上市公司临时报告对资本市场信息传递的影响
发布时间：2018-07-28 13:06
【摘要】：以中国资本市场上2000-2009年的上市公司为研究样本,文章探讨了上市公司临时报告对资本市场信息环境的影响,发现了临时公告对资本市场信息环境的积极提升作用.实证结果表明,上市公司临时报告提高了股票价格中的公司个体层面的信息含量,具体表现为:临时报告降低了股票价格的同步性,增加了收益率的异质波动性,增加了信息交易的概率.以是否具有研发行为、外部分析师数量的多少、所处地区市场化发展程度的大小,作为公司所处信息环境的代理变量,文章发现在信息不对称程度较高的上市公司中,临时报告提高股票价格信息含量的作用更加明显.实证检验还发现,临时报告使得上市公司信息传递更加平稳,降低了股票价格暴跌的风险;临时报告提高了盈余信息反应到股价中的速度和程度,提高了盈余反应系数,降低了盈余公告后的漂移程度.
[Abstract]:Taking the listed companies in the Chinese capital market for 2000-2009 years as the research sample, the paper discusses the influence of the interim report on the information environment of the capital market, and finds the positive promotion of the temporary announcement on the information environment of the capital market. The empirical results show that the listed company's Temporary Report improves the corporate individual level in the stock price. The information content of the surface is as follows: the interim report reduces the synchronicity of the stock price, increases the heterogeneity of the rate of return, and increases the probability of the information transaction. It is the agent variable of the information environment in the company to see whether it has R & D behavior, the number of external analysts, and the extent of the market development in the region. The paper finds that in the listed companies with high information asymmetry, the effect of temporary report on raising the information content of stock price is more obvious. The empirical test also finds that the interim report makes the information transfer of the listed companies more stable and lower the risk of the stock price falling; the temporary report improves the rate of the reacting of the earnings information to the stock price. And the degree of earnings response coefficient is increased, and the degree of drift after earnings announcement is reduced.
【作者单位】： 西安交通大学管理学院;
【基金】：国家自然科学基金(70772110,71102095) 教育部人文社会科学基金(08JA630068)
【分类号】：F832.51;F224
[Abstract]:Taking the listed companies in the Chinese capital market for 2000-2009 years as the research sample, the paper discusses the influence of the interim report on the information environment of the capital market, and finds the positive promotion of the temporary announcement on the information environment of the capital market. The empirical results show that the listed company's Temporary Report improves the corporate individual level in the stock price. The information content of the surface is as follows: the interim report reduces the synchronicity of the stock price, increases the heterogeneity of the rate of return, and increases the probability of the information transaction. It is the agent variable of the information environment in the company to see whether it has R & D behavior, the number of external analysts, and the extent of the market development in the region. The paper finds that in the listed companies with high information asymmetry, the effect of temporary report on raising the information content of stock price is more obvious. The empirical test also finds that the interim report makes the information transfer of the listed companies more stable and lower the risk of the stock price falling; the temporary report improves the rate of the reacting of the earnings information to the stock price. And the degree of earnings response coefficient is increased, and the degree of drift after earnings announcement is reduced.
【作者单位】： 西安交通大学管理学院;
【基金】：国家自然科学基金(70772110,71102095) 教育部人文社会科学基金(08JA630068)
【分类号】：F832.51;F224
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