信息披露频率对股票收益率分布影响的实证研究

发布时间：2018-03-30 01:08

本文选题：信息披露频率　切入点：收益率分布　出处：《吉林大学》2013年硕士论文

【摘要】：信息披露频率是指在单位时间内披露信息的数量，它是反映上市公司信息公布特征的一个重要指标，作为上市公司披露信息是否充分的判别依据，会影响投资者对价值的判断。收益率是反映股票价值的最重要因素之一，且传统金融学理论（如EMH、CAPM和MM定理等）假设了收益率具有正态分布的统计特征。但已有的研究结论已经证明收益率分布并不服从正态分布，而是存在显著的偏态和“尖峰厚尾”的统计特征。本文在上述研究成果的基础上，试图探究信息披露频率“是否”和“如何”影响股票收益率的统计分布特征。本文借助计量经济学实证方法选取中国股票市场数据，实证研究信息披露频率对收益率分布的影响，解释收益率非正态分布的统计特征形成的原因。具体的研究思路为：首先选取2001-2011年1076家上市公司作为研究对象构建面板数据模型进行回归分析，运用Eviews6.0软件分别检验收益率均值、方差、偏度、峰度与信息披露频率之间的相关性，从更加全面的视角研究股票收益率的统计分布特征；然后选取公司规模、财务杠杆比率、市盈率作为控制变量，以三个指标分别对总体样本分组进行稳健性检验，考察总体样本实证结果是否可信。研究结果表明：随着信息披露频率的提高，可以降低投资者与上市公司之间的信息不对称程度，使公司更容易得到认同，从而投资者通过对公司加强选择认定推动股票价格上涨，提高股票市场整体收益率水平；投资者获得新信息时，会基于该信息对股票价值重新进行判断，因此每当上市公司公布新信息都会对收益率造成冲击，，导致其波动增大；投资者获得的信息越多，收益率的分布就越趋向于正偏，投资者获得正收益率的可能性会增加，且存在小概率获得极端正收益，该结论也证明了随着信息披露频率提高，收益率均值会增大这一结论的正确性；当投资者获得的信息增加时，不仅会使收益率波动增大，也会使收益率分布的尾部比正态分布的尾部更厚，偏离收益率均值的大幅度波动更持续。因此，提高信息披露频率，收益率分布会更偏离正态分布，且上述实证结果均通过了稳健性检验。基于实证结果，建议监管部门应鼓励上市公司增加信息披露，以降低投资者与公司之间的不对称程度，增加投资者的整体收益，但必须注意的是，过度提高信息披露频率则会导致股票收益率出现持续剧烈波动。
[Abstract]:The frequency of information disclosure refers to the amount of information disclosed in unit time. It is an important index to reflect the characteristics of information disclosure of listed companies, which is the basis for judging whether the information disclosed by listed companies is adequate. The rate of return is one of the most important factors that reflect the value of a stock. The traditional financial theory (such as EMHU CAPM and MM theorem) assumes that the return rate has the statistical characteristics of normal distribution, but the existing research results have proved that the return distribution does not agree with the normal distribution. On the basis of the above research results, this paper attempts to explore whether and how the frequency of information disclosure affects the statistical distribution of stock returns. This paper uses econometric empirical method to select Chinese stock market data, and empirically studies the influence of information disclosure frequency on the return distribution. The specific research ideas are as follows: firstly, 1076 listed companies are selected as research objects to construct panel data model for regression analysis. Using Eviews6.0 software to test the correlation between the average return, variance, deviation, kurtosis and the frequency of information disclosure, to study the statistical distribution characteristics of stock return from a more comprehensive perspective, and then select the company size, financial leverage ratio. As a control variable, three indexes are used to test the robustness of the whole sample group, and the empirical results of the total sample are investigated. The results show that: with the increase of the frequency of information disclosure, It can reduce the degree of information asymmetry between investors and listed companies, so that the companies can be more easily identified, so that investors can promote the stock price to rise and improve the overall return level of stock market by strengthening the selection of the company. When investors get new information, they will re-judge the value of the stock based on that information. Therefore, every time a listed company publishes new information, it will impact the yield and cause its volatility to increase; the more information investors get, The more the distribution of returns tends to be positive, the more likely investors are to obtain positive returns, and there is a small probability of extreme positive returns. This conclusion also proves that as the frequency of information disclosure increases, The average rate of return increases the correctness of this conclusion; when the information available to investors increases, it not only increases the volatility of the return rate, but also makes the tail of the return distribution thicker than the tail of the normal distribution. Therefore, if we increase the frequency of information disclosure, the distribution of return will deviate from the normal distribution, and the above empirical results have passed the robustness test. Based on the empirical results, it is suggested that the regulatory authorities should encourage listed companies to increase information disclosure in order to reduce the asymmetry between investors and companies and increase the overall returns of investors. Excessive increase in the frequency of information disclosure will lead to a sustained sharp volatility of stock returns.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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