公司透明度、股票流动性和流动性风险

发布时间：2018-03-13 06:29

本文选题：公司透明度　切入点：股票流动性　出处：《重庆大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着市场化改革的深入，信息透明越来越成为中国背景下研究的热门话题。事实上，信息的透明不但有利于资源的有效配置，而且更有利于经济的稳定持续发展。特别是对于资本市场而言，投资者的信心和整个市场活力都依赖于信息的公开透明。由于流动性和流动性风险的改善将有助于公司投资价值的提高，因此，研究何种路径能够促进流动性和降低流动性风险就显得尤为重要。本文的研究主题是公司透明度、股票流动性和流动性风险。在理论上，信息透明度一方面可以通过减少投资者之间的逆向选择问题，进而减少交易成本提高股票流动性；另一方面，也可以减少公司价值的不确定性，进而降低股票的流动性风险。所以，从透明度的角度去寻找改进股市活力的经验证据有很强的理论和现实意义。结合中国市场特殊的制度背景，本文选择了2003年至2011年中国沪深两市A股上市公司为研究样本。分别从盈余质量、是否选择国际四大、深交所综合信息考评得分、分析师跟踪人数、分析师盈余预测精度以及透明度综合指标TRANS六个角度全方位的度量了公司透明度。流动性方面，，以股票日间交易数据构造了两个流动性变量，分别是负零回报天数比例和负价格冲击测度指标。并在价格冲击度量的流动性基础之上，计算了股票的流动性风险。通过回归分析，首先我们发现当前更高的盈余质量、更多的分析师跟踪、更准确的分析师盈余预测和国际四大审计同未来更高的股票流动性相联。其次，从以百分等级平均值构建的透明度综合指标TRANS的回归结果发现，更高的公司信息透明度将为上市公司股票带来更大的流动性。进一步研究还发现，透明度同个股流动性的正相关关系在机构投资者持股比例高的样本组以及公司治理环境较差的样本组中表现更明显。对于个股的流动性风险，回归结果也显示公司透明度与其存在显著的负相关关系，并且两者之间的负相关关系在机构投资者持股比例高的样本组和代理问题严重的样本组中表现更为明显。本研究从流动性和流动性风险的角度，考察了公司透明的经济后果，对于监管机构进一步加强信息披露和发挥中介机构功能具有一定的政策含义。
[Abstract]:With the deepening of market-oriented reform, information transparency has become a hot topic under the background of China. In fact, information transparency is not only conducive to the effective allocation of resources, And more conducive to the stable and sustainable development of the economy, especially for the capital markets, Investor confidence and market activity as a whole depend on openness and transparency of information. Since improved liquidity and liquidity risks will help increase the value of companies' investments, It is very important to study which path can promote liquidity and reduce liquidity risk. In theory, information transparency can improve stock liquidity by reducing the adverse selection problem among investors, and then reducing transaction costs. On the other hand, it can reduce the uncertainty of the company's value and thus reduce the liquidity risk of the stock. Looking for empirical evidence to improve the vitality of the stock market from the perspective of transparency has strong theoretical and practical significance.According to the special institutional background of the Chinese market, From 2003 to 2011, A share listed companies in China's Shanghai and Shenzhen stock markets were selected as the research samples. The earnings quality, whether to choose the four international companies, the comprehensive information evaluation scores of Shenzhen Stock Exchange, the number of analysts tracking, In terms of liquidity, two liquidity variables are constructed from stock day trading data. The paper calculates the liquidity risk of the stock on the basis of the liquidity of the price shock measure. Through regression analysis, we find that the current higher earnings quality. More analyst tracking, more accurate analyst earnings forecasts and four international audits were linked to higher stock liquidity in the future. Greater transparency in corporate information will bring greater liquidity to listed companies' stocks. Further research has also found that. The positive correlation between transparency and individual stock liquidity is more obvious in the sample group with a high proportion of institutional investors holding shares and the sample group with a poor corporate governance environment. The regression results also show that there is a significant negative correlation between corporate transparency and corporate transparency, and the negative correlation between them is more obvious in the sample groups with high shareholding ratio of institutional investors and those with serious agency problems. From the perspective of liquidity and liquidity risk, this study examines the economic consequences of corporate transparency, which has certain policy implications for regulators to further strengthen information disclosure and play the role of intermediaries.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F272.3;F275

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