公司特质风险与信息透明度对股票收益率的影响

发布时间：2018-01-10 10:34

  本文关键词：公司特质风险与信息透明度对股票收益率的影响　出处：《哈尔滨工业大学》2016年硕士论文　论文类型：学位论文

  更多相关文章： 风险 信息 特质风险 信息透明度 股票收益率

【摘要】：风险是股票市场永恒的话题,而市场存在的系统性风险逐渐趋稳或下降、特质风险逐渐上升的现象将大家的注意力逐渐吸引到特质风险上。同时,随着理论研究的深入,学者关于“特质风险定价”方面的研究结论出现了明显的分歧。另一方面,尽管我国股票市场已经历了20多年的飞速发展,但信息不对称问题一直制约着市场的有效性,进而影响到股票定价和收益。信息不对称导致的弱势有效的股票市场上信息透明度与股票的特质波动(特质风险)存在密切联系,而实证发现了两者之间的不同关系。基于现实的关注热度和实证结论的明显分歧,作者首次研究了特质风险和信息透明度的交互项对股票收益率的影响。本文基于两个影响股票收益率的关键因素特质风险和信息透明度展开假设和检验的:首先,我们基于特质风险和信息透明度各自对股票收益率的影响分别建立对应的多元线性回归模型;其次,我们有必要将两个影响因素放入同一个多元线性回归模型以检验在多因素影响下的各自变量的显著性和对模型的解释力度;同时,在考虑了两个自变量之间的联系后,我们在前一个模型的基础上加入交互项,从而检验交互项的影响:替代或互补效应。在完成三个研究假设的提出和四个回归模型的构建的基础上,我们首先进行了描述性分析、相关性分析和单位根检验,在确定了样本的适用性后,我们对多元线性回归结果进行了分析,并在此基础上进行了模型补充检验、去控制变量检验、样本组细分以及自变量更换等稳健性检验。最终得出了如下结论:公司的特质风险越高,投资者就会获得更高的风险溢价补偿,因此,追求高额股票收益率的股东或潜在投资者应该选择特质风险高的标的股票。公司信息透明度与公司股票收益率之间的正相关关系向投资者传递了强烈的信号——选择具有良好信息透明度的公司才是获取更高投资回报的理性选择。最后,负的交互项系数告诉我们,当公司特质风险不断增加时,公司信息透明度对股票收益率的正向影响力会逐渐减弱的;当公司信息透明度不断增加时,公司特质风险对股票收益率的正向影响力会逐渐减弱的。
[Abstract]:Risk is an eternal topic in the stock market, and the systemic risk in the market tends to stabilize or decrease gradually, and the phenomenon that the characteristic risk rises gradually attracts everyone's attention to the trait risk. At the same time. With the deepening of theoretical research, scholars' conclusions on "trait risk pricing" appear obvious differences. On the other hand, although China's stock market has experienced rapid development for more than 20 years. However, the problem of information asymmetry has been restricting the effectiveness of the market. The information transparency in the weak and effective stock market caused by asymmetric information has a close relationship with the trait volatility (trait risk) of the stock. The empirical results show the different relationship between the two. Based on the reality of the focus on the heat and empirical conclusions of the obvious differences. For the first time, the author studies the influence of the interaction between trait risk and information transparency on the stock return. This paper presents the hypothesis and test based on two key factors affecting the stock return: trait risk and information transparency. First. Based on the influence of trait risk and information transparency on stock return, we establish the corresponding multivariate linear regression model. Secondly, we need to put two factors into the same multivariate linear regression model to test the significance of their variables and the interpretation of the model under the influence of multiple factors. At the same time, after considering the relationship between the two independent variables, we add the interaction item to the former model. On the basis of three hypotheses and the construction of four regression models, we first carried out descriptive analysis. Correlation analysis and unit root test, after determining the applicability of the sample, we analyze the results of multiple linear regression, and on the basis of this, we carry out model supplementary test to control the variable test. The conclusion is as follows: the higher the risk of the company, the higher the risk premium compensation will be. Shareholders or potential investors pursuing high stock returns should choose the underlying stocks with high trait risk. The positive correlation between transparency of corporate information and the return on company shares sends a strong signal to investors--. To choose a company with good information transparency is the rational choice to obtain a higher return on investment. Finally. The negative interaction coefficient tells us that the positive influence of corporate information transparency on the stock yield will gradually weaken when the company trait risk increases; When the transparency of corporate information is increasing, the positive influence of corporate trait risk on stock returns will gradually weaken.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51
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本文编号：1404955