disclosure on the risks of stock-price crash. Further study investigates the influence of the separation of two rights of ultimate controllers’ impact on the relationship between the quality of information disclosure and the risk of the stock-price crash. Under this premise, the study also conducts Robustness test utilizing the propensity score matching method (PSM).The experimental result shows that there exists an obvious negative relation between the quality of the information disclosure and the risk of stock-price crash, and that the improvement of the separation degree of two rights will enhance such negative relation. |
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Key words: the quality of information disclosure; the risk of stock-price crash; the separation degree of two rights; GMM; PSM |
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