信息频度影响股票估值的实证研究

发布时间：2018-06-24 00:57

本文选题：价格波动程度 + 信息频度　；参考：《吉林大学》2013年硕士论文

【摘要】：证券市场的基础是信息，信息在股票投资决策的过程中起着非常重要的作用，是股票估值的基础。同时信息是证券市场健康发展的关键因素，证券市场的运行过程就是一个信息处理的过程。国内外学者对信息经济学普遍进行了深入研究，法玛（E.Fama）在1965年发表的《股票市场价格的行为》一文中提出了著名的“有效市场假说”。有效市场假说（EMH）是现代金融理论中最重要也是最有争议性的概念之一。根据这一理论，在完全有效的市场中，股价对公司财务报告中的收入信息的反应，应当是及时的，充分的，在这样一个市场中，没有人能够通过对收入信息的分析采取一定的投资策略从而获得高于市场的收益，即没有人能够获得超额收益。然而随着有关有效市场研究的深入，学术界发现实证结果所揭露的事实情况并非如此。Ball和Bromn（1968）通过对纽约证券交易所上市的261家公司从1946年到1965年年度会计盈利信息披露前12个月到后6个月的股价进行的实证研究结果表明市场中存在着超额收益，并且“好消息”组合股票的价格在公告前后持续向上漂移，“坏消息”组合股票的价格则持续向下漂移。我国学者张俊喜和张华（2003）对1996-1999年间上海证券交易所的所有上市公司进行了详细研究，发现在盈利公告之前和公告后交易首日，盈利变化和股价走势之间呈现强烈的正相关关系，但之后这种正相关关系便不复存在了，而且在盈利公告之后，，盈利状况的公司股价上涨最快。阮奕（2003）等人对2000年以前深市A股的年报数据进行了分析，发现财务报表收入数据与股价的走势基本相反。在总结以往国内外文献后我们发现，会计盈余数据是一种信号，但是这种信号如何对股价产生影响，学术界并没有给出满意的一致性的答案。因此，本文不将这种信号加以区分（不分好坏），从另一个维度，即信息披露频度对股票估值的影响这一维度进行分析，从而证明信息是有延迟效应和弯曲效应的。本文研究的是上市公司信息披露频度与股价波动程度的关系，采用的是信息经济学研究方法。本文基于信息经济学的相关理论，选取2006到2010年沪深两市上市公司的面板数据为研究样本，运用信息经济学研究法对信息披露频度与上市公司股价波动程度的相关性进行研究分析。本文用累计超额收益（Cumulative Abnormal Return,CAR）来表示投资者获取股票超额收益的情况，用股票的年度价格离差均值表示股票价格的波动（Price Fluctuation,PF）程度。用相邻年报公布期间的上市公司发布信息的数量来表示信息披露频度(Q)。首先，经过规范性分析提出信息延迟效应（Information Delaying Effect）和信息弯曲效应（Information Curving Effect）的假设。其次，采用信息经济学研究方法分析信息披露频度(Q)对累计超额收益率（CAR）的影响，从而证明信息延迟效应（Information Delaying Effect）的存在。最后，分析信息披露频度(Q)与股票价格波动程度（PF）之间的相关关系，基于研究结论提出信息弯曲效应（Information Curving Effect）的存在。研究结果表明：我国证券市场信息披露频度具有市场效应，信息披露频度对股票估值存在影响。第一，经过本文的分析，我们发现我国证券市场存在着延迟效应。首先，信息频度对年报公布日后的累计超额收益的影响都是负向的，这说明随着信息频度的增加市场的有效性在增强。其次，信息频度对年报公布日后的累计超额收益的影响随着时间的加长而越来越显著，这说明市场对信息的消化需要一个比较长的过程，这说明存在着信息延迟效应。第二，经过分析，我们发现我国证券市场具有信息弯曲效应的性质。信息频度对股票价格波动程度的影响随着信息频度的增加而由负向逐渐转为正向。这表明我国证券市场具有信息弯曲效应的性质。
[Abstract]:The basis of the securities market is information. Information plays a very important role in the process of stock investment decision. It is the basis of stock valuation. At the same time information is the key factor for the healthy development of the stock market. The process of the operation of the securities market is a process of information processing. The effective market hypothesis (EMH) is one of the most important and most controversial concepts in modern financial theory, E.Fama, published in 1965, is one of the most important and most controversial concepts in modern financial theory. The reaction of interest should be timely and sufficient. In such a market, no one can obtain a certain investment strategy through the analysis of income information so as to gain higher income than the market, that is, no one can gain excess income.
However, with the deepening of effective market research, the fact that the empirical results revealed by the academic community is not so.Ball and Bromn (1968) the empirical results of the stock price of the 261 companies listed on the New York stock exchange from the 12 months to the 6 months of the annual accounting earnings information disclosure from 1946 to 1965. There are excess returns in the field, and the price of "good news" portfolio is drifting up and down continuously before and after the announcement, and the price of "bad news" combination stock continues to drift downward. Chinese scholars Zhang Junxi and Zhang Hua (2003) have carried out a detailed study on all listed companies of the Shanghai stock exchange in 1996-1999 years, and found in the profit-making public. There was a strong positive correlation between earnings changes and stock prices on the first day of the announcement and the first day of the announcement, but the positive correlation disappeared after the announcement, and after the profit announcement, the company's share price was the fastest. And Ruan Yi (2003) analyzed the annual data of the A shares before 2000 and found the money. After summarizing the previous domestic and foreign literature, we found that the accounting earnings data is a kind of signal, but how this signal affects the stock price, the academic circle does not give a satisfactory answer. Therefore, this paper does not distinguish the signal from the other (good or bad), from the other. One dimension, that is, the influence of information disclosure frequency on stock valuation, is to prove that information has delayed effect and bending effect.
In this paper, the relationship between the frequency of information disclosure and the volatility of stock prices is studied. Based on the related theory of information economics, this paper selects the panel data of the listed companies in the Shanghai and Shenzhen two cities from 2006 to 2010 as the research sample, and uses the information economics research method to make information disclosure frequency and listing. The correlation of the volatility of the company's stock price is analyzed. In this paper, the Cumulative Abnormal Return (CAR) is used to express the investor's gain in the stock price, and the average annual price deviation of the stock is used to express the volatility of the stock price (Price Fluctuation, PF). The number of information is published to express the frequency of information disclosure (Q). First, the hypothesis of the Information Delaying Effect and the information bending effect (Information Curving Effect) is proposed through the normative analysis. Secondly, the information economics research method is used to analyze the effect of the information disclosure frequency (Q) on the cumulative excess rate of return (CAR). It will prove the existence of Information Delaying Effect. Finally, the correlation between the frequency of information disclosure (Q) and the volatility of stock price (PF) is analyzed, and the existence of the information bending effect (Information Curving Effect) is proposed based on the conclusion of the research.
The results show that the frequency of information disclosure in China's securities market has a market effect, and the frequency of information disclosure has an impact on the stock valuation. First, after this analysis, we found that there is a delay effect in our securities market. First, the frequency of information has a negative impact on the cumulative excess returns after the annual report. This shows that the effect of the information frequency on the cumulative excess returns after the annual report is negative. With the increase of the frequency of information, the effectiveness of the market is increasing. Secondly, the influence of the frequency of information on the cumulative excess returns after the annual report is more and more significant as the time increases. This shows that the market needs a longer process of information digestion, which shows the existence of information delay effect. Second, we find that we find that the information delay effect is present. China's securities market has the nature of information bending effect. The influence of the frequency of information on the volatility of stock prices is gradually turning from negative to positive with the increase of the frequency of information. This shows that the securities market in China has the nature of information bending effect.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】