基于公司特质信息视角的股价特质性波动研究

发布时间：2018-03-11 22:25

  本文选题：股价特质性波动　切入点：股价非同步性波动　出处：《复旦大学》2014年博士论文　论文类型：学位论文

【摘要】：股价反映信息是有效市场理论的核心,而股价波动是否反映信息的冲击则是检验有效市场理论的手段之一(Ross,1989)。 Roll(1988)发现市场和产业层面的信息只能解释个股股价小部分波动,他认为未被解释的部分由公司层面的信息或噪音交易造成。之后,大量的文献发现,股价的非同步性波动反映了公司层面的信息。本文第二章基于文献的梳理以及Jin和Myers(2006)模型的推导,将股价特质性波动与股价的非同步性联系起来,并以此为切入点从公司特质信息视角来研究股价特质性波动。本文首先研究了知情交易的信息来源与信息传递渠道、管理层薪酬补偿以及融资融券业务开通对股价特质性波动的影响及其机理,在此基础上进一步研究了股价特质性波动与股票期望回报的关系。研究发现：第一,管理层未公开披露的信息量和内部人交易都与股价特质性波动正相关；在管理层未公开披露的信息量一定的条件下,出现内部人交易的公司的股价特质性波动更大。特质性波动较高的股票,内部人交易获利也更显著。第二,我国上市公司管理层薪酬与股价信息含量负相关。本文模型将其归因于股东在(薪酬补偿,信息披露量)博弈中讨价还价能力的丧失。进一步的实证结果支持了这一推断,明晰产权、增加管理层持股以及提高公司整体治理效力都能显著降低管理层的薪酬和股价信息含量的负相关性。此外,作为类比,本文也发现国企高管在职消费与股价信息含量负相关。第三,融资融券交易降低了标的证券股价特质性波动,但这一影响是通过降低标的证券的噪音交易、提升信息传递速度以及降低公司盈余操纵来实现。此外,融资融券对公司盈余操纵的影响只有在业务开通时的瞬间效应而无持续效应。第四,在我国股票市场上,已实现的股价特质性波动与股票期望回报显著负相关,即存在所谓的“股价特质性波动率之谜”的现象。而基于EGARCH模型估计的预期股价特质性波动与股票期望回报的相关性不显著。在控制投资者之间的信息不对称程度之后,已实现的股价特质性波动与股票期望回报之间的负相关性消失或显著降低。本文的研究结果表明：第一,管理层未公开披露的公司信息是导致股价特质性波动的重要信息来源,而内部人交易则是这部分信息向股价传递的重要途径,特质性波动测度了股价中公司特质信息的含量。第二,上市公司股东并不能通过增加管理层薪酬补偿来提高股价信息含量,而投入更多资源完善公司治理结构是当务之急。第三,融资融券业务开通降低了股价特质性波动的非信息效率因素,但其卖空机制对公司的外部治理作用有待改善。第四,已实现的特质性波动测度了股票价格中公司特质信息的含量,而投资者对于价格信息含量更高的股票要求的回报应更低。Bartram等人(2012)将股价特质性波动定义为“好”的波动,他们认为股价特质性波动反映了上市公司进行了更多的风险性投资,而本文的研究则从信息的角度证明了股价特质性波动的“好”。股价特质性波动代表了更多的公司层面的信息进入股价,也反映了市场投资者对公司的监督和外部治理。这为股价特质性波动增加了新的内涵。
[Abstract]:Information is the core of the theory of effective market prices reflect, while stock price volatility reflects the impact of information is one of the effective means of testing market theory (Ross, 1989). Roll (1988) found that the market information and industry level can only explain the stock price fluctuation of small part of him, is not explained in part caused by information the company level or noise trading. After that, a lot of literature found that non synchronous fluctuation of stock price reflects the company's level of information. In the second chapter, based on the literature, Jin and Myers (2006) model, the stock price and stock price volatility characteristics of non synchronous link, and as the breakthrough from the point of firm specific information perspective to study the characteristics of stock price fluctuations. This paper studies the sources of information and information transmission channels of informed trading, management compensation and financing business opened on the stock price characteristics The influence of fluctuation and its mechanism, on the basis of further research on stock price volatility and expected stock returns characteristics of the relationship. The study found: first, the management of undisclosed information and insider trading are positively correlated with the stock price volatility characteristics; in the management of non public disclosure of the amount of information under certain conditions the stock price fluctuations, the trait of insider trading company. The trait of higher stock volatility, insider trading profit is more significant. Second, the executive compensation of Chinese listed companies and the stock price information content of negative correlation. This model will be attributed to the shareholders (in compensation, the amount of information disclosure) loss of bargain the ability in the game. Further empirical results support this inference, clear property rights, increasing managerial ownership and improve the company's overall governance effect can significantly reduce the management compensation and stock A negative correlation between the price information content. In addition, as an analogy, this paper also found that SOE executives perquisiteconsumption and information content of stock price is negative. Third, margin trading reduces the fluctuation of stock price idiosyncratic standard, but this effect is by reducing the underlying securities of noise trading, enhance information transmission speed and reduce the company's earnings manipulation to achieve. In addition, the impact of margin trading on earnings manipulation only in business during the opening moment effect but not continuous effect. In fourth, China's stock market, stock price volatility and expected stock returns characteristics has significant negative correlation, namely the existence of the so-called "stock idiosyncratic volatility Puzzle". But there was no significant relationship between the EGARCH return model to estimate the expected stock price idiosyncratic volatility and stock based expectations. After the degree of information asymmetry between investors in control, has been implemented The negative correlation between stock price volatility and stock idiosyncratic expected returns disappeared or significantly reduced. The results of this study show that: first, the management did not disclose the company information is an important source of information to stock price volatility characteristics, and insider trading is an important way to this part of the information transfer price, fluctuation characteristics to measure the content of stock price idiosyncratic information. Second, the shareholders of the listed company and not by increasing the management compensation to improve the information content of stock price, and devote more resources to improve the corporate governance structure is the priority. Third, margin business opened reduces the information efficiency of stock price fluctuation characteristics factors, but the short selling the mechanism of the company's external governance needs to be improved. Fourth, idiosyncratic volatility measurement has been realized and the content of the company's stock price in the characteristics of information, and investors For the price of high information content requirements of the stock returns should be lower.Bartram et al. (2012) the stock price fluctuation trait is defined as "good" volatility, they think price volatility reflects the characteristics of listed companies are more risky investments, but this paper is from the perspective of information that the stock price fluctuation characteristics the "good". The stock price volatility characteristics represent more firm level information into the stock price, but also reflects the market investors on the company's supervision and external governance. This adds new connotation to the stock price volatility characteristics.

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51
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本文编号：1600205