财务信息操纵、资产定价与资本配置效率：微观行为与宏观经济视角

Executives' desire to use financial reports to pursue their own financial interests gives rise to the phenomenon of financial information manipulation, which is defined as intentional manipulation of reported financial information by altering economic transactions or choosing accounting estimates that do not accurately reflect the firm's underlying fundamentals. Empirical research shows that it is pervasive in the corporate world in China. We intend to theoretically and empirically study the economic implications of financial information manipulation in China along three dimensions,including executive compensation,asset prices,and capital allocation. The first strand of research examines the effects of information manipulation on the design of executive compensation, shedding light on the current debate on regulation and reforms of pay practices. Our model departs from the existing literature in that the manager may take a costly action to distort the firm's reported performance in order to maximize his compensation, and whether the manager has such an opportunity is stochastic.The shareholders take into account the possibility of manipulation, but fail to perfectly infer the value of true earnings because of the uncertainty involved in information manipulation.We intend to investigate, first theoretically and then empirically,how such manipulation uncertainty systematically influences the characteristics of the optimal incentive compensation as well as the choices of desired compensation vehicles. The second line of research investigates the systematic influence of information manipulation on stock returns, both at the individual level and at the aggregate level.We conduct this exercise within a Lucas asset-pricing model that is standard in all aspects,except that the investors hire a manager to operate the firm and report the firm's earnings.In particular,a principal-agent model with financial reporting and productive effort (developed in the first part) is embedded in a simple variant of the Lucas asset-pricing model with periodic revelations of the underlying profitability.Since the financial reports sent by the manager may or may not be systematically biased, the investors have to make inference about the fundamental value when pricing the firm, and they learn in a standard Bayesian fashion. The third direction of research examines whether and how information manipulation could distort capital allocation across companies,and therefore generates adverse consequences for financing efficiency and economic growth.In an economy where some firms engage in information manipulation to a greater degree than other firms, financial capital may be attracted to those dishonest firms that have been inflating their performances.This would result in financing difficulties for those honest firms which may have greater potential for future growth. A calibrated model will provide a quantitative evaluation of the magnitude in the current Chinese economy.

本项目以微观行为与宏观经济相结合的视角，在薪酬体系制定、股票市场表现以及资本配置效率三方面，系统性地研究财务信息操纵(即,经营者运用会计方法或选用偏离正常经营方式的经营活动来改变财务报告的行为)的经济后果。首先，通过在契约模型中考虑信息操纵的动机，利用最优合同理论分析在一个存在信息操纵机会的环境中应如何有效地设计高管薪酬制度，为加强我国公司治理提供理论与实证的依据。第二，建立一个基于投资者关于信息操纵的理性预期的动态一般均衡资产定价模型，研究信息操纵对我国股票市场（个股及股指）波动以及金融异象产生的影响，为监管机构科学监管和金融部门稳定金融市场提供理论和实证的依据。第三，建立基于不同公司信息操纵异质性的资本配置模型，研究投资者关于各公司信息操纵行为不确定性预期对股票市场上资本配置效率的影响，并通过模型校准提供量化分析，有助于政策部门了解信息操纵通过影响资本配置效率而制约我国经济发展的风险。

财务信息操纵现象在我国尤为严重。由于我国资本市场起步较晚，上市公司监管法律法规的发展并未跟上市场规模的发展，各项规章制度还不完善，公司高管的财务信息操纵行为在我国依然普遍存在。本项目从以下三个角度研究高管信息操纵行为的经济后果。首先，在会计准则与信息环境为高管提供了操纵财务信息的机会这一前提下，董事会应如何选择、建立最优的薪酬体系，以实现在提供激励的同时、控制并减少高管的信息操纵行为？在这一子课题中，本项目从微观层面，利用最优契约理论，探讨信息操纵机会的存在对高管薪酬制度的影响。我们发现信息操纵的可能性发而导致高管薪酬对企业效益的敏感度升高，以对高管提供足够的激励。第二，在投资者对信息操纵行为的理性预期存在偏差和不确定性的现实情况下，股票价格与收益将如何决定？信息操纵以及投资者对该行为的不确定性预期是否影响股票市场的波动？如果影响，将导致股票市场呈现哪些特征？这些问题在以往的文献里，或者被忽视，或者没有被很好地回答。本项目建立一个基于投资者关于信息操纵（不确定性）预期的动态一般均衡资产定价模型，拟研究信息操纵对我国上市公司个股的收益和波动的影响，同时利用数据进行实证分析。在此基础上，我们从微观层面进展到宏观角度，将模型扩展到体现各上市公司信息操纵行为的联动性，并通过模型校准(calibration)来分析信息操纵行为对股指表现及波动的影响。我们发现信息操纵导致股票崩盘风险加大(包括个股及股指), 并使得股票崩盘与经济周期的相关性加重。第三，当各上市公司在是否进行信息操纵及其幅度上存在差异，投资者对信息操纵的预期存在误差及不确定性的情况下，资本市场中的资金是否会过多地流向信息操纵严重且盈利水平低的公司，而盈利水平及增长速度较高并如实报告财务状况的公司融资发生困难，导致了资本配置的次优化？本项目拟在宏观资本配置模型的基础上考虑不同上市公司信息操纵行为的差异性，探讨信息操纵对经济内资本配置效率的作用机理，并通过校准模型(calibration)量化信息操纵对资本配置进而经济增长的宏观影响。本项目探讨信息操纵的解决方式，对股票价格的系统性影响，并检验其对资源配置效率的影响路径；对契约理论及资本市场研究做出有益补充，具有较强的理论意义。同时为上市公司制定合理的薪酬体系提供指导，为投资者准确发现证券的内在价值提供决策依据，也为金融监管机构进行科学决策提供参考，有较强的实践意义。