中国环境信息规制的市场效应——基于股价崩盘风险的实证检验

《财经研究》 2022年48卷第7期 页码：63 - 78  online：2022年7月1日

中国环境信息规制的市场效应——基于股价崩盘风险的实证检验

The Market Effect of China’s Environmental Information Regulation: An Empirical Test Based on Stock Price Crash Risk

作者（中）：方红星1, 林婷1, 许东彦2

作者（英）：Fang Hongxing1, Lin Ting1, Xu Dongyan2

作者单位：1.东北财经大学 会计学院/中国内部控制研究中心，辽宁 大连 116025 2.江西师范大学 财政金融学院，江西 南昌 330022

摘要：环境信息规制的重要目标之一是提高企业环境信息透明度，以便督促企业积极履行环保责任。但是政策实施后，企业披露的环境信息能否被投资者解读及解读效果如何尚不清楚。文章从个股股价崩盘风险视角切入，利用双重差分法实证检验环境信息规制政策的市场效应。研究发现：（1）环境信息规制政策的实施会加剧个股股价崩盘风险。这种冲击效应仅在政策实施当期、企业信息透明度较低、机构持股比例较低的样本中存在。（2）由对象锁定和敏感信息锁定引起的投资者非理性情绪是环境信息规制政策加剧股价崩盘风险的主要原因，但这并不表明环境信息规制的信息效应不存在，只是短期内被投资者的非理性情绪效应所掩盖。因此，相关部门应紧密结合中国资本市场背景，加强投资者教育和舆论引导，有效缓解和消除投资者的非理性情绪，避免投资者因环境信息管制力度加大而“谈环色变”，进而加剧股价崩盘风险；同时，还需要不断改进和完善环境信息披露规则和指引，加大执行力度，推动企业切实提高环境信息透明度和信息含量，以便充分发挥环境信息规制的信息效应。

关键词：环境信息规制; 股价崩盘风险; 信息效应; 投资者情绪效应

Summary: With the issue of a series of environmental laws and regulations such as the new Environmental Protection Law, the supervision and punishment against enterprises in violation of environmental information disclosure are unprecedented, reflecting the characteristics of “regulation” by the government. In the context of these policy changes, it is still unknown whether the environmental information disclosed by enterprises can be understood by investors. From the perspective of stock price crash risk, this paper uses the DID model to empirically test the market effect of environmental information regulation (EIR). The study finds that the effect of EIR has significantly increased the level of stock price crash risk. It is mainly reflected in the current period of policy implementation, especially in enterprises with poor transparency and those with few shares held by institutional investors. The irrational investor sentiment caused by target lock-in and sensitive information lock-in is the main reason why EIR intensifies the stock price crash risk. However, this does not mean that there is no information effect of EIR, but is covered by the effect of irrational investor sentiment in the short run. Therefore, the regulatory authorities should seriously consider the background of China’s capital market, and take actions to strengthen investor education and public opinion guidance, so as to effectively alleviate and eliminate irrational investor sentiment and avoid investor anxiety due to EIR. Meanwhile, for fully exerting the information effect of EIR, the regulatory authorities also need to constantly improve the rules and guidelines of environmental information disclosure, enhance the implementation, and promote enterprises to effectively improve the transparency and information content of environmental information.This paper may contribute to the following aspects: Firstly, it identifies the market effect of EIR from the perspective of stock price crash risk, and further analyzes the internal influence mechanism from the aspects of both irrational investor sentiment effect and information effect, which provides new empirical evidence for a more comprehensive and in-depth understanding of the economic consequences of EIR, as well as expands the research related to the use of environmental regulation tools. Secondly, it takes the quasi-natural experiment of EIR to deal with the possible endogenous problems, and thereby more accurately identifies the market effect of EIR. Thirdly, as one of the earliest domestic literature in this field, it provides new theoretical explanations and empirical evidence for the economic consequences of environmental information disclosure, and also has certain guiding significance on how to prevent the stock price crash risk.

Key words: environmental information regulation; stock price crash risk; information effect; investor sentiment effect

DOI：10.16538/j.cnki.jfe.20211114.205

收稿日期：2021-6-6

基金项目：财政部“会计名家”培养工程（201801）

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