自愿性信息披露与股价变动的相关性研究

发布时间：2018-03-12 16:30

本文选题：信息传递　切入点：自愿性信息披露　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：已有大量理论研究指出披露自愿性信息能够起到降低信息不对称水平、保护投资者利益、提升公司价值等作用。但这些作用的发挥都依赖于一个基本条件，即信息能够在市场中有效地传递，市场可以识别公司披露的自愿性信息，并对其做出反应。与以往相关文献相比，本文的主要创新点及意义在于采用多元线性回归法及事件研究法，同时研究了自愿性信息披露整体与分类信息引起的股价变动。本文关注的股价变动，指股票价格异于市场平均水平的上升或下降，是一种直观可测的市场反应。通过分析整体自愿性信息披露水平与股票价格的相关关系，对自愿性信息在资本市场中传递的有效性进行了检验。同时，通过对比不同种类自愿性信息对股价的影响，试图对上市公司自愿性信息披露政策的选择、监管方信息披露规则的制定提出建议。在理论分析中，本文用契约理论，信号传递理论，，结合有效市场假说及会计信息报告思想中的信息观，总结出证券市场上自愿性信息披露对股票价格影响的路径：自愿披露的信息决策有用性较高，能够引发投资者对股票持有的需求，进而刺激股价的上涨。在实证研究中，以沪深两市2008年到2012年105家上市公司为样本，以自愿性信息披露水平指数为自变量，累积超额收益（常用以衡量股价变动情况）为因变量，对样本公司自愿性信息披露的整体水平，不同种类自愿性信息披露水平与股票价格的相关关系进行了多元回归分析。并通过事件研究法，根据自愿性信息披露水平较上年是否提升，把样本分为“好”、“坏”两组，对比分析两组股价的变动情况。研究结果表明，首先，通过披露自愿性信息能够向市场传递积极的信号，详细的自愿性信息披露刺激股价的上涨，同时自愿性信息披露水平的变动也是具有信息含量的，披露水平升高组市场的正面反应显著。其次，不同类别自愿性信息与股票价格的相关关系是有差异性的，上市公司有必要增加自愿性信息披露的整体水平，对披露的具体内容进行适当的调整。
[Abstract]:A large number of theoretical studies have pointed out that the disclosure of voluntary information can reduce the level of information asymmetry, protect the interests of investors, enhance the value of the company, but these functions depend on a basic condition. That is, the information can be transmitted effectively in the market, the market can identify and react to the voluntary information disclosed by the company. The main innovation and significance of this paper lies in the use of multiple linear regression method and event study method. At the same time, the paper studies the stock price changes caused by the voluntary disclosure of the whole and the classified information. Refers to the rise or fall of the stock price, which is different from the average level of the market, is a kind of intuitionistic and measurable market response, by analyzing the correlation between the overall level of voluntary information disclosure and the stock price, This paper tests the validity of voluntary information transmission in the capital market. At the same time, by comparing the influence of different kinds of voluntary information on stock price, it tries to choose the voluntary information disclosure policy of listed companies. Suggestions are made on the establishment of information disclosure rules for regulators. In the theoretical analysis, this paper uses the contract theory, the signal transmission theory, the efficient market hypothesis and the information view in the accounting information report thought. This paper summarizes the path of voluntary information disclosure on stock price in the stock market: voluntary disclosure is more useful in information decision-making, which can trigger the demand of investors to hold stocks, and then stimulate the rise of stock price. From 2008 to 2012, 105 listed companies in Shanghai and Shenzhen stock markets were taken as samples, voluntary disclosure level index as independent variable, cumulative excess return (commonly used to measure stock price change) as dependent variable. This paper makes multiple regression analysis on the overall level of voluntary information disclosure of sample companies and the correlation between different types of voluntary information disclosure level and stock price. According to whether the voluntary disclosure level is higher than the previous year, the sample is divided into two groups: "good" and "bad". The results show that, first of all, the disclosure of voluntary information can send positive signals to the market, and the detailed voluntary information disclosure stimulates the stock price to rise, and the changes in the level of voluntary information disclosure also have information content. The positive reaction of the group with higher disclosure level is significant. Secondly, there are differences between different types of voluntary information and stock price, and it is necessary for listed companies to increase the overall level of voluntary information disclosure. Make appropriate adjustments to the specific contents of the disclosure.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】