引入信息成本的信息结构对股权融资成本的影响研究

发布时间：2018-02-11 09:31

本文关键词： 股权融资成本信息成本信息风险先验信息质量信息披露质量　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文是对Easley和O’Hara（2004）的一个拓展研究，放松了信息成本不为0的假设，在他们的理性预期模型的理论框架下，构建了一个引入信息成本因素的信息结构模型。从信息结构的四个方面：信息成本、信息风险、信息披露的质量和先验信息质量研究了信息结构与股权融资成本之间的关系。本文的理论模型不仅证明了Easley和O’Hara已有的三个推论，即：（1）私人信息比例越大，信息风险越大，股权融资成本越高。（2）披露的私人信息和公共信息质量越高，股权融资成本越低。（3）先验信息质量越高，股权融资成本越低。而且证明了信息成本与股权融资成本之间的不确定性关系。在研究信息结构与股权融资成本之间关系的过程中，本文与Easley和O’Hara的最大不同在于引入了信息成本因素，并且本文利用中国市场的数据对推论进行验证，而Easley和O’Hara仅仅给出了理论证明，未进行实证检验。在实证研究中，本文借鉴市场微观结构理论中的信息不对称指标—逆向选择成本来衡量信息成本、知情交易概率—PIN来衡量信息风险，这两个指标是直接从股票市场的逐笔交易的高频数据计算得出的，，更能反映投资者之间的情绪与知情交易者和非知情交易者之间的博弈，具有一定的客观性和科学性。选取公司的上市时间和公司的规模衡量先验信息质量，同时考虑了以往学者考虑的深交所的评级来衡量信息披露的质量。通过实证研究发现：信息成本与股权融资成本之间呈倒’U’型曲线关系；信息风险越高的股票股权融资成本越高；信息披露质量越高的公司，股权融资成本越低；在中国市场上，和公司的上市年限相比，公司规模更适合作为先验信息质量的一个代理变量，与股权融资成本负相关。本文在实证方面的创新丰富了该领域的文献，对后续的研究者具有一定的借鉴意义。
[Abstract]:This paper is an extended study of Easley and Ohn Hara 2004. It relaxes the assumption that the information cost is not zero, and under the theoretical framework of their rational expectation model, This paper constructs an information structure model which introduces information cost factors, and studies the relationship between information structure and equity financing cost from four aspects of information structure: information cost, information risk, information disclosure quality and prior information quality. The theoretical model of this paper not only proves the three inferences of Easley and OFH Hara, that is, the bigger the proportion of private information is, the greater the information risk is, and the higher the cost of equity financing is, the higher the quality of private information and public information disclosed. The lower the cost of equity financing is, the higher the quality of prior information is, the lower the cost of equity financing is. The biggest difference between this paper and Easley and Ohn Hara is the introduction of information cost factor, and this paper uses the data of China market to verify the corollary, while Easley and Ohn Hara only give the theoretical proof, but do not carry on the empirical test. In this paper, the information cost is measured by the information asymmetry index in the market microstructure theory-reverse selection cost, and the informed transaction probability-PIN is used to measure the information risk. These two indicators are calculated directly from the high-frequency data of individual trades in the stock market, which can better reflect the mood among investors and the game between informed and uninformed traders. It is objective and scientific to measure the quality of information disclosure by selecting the time of listing and the scale of the company and considering the rating of Shenzhen Stock Exchange which was considered by scholars in the past. The empirical research shows that the relationship between information cost and equity financing cost is inverted U'curve; the higher the information risk, the higher the stock equity financing cost; the higher the information disclosure quality, the lower the equity financing cost; In the Chinese market, the size of the company is more suitable as a proxy variable of prior information quality and negatively related to the cost of equity financing than the listed years of the company. The empirical innovation in this paper enriches the literature in this field. It has certain reference meaning to the follow-up researcher.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91

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