上市公司信息披露质量与股价信息含量的相关性研究

发布时间：2018-02-09 05:06

本文关键词： 信息披露质量股价信息含量未来盈余　出处：《西南交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：证券市场最基本的职能就是用价格的信号机制来实现对资源的合理配置,以获得最大的投资回报。要使价格的信号机制发挥作用,价格中必须包含与公司价值相关的特质信息。有效市场假说认为,股票价格是公司层面信息的完全反映。但是随着对有效市场理论研究的深入,学者们逐渐认识到,市场并不是完全有效的,股票价格只能反映部分公司价值的信息,其他部分是与公司价值无关的市场和行业的公共信息以及噪音。其中,股票价格反映的公司价值信息的量—股价信息含量被认为是市场运行效率的标志。中国作为新兴的证券市场,相比发达市场,股价里参杂了更多与公司价值无关的信息,不能很好地反映与公司价值相关的信息,难以有效地发挥对资源配置的引导作用。因此,近年来,股价信息含量越来越受到学者的关注,其影响因素也成为学者们研究的重点。上市公司主要通过信息披露渠道向外部投资者和社会公众传递公司信息,而投资者和社会公众则会根据自己所掌握的信息决定其投资决策,进而影响证券市场的资源配置效率。那么,上市公司信息披露的质量与股价的信息含量之间有无关系?可否通过提高信息披露的质量来提高股价信息的含量?这些将是本文所要研究的内容。本文总结分析了国内外对股价信息含量的研究现状,对股价信息含量和信息披露质量的度量方法进行了总结,并结合相关理论分析了信息披露质量与股价信息含量的相关关系。本文用2008-2009年期间深交所主板上市公司为研究样本,采用股价中包含未来盈余的信息量来测度股价信息含量,并用深交所披露的信用评级作为信息披露质量的替代指标,实证检验信息披露质量对股价信息含量的影响。结果发现,在我国证券市场上,股价中包含了大量未来盈余的相关信息,股价中包含未来盈余的信息量这个方法可以很好地对股价信息含量进行测量。并且,随着公司信息披露质量的提高,股价中包含的未来盈余信息的量也在不断增加,充分说明了公司信息披露质量的提高能够明显提高股价的信息含量。我国学者在对股价信息含量进行研究时,大多直接沿用国外股价波动非同步性的方法来对股价信息含量进行测度。但是,股价波动非同步性这个方法只适合于噪声较少的证券市场。而我国证券市场现在还只是一个新兴市场,市场中存在很多噪声,用股价波动非同步性来对中国市场的股价信息含量进行测度将会产生很大的偏差。而本文的创新之处在于使用股价中包含未来盈余的信息量来对股价信息含量进行测度。该方法是从正面的角度直接对股价信息含量进行测量,有效地避免了噪声的干扰作用。
[Abstract]:The most basic function of the securities market is to use the signaling mechanism of price to realize the rational allocation of resources in order to obtain the maximum return on investment. The efficient Market hypothesis holds that the stock price is the complete reflection of the information at the firm level. However, with the deepening of the research on the efficient Market Theory, scholars have come to realize that, The market is not entirely efficient. Stock prices can only reflect information about the value of some companies, while others are public information and noise in markets and industries that are not related to the value of the company. The amount of corporate value information reflected in stock prices-share price information content is considered to be a sign of market efficiency. As an emerging stock market, China's stock prices are mixed with more information unrelated to the company's value than developed markets. The information related to company value can not be reflected well, and it is difficult to guide the allocation of resources effectively. Therefore, in recent years, the information content of stock price has been paid more and more attention by scholars. The influencing factors have also become the focus of scholars' research. Listed companies mainly transmit corporate information to external investors and the public through the channels of information disclosure. However, investors and the public will decide their investment decisions according to the information they have, and then affect the efficiency of resource allocation in the securities market. So, is there a relationship between the quality of information disclosure and the information content of stock price of listed companies? Can we improve the content of stock price information by improving the quality of information disclosure? These will be the contents of this paper. This paper summarizes and analyzes the research status of stock price information content at home and abroad, and summarizes the measurement methods of stock price information content and information disclosure quality. This paper uses the main board listed companies of Shenzhen Stock Exchange in 2008-2009 as a research sample to measure the information content of stock price by using the amount of information in stock price including future earnings. Using the credit rating disclosed by Shenzhen Stock Exchange as an alternative index of information disclosure quality, the paper empirically tests the effect of information disclosure quality on stock price information content. The share price contains a large amount of information about future earnings, and this method can measure the information content of stock price very well. And, with the improvement of the quality of company information disclosure, The amount of future earnings information contained in the stock price is also increasing, which fully shows that the improvement of the quality of corporate information disclosure can obviously improve the information content of stock price. When Chinese scholars study the information content of stock price, most of them measure the information content of stock price directly by using the non-synchronous method of foreign stock price fluctuation. The method of non-synchronism of stock price fluctuation is only suitable for the stock market with less noise. However, the stock market in our country is still only an emerging market, and there is a lot of noise in the market. It would be very wrong to measure the information content of stock price in Chinese market by using the non-synchronism of stock price fluctuation. The innovation of this paper is to use the amount of information in stock price which contains future earnings to advance the information content of stock price. The method is to measure the information content of stock price directly from a positive angle. The interference of noise is avoided effectively.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

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