【摘要】 雾霾等空气污染引发全社会的广泛关注。在这种压力下,空气污染对地方重污染企业的股票收益率的影响如何?地方重污染企业是否已经开展了盈余管理?影响幅度有多大?这种影响随时间有何变化?这类研究比较少见。本文采集了19个省2008-2016年间的空气污染数据、重污染企业的相关财务数据,检验雾霾等空气污染对重污染企业股票收益率及盈余管理的影响。结果发现:(1)当空气严重污染时(AQI=300),对股票收益率产生了显著的负面影响,且结果是稳健的;空气污染对股票收益率的负面影响存在着时间效应,2013年之后的负面影响开始显著起来。(2) 2008-2009年间,企业在断点API=100处和API=200处有向下做盈余管理的现象,在断点API=300处有向上做盈余管理的现象;2010-2012年间、2008-2012年间,企业在断点API=100、200、300处都有向下做盈余管理的现象;2015-2016年间,企业在各断点处不存在明显向下的盈余管理行为,尤其在断点AQI=300处,盈余管理为正值。本文对原因做了简要探讨,所得结论可以为政府监管部门、投资者和企业经营者提供参考。更多还原

【Abstract】 Recent years has seen a significant increase of fog and haze occurrence in China, which has seriously affected the sustainable development of society, and has aroused wide public concern. Heavy polluters also face greater social pressure. Against this background, it is important to know what is the effect of air pollution on the stock returns of the heavily polluted enterprises listed in the city, and whether or not the polluters have the motivation to adopt downward earnings management? Such studies are relatively rare. In this paper, using Jones Model and multiple-cutoffs regression discontinuity to examine the impact of air pollution on the stock returns of the heavily polluted enterprises and the earnings management of local heavy polluters, we collected the air pollution index(API) data and relevant financial data of heavy polluters in 19 provinces from 2008 to 2016, and analyzed the stock returns and earnings management behavior of the heavy polluters of that period of time. The results showed that:(1) When the air is seriously polluted(AQI=300), had a negative impact on the stock returns, and the results are robust; the negative effects of air pollution on stock returns has a time effect, after 2013 between air pollution and stock returns are significantly related.(2) From 2008 to 2009, the enterprise resorted to the downward earnings management when API is exactly 100 and 200, however, the earnings management is upward when API is 300;(2) seen from the whole data in the period of 2010 to 2012 and 2008 to 2012, the enterprise exploited downward earnings management when API reaches 100, 200 and 300 respectively. At the end of the paper, the empirical results are discussed. The conclusions can provide empirical evidence for government regulators, stock market investors and business operators.更多还原