【作者】 王莹；

【导师】 杨洋；

【作者基本信息】 哈尔滨工业大学 ， 工商管理， 2022， 博士

【摘要】 招股说明书是公司在IPO过程中向证监会递交的正式书面报告,也是首次系统地阐述公司实际情况和发展前景的重要金融文件。招股说明书所公开的信息不仅包括财务信息,还包括大量的文本信息,进一步补充了财务信息无法表达的经营与非经营事项。文本信息传递了公司未来发展、竞争优势和潜在风险的增量信息,并借助文字的情感倾向反映出管理层预期,是上市公司向投资者全面展示自身经营情况的主要载体。在注册制改革的背景下,证监会对新股发行市场上信息披露的审核力度整体趋严,招股说明书文本披露质量成为证监会审核的重要关注点。因此,充分研究招股说明书文本信息,对于监管机构进一步完善信息披露制度,稳步推进全市场注册制改革,具有十分重要的政策意义。同时,提高文本信息质量有助于上市公司规范自身的信息披露行为,正确引导公众投资,对于提高资本市场的资源配置效率具有重大现实意义。本文首先对有效文本这一概念进行界定,将其定义为招股说明书中能够传递公司价值信息的文本信息。并认为这类文本内容会显著影响投资者的投资决策,是招股说明书中最为关键的信息,丰富了信息有效性的研究。基于中文金融情感词典,本文提取了招股说明书中的有效文本,构建有效文本向量。并通过HH文本分析、Cosine相似度、情感词典等文本分析工具,从静态和动态两个方面对有效文本进行量化和分析,研究了公司上市发行过程中不同版本招股说明书之间的文本变动,进而在动态信息披露领域拓展了文本分析方法。在梳理相关文献的基础上,本文了解到现有研究对于招股说明书文本特征提取的维度较为单一,难以全面度量招股说明书向投资者呈现的多重信息。因此,本文从有效文本质量、有效文本语调和有效文本变动三个维度构建有效文本衡量指标,对招股说明书文本信息进行全面立体地刻画。在此基础上,本文从上市公司、投资者、中介机构等不同市场主体的视角出发分析招股说明书有效文本披露的影响因素。现有文献较少从投资者的角度入手对上市公司的信息披露行为进行研究,本文将投资者纳入招股说明书信息披露影响因素的框架体系,探讨发行过程中各个市场主体对于有效文本披露的影响,从而全面地诠释发行人进行信息披露的过程,为信息披露研究提供新的思路。实证结果表明,中介机构在提高文本披露质量中起着至关重要的作用,强化中介把关责任有利于减少信息披露过程中的信息造假和印象管理行为,提高投资者进行IPO估值的准确度,进而促进资源的优化配置和合理流动。注册制改革导致上市公司操纵文本信息进行印象管理的动机变强,警惕低质量的文本披露成为深化注册制改革需要关注的关键问题。同时,本文在理论和实证上深入分析了有效文本披露对于新股定价效率的影响。首先,基于信息不对称理论、委托代理理论、信号传递理论以及印象管理理论,本文构建了招股说明书有效文本影响新股价格的理论研究框架。在实证方面,以我国A股上市公司为研究对象,本文探索了招股说明书有效文本与新股价格之间所存在的联系。以新股定价调整幅度和新股抑价率作为被解释变量进行回归分析,结果表明:有效文本质量高的上市公司会上调发行价格,以弥补信息搜集成本;而有效文本质量差的上市公司会下调发行价格,以吸引投资者的投资。消极的有效文本语调和大幅度的有效文本变动则说明投资者面对的不确定风险较大,上市公司通过提高抑价水平来对投资者进行补偿。本文考察了招股说明书中所包含的有效文本对上市公司的价格调整行为、投资者的价值判断行为以及IPO市场的运行效率产生影响的作用机制,进一步证明了上市公司的文本操纵行为会抬高发行价格,降低IPO首日回报率,进而损害投资者权益。最后,基于异质投资者的视角,本文分析了有效文本披露对股票后市价格的影响,在理论上厘清上市公司有效文本披露影响新股后市表现的内在机制。异质投资者拥有不同的信息搜集与解读能力,因此在面对相同的招股说明书时,他们会作出不同的投资选择,造成IPO长期表现存在差异。实证上,有效文本披露对三个月股票收益率影响更为显著,这就表明投资者需要三个月的时间对招股说明书有效文本进行解读,并据此做出价值判断,进而影响新股长期表现。机构投资者拥有专业的信息解读能力,更容易根据招股说明书中的有效文本披露作出最优选择。因此,如果上市公司中机构投资者持有较多股份,则有效文本披露会对该公司股票的市场价格表现产生更为显著的影响。而分析师起到信息解读和传递作用,帮助个人投资者解读有效文本,减少投资者意见分歧,使得有效文本信息能够更迅速地反映在股票价格上。更多还原

【Abstract】 Prospectus is the official written report that the firm submits to the CSRC during the IPO,and is also the first financial document that systematically describes the operating performances and prospects of the IPO firm.The information contained in the prospectus includes not only accounting information,but also textual information,which reflects the operating events and non-operating events that can not be expressed by accounting information.The textual information conveys new information concerning the future developments,competitive advantages and potential risks,passes the managerial expectation by the sentimental inclination of text,and is main carrier that the IPO firm presents the condition of its operating performances to the investors.Through these registration-based reforms,the CSRC has strengthened the supervision on the information disclosed in the offering period,and the focus of supervision is the textual information of prospectuses.Therefore,the research on prospectus’ s textual information is of great political value for the regulators to improve regulations on textual information disclosure and extend registration-based reforms to both markets.Meanwhile,improving textual information quality is of great practical value for IPO firms to standardize their information disclosure behaviors,guide the public to arrange investments correctly,and cause market resources to be allocated efficiently.This paper puts forward the concept of informative text and defines it as the textual information that can reflect the value information regarding the IPO firm,which is thought to be crucial when investors make their decisions and be the most important information in the prospectus,enriching the research on effective information.On the basis of the Chinese sentimental word list in finance area,this paper extracts the text features that are of economic significance,quantifies the informative text.And by computing the static measuring indexes and dynamic measuring indexes by the method of HH textual analysis,Cosine similarity analysis,and word lists analysis,this paper study the changes of textual information between different editions of prospectuses,extending the application of textual analysis to the dynamic information disclosure area.This paper concludes the extant studies and finds it is single to measure dimension of textual information,making it difficult to reflect the comprehensive information conveyed by the textual information.Hence,this paper computes the informative text indexes to reflect the quality,sentiments,and changes of informative text,depicting the characteristic of informative text in three dimensions.On this basis,this paper analyzes the impact factors of informative text from the perspective of different market objects,such as IPO firm,investors,and intermediaries.Few literatures examine disclosure behaviors of IPO firms from the point of investors.This paper incorporates the investors into the impact factors system of informative text,explore the impact of different market objects on the informative text disclosure,and thus comprehensively illustrate the issuer’s disclosure process,providing a new method to study the IPO disclosure.The empirical results show that the intermediaries play the most important role in enhancing the quality of information disclosure in prospectus.Emphasizing the responsibility of intermediaries help decrease the false information and impression management behaviors during the information disclosure process,improve the accuracy of investors’ IPO valuations,and ensure the resources to be effectively allocated on the stock market.The registration-based reforms lead to stronger motivation of the IPO firms using text disclosure to manage its impression.To deepen the reform,the low quality of text disclosure needs to be concerned.Meanwhile,we further study how informative text influences the efficient price setting.Based on the related theories,this paper studies the internal mechanism behind the impacts of informative text on IPO pricing and construct the theoretical analysis framework.In empirical studies,we choose firms from the A-Share market during2009-2018 as the sample and explore the internal association between informative text and stock prices.The regression results show that the IPO firm with high-quality informative text will revise the offering price higher to compensate its information gathering costs,while the IPO firm with low-quality information text will revise the offering price lower to attract investments.Negative informative text and more revisions on informative text indicate investors face large risks and IPO firm will increase the level of underpricing to compensate the risk-taking investors.This paper also tests the impacts of information text on the IPO firm’s pricing strategy,the investor’s investment decision,and economic operational efficiency and prove that the textual manipulation will push up the offering price and reduce the stock returns,impairing the investor interests.Finally,we explore how informative text affects IPO long-run performances in the view of investor heterogeneity.Theoretically,this paper analyzes the influencing mechanism of informative text on IPO long-run performance.Different investors have different abilities of information processing,and make different investment decisions,which lead to different aftermarket performance.Empirically,the impact of informative text on stock return in three months is most significant,indicating average investors need three months to digest the information in prospectus and make investment decisions,which eventually influence IPO long-run performance.Due to the professional ability of information processing,institutional investors are more likely make sensible investment decisions based on informative texts.Therefore,with regard to the listed firms with more institutional shareholdings,the informative text will exert stronger influences on long-run prices.In addition,analyst can improve the processing and transmission of informative text,reduce the time that individual investors need to process informative text,decrease the divergence of investor opinions,and thus make the aftermarket stock price more quickly reflects the informative text.更多还原