公司层面的政治不确定性会影响收益的错误定价吗?通过政府对企业 "旋转门 "的自然实验

Abacus Pub Date : 2024-02-11 DOI:10.1111/abac.12314
Haijie Huang, Edward Lee, Changjiang Lyu, Z. Zhu
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引用次数: 0

摘要

我们利用与强制关闭政府对企业旋转门相关的独特背景,研究企业层面政治不确定性的外生上升是否以及如何影响收益的错误定价。我们研究的紧张局势源于两种相反的影响。如果这种不确定性会引发投资者之间的意见分歧(理性关注),那么就会延迟(加速)价格发现,增加(减少)证券错误定价。我们的识别策略借鉴了与 2013 年中国规定具有政府背景的公司独立董事辞职相关的差异分析。与意见分歧效应的主导地位相一致,我们观察到这些非自愿辞职无意中增加了收益公告后股价反应的延迟。这些发现在那些从具有政府背景的独立董事中获益更多的公司中更为明显。进一步的分析证实,这些非自愿辞职会引发更多的意见分歧,而不是投资者的理性关注,因为在这些辞职之后,分析师预测的多样性会显著增加,但分析师的覆盖范围却没有变化。我们提供了新的证据,证明市场信息效率可能会因公司层面政治不确定性的升级而意外恶化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does Firm‐level Political Uncertainty Affect the Mispricing of Earnings? A Natural Experiment through Government‐to‐business Revolving Door
We utilize a unique setting associated with the mandatory closure of the government‐to‐business revolving door to examine whether and how an exogenous rise in firm‐level political uncertainty affects the mispricing of earnings. The tension that underlies our study stems from two opposing effects. To the extent that such uncertainty can trigger opinion divergence (rational attention) among investors, it is expected to delay (accelerate) price discovery and increase (decrease) security mispricing. Our identification strategy draws on the difference‐in‐differences analysis associated with the Chinese regulation in 2013 that mandated the resignation of corporate independent directors with a government background. Consistent with the dominance of the opinion divergence effect, we observe that these involuntary resignations unintentionally increase delays in share price responses following earnings announcements. These findings are more evident among firms that enjoy more benefits from independent directors with a government background. Further analyses confirm that these involuntary resignations trigger more opinion divergence rather than rational attention among investors by showing significant increases in analyst forecast diversity but no changes in analyst coverage following such resignations. We provide novel evidence that market information efficiency could deteriorate as an unintended consequence of the escalation of firm‐level political uncertainty.
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