媒体治理

“”“”“、”“”。、LaPorta1998Levine1998、1999。Allen2005。。Dyck2008FangPeress2009Bhattachary2009En－glbergParsons201120082010201120112012。。20011017《》、1.3630002.40506～、。。。[][]MediaGovernanceInformationAsymmetryandCrashRiskXIEYa-luWANGChongSchoolofManagement,MinnanNormalUniversity,Zhangzhou36300,China;DepartmentofAccounting,UniversityofKentucky,Lexington40506,USAAbstractBasedonthedataofA-sharelistedcompaniesduring2002-2011,weinvestigatetherelationshipamongmediafollow－inginformationasymmetryandcrashriskfromtheperspectiveofmediagovernancemechanism.Thestudyshowsthatthemoremediafollowingthelowerstockpricecrashrisk,further,mediagovernancefunctionsismoresignificantinthehigherdegreeofinformationasymmetry.Thefindingsindicate,inthecontextoftheneedforimprovementofinvestorprotectionsystem,itwouldbeaneffectivewaytoreducecrashrisktoenhancethefreedomofmediareportandtoencouragethemediatosupervisethesecuritiesmarket.KeyWords:mediagovernance;crashrisk;informationasymmetryJournalofShanxiUniversityofFinanceandEconomics36··DOI:10.13781/j.cnki.1007-9556.2014.07.001。1022SEC118。1933《》———《—》SOX。20018《》《》“”。。2008911《》14。916、、221630%。。———。2012111921《260%》。300。112150247%。。①JinMyers2006Bates2008。。Chen2001BleckLiu2007Hutton2009KimZhang2011aKim2011b。20112010206、。。2009。JinMyers2006。2010。。、。。、。。、。FangPeress2009。、、。。“”impediments-to-trade。“”investorrecognitionhypothe－sis37··。Bhattachary20092.9%2000～2002。EnglbergParsons2011S&P500localmediacov－eragelocaltrading。Rogers2012。。20082003。2010。。2011。2011。。2011“”“”。2012。2012。Chen2001HongStein2003。JinMyers2006———“”。Hutton2009、Francis2012、KimZhang2012、Lobo2013。2008。2009。。2010、2011、20112012、20122013。。、Kothari2009。。JinMyers2006Hutton2009KimZhang2012。BleckLiu2007。。38··、。。。Tetlock2008、。。、2010。。SOX。。1。1。。。2。2。DopuchSimunic1982。FanWong2005。2006。2a。2a。。。LiZhou2005。。。2009。。2b。2b。Basu1997。LaFondWatts2008。Li2008。“”39··。KimZhang2012。2c。2c。、CSMAR、CCER,CNKI“”。2010、2011《》、《》、《》、《》、《》、《21》。②“”“”、。20012001200118225/。126622653B、38134200110965835。2002～201111950。STATA11.0。1.。Chen2001Hutton2009Kim2011a、2011b。1CRASH。firm-specificweek－ly、2、2rjt=αj+β1jrmt-2+β2jrmt-1+β3jrmt+β4jrmt+1+β5jrmt+2+εjt1rjtjtrmtjt22Dimson1979。1εjt。εjt。εjt1εjtWjt=ln1+εjt。Wjt。3.2。t11≥1CRASH=10。2NCSKEW。negativecoefficientofskewnessNCSKEWjt=-nn-13/2∑W3jt/n-1n-2∑W2jt3/22NCSKEWjtjtWjt1njt。NCSKEWjtcrashprone。NCSKEWjt。3DUVOL。thedown-to-upvolatilityDUVOLjt=log{nu-1∑DOWNW2jt/nd-1∑UPW2jt}3DUVOLjtjtWjt1。nuWjtndWjt。NCSKEWjtDUVOLjt。2．HIGH_MEDIA。201140··MEDIA=ln1+No.ofmediafocus4HIGH_MEDIA=1。3.BIG4。2007BIG4=1BIG4=0。4.SOE。CCER“”SOE=1SOE=0。5.CSCORE。KimZhang2012CSCORE/。Xjt=β1t+β2tDjt+Rjtu1t+u2tMKVjt+u3tMBjt+u4tLEVjt+DjtRjtl1t+l2tMKVjt+l3tMBjt+l4tLEVjt+r1tMKVjt+r2tMBjt+r3tLEVjt+r4tMKVjt+r5tMBjt+r6tLEVjt+ejt5XR54③DR0D10MKVMBLEV。5l1t、l2t、l3t、l4tCSCORE。CSCORE=l1t+l2tMKV+l3tMB+l4tLEV6CSCORECSCORE10。。1t-1t2Heckman1979t-1IMR。1ProbHIGH_MEDIAt-1=α0+β1SIZEt-1+β2MBt-1+β3ROAt-1+β4LEVt-1+β5ANAL_COVt-1+β6LIST_YEARt-1+β7SOEt-1+β8IND+β9YEAR+ε7HIGH_MEDIAt-11。Dyck2008、2012LIST_YEARt-1SOEt-1。SIZEt-1、MBt-1、ROAt-1、LEVt-1、ANAL_COVt-1。CRASHjtNCSKEWjtorDUVOLjt=α0+β1HIGH_MEDIAt-1+βjControlVariables+γIMR+ε8CRASHLogisticNCSKEWDUVOLOLS。8β1。β1。1。28BIG4、SOE、CSCOREβ1。1CRASHt1Hutton2009NCSKEWt2Chen2001DUVOLt3Chen2001HIGH_MEDIAt-142011BIG4tBIG4t=102007SOEtSOEt=1SOEt=0LiZhou2005CSCOREt5KhanWatts2009DTURNt-1t-1t-2Chen2001SIZEt-1t-1Chen2001MBt-1t-1Chen2001Hutton2009MEAN_RETt-1t-1Chen200141··SD_RETt-1t-1100Chen2001ROAt-1tHutton2009LEVt-1t-1Hutton2009CRASHt-11Hutton2009NCSKEWt-12Hutton2009DUVOLt-13Hutton2009YEARIND、2。2002201110%。2002200516.71%200620117.30%。④PanelC87.8%200794.1%2007。3。1CRASHt、NCSKEWtDUVOLtChen2001231%99%winsorize。Pearson。⑤12HIGH_MEDIAt-1CRASHt、NCSKEWt、DUVOLt-0.056、-0.033、-0.0483SIZEt-1、DTURNt-1、MBt-1、MEAN_RETt-1、SD_RETt-1、ROAt-1、LEVt-140.5。2PanelAPanelBPanelC200210662140.2018860.831200311182050.18310010.895200411771820.1559840.836200512511620.13010480.838200612171150.09510800.88720071195790.06611250.94120081207840.07011300.93620091242260.02111200.902201012431350.10910530.84720111234960.07810590.8581195012980.109104860.8783VARIABLES25%75%CRASHt119500.1090.3110.0000.0000.000NCSKEWt11950-0.0800.700-0.475-0.0740.319DUVOLt11950-0.0880.349-0.323-0.0890.142ANAL_COVt119500.8991.0680.0000.6931.609BIG4t119500.0720.2580.0000.0000.000SOEt119500.6950.4610.0001.0001.000CSCOREt11950-0.2230.875-0.122-0.0020.063HIGH_MEDIAt-1119501.4810.9500.6931.3862.079CRASHt-1119500.1430.3500.0000.0000.000NCSKEWt-111950-0.0650.715-0.467-0.0620.339DUVOLt-111950-0.0790.355-0.319-0.0800.152SIZEt-11195014.7701.03514.06014.64015.370ROAt-1119500.0190.0860.0080.0270.053LEVt-1119500.5170.2200.3730.5140.642SD_RETt-1119500.0480.0410.0310.0440.059MEAN_RETt-1119500.0030.014-0.005-0.0010.013DTURNt-1119500.1504.016-1.9080.0822.231MBt-1119503.4783.3331.6172.5624.23942··。4PanelA。PanelADUVOL-0.073-0.0745%-0.090-0.091。CRASHNCSKEW。146412.25%。4、、％、％、％。PanelAVariableDifferenceCRASH0.1070.0000.3100.1090.0000.311-0.181-0.181NCSKEW-0.074-0.0660.691-0.081-0.0750.7010.3790.780DUVOL-0.073-0.0740.341-0.090-0.0910.3501.808**2.107**Observations146410486-PanelBVa