本文關(guān)鍵詞： 股權(quán)融資成本 信息成本 信息風(fēng)險(xiǎn) 先驗(yàn)信息質(zhì)量 信息披露質(zhì)量　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：本文是對(duì)Easley和O’Hara（2004）的一個(gè)拓展研究，放松了信息成本不為0的假設(shè)，在他們的理性預(yù)期模型的理論框架下，構(gòu)建了一個(gè)引入信息成本因素的信息結(jié)構(gòu)模型。從信息結(jié)構(gòu)的四個(gè)方面：信息成本、信息風(fēng)險(xiǎn)、信息披露的質(zhì)量和先驗(yàn)信息質(zhì)量研究了信息結(jié)構(gòu)與股權(quán)融資成本之間的關(guān)系。 本文的理論模型不僅證明了Easley和O’Hara已有的三個(gè)推論，即：（1）私人信息比例越大，信息風(fēng)險(xiǎn)越大，股權(quán)融資成本越高。（2）披露的私人信息和公共信息質(zhì)量越高，股權(quán)融資成本越低。（3）先驗(yàn)信息質(zhì)量越高，股權(quán)融資成本越低。而且證明了信息成本與股權(quán)融資成本之間的不確定性關(guān)系。在研究信息結(jié)構(gòu)與股權(quán)融資成本之間關(guān)系的過程中，本文與Easley和O’Hara的最大不同在于引入了信息成本因素，并且本文利用中國市場的數(shù)據(jù)對(duì)推論進(jìn)行驗(yàn)證，而Easley和O’Hara僅僅給出了理論證明，未進(jìn)行實(shí)證檢驗(yàn)。在實(shí)證研究中，本文借鑒市場微觀結(jié)構(gòu)理論中的信息不對(duì)稱指標(biāo)—逆向選擇成本來衡量信息成本、知情交易概率—PIN來衡量信息風(fēng)險(xiǎn)，這兩個(gè)指標(biāo)是直接從股票市場的逐筆交易的高頻數(shù)據(jù)計(jì)算得出的，，更能反映投資者之間的情緒與知情交易者和非知情交易者之間的博弈，具有一定的客觀性和科學(xué)性。選取公司的上市時(shí)間和公司的規(guī)模衡量先驗(yàn)信息質(zhì)量，同時(shí)考慮了以往學(xué)者考慮的深交所的評(píng)級(jí)來衡量信息披露的質(zhì)量。 通過實(shí)證研究發(fā)現(xiàn)：信息成本與股權(quán)融資成本之間呈倒’U’型曲線關(guān)系；信息風(fēng)險(xiǎn)越高的股票股權(quán)融資成本越高；信息披露質(zhì)量越高的公司，股權(quán)融資成本越低；在中國市場上，和公司的上市年限相比，公司規(guī)模更適合作為先驗(yàn)信息質(zhì)量的一個(gè)代理變量，與股權(quán)融資成本負(fù)相關(guān)。本文在實(shí)證方面的創(chuàng)新豐富了該領(lǐng)域的文獻(xiàn)，對(duì)后續(xù)的研究者具有一定的借鑒意義。
[Abstract]:This paper is an extended study of Easley and Ohn Hara 2004. It relaxes the assumption that the information cost is not zero, and under the theoretical framework of their rational expectation model, This paper constructs an information structure model which introduces information cost factors, and studies the relationship between information structure and equity financing cost from four aspects of information structure: information cost, information risk, information disclosure quality and prior information quality. The theoretical model of this paper not only proves the three inferences of Easley and OFH Hara, that is, the bigger the proportion of private information is, the greater the information risk is, and the higher the cost of equity financing is, the higher the quality of private information and public information disclosed. The lower the cost of equity financing is, the higher the quality of prior information is, the lower the cost of equity financing is. The biggest difference between this paper and Easley and Ohn Hara is the introduction of information cost factor, and this paper uses the data of China market to verify the corollary, while Easley and Ohn Hara only give the theoretical proof, but do not carry on the empirical test. In this paper, the information cost is measured by the information asymmetry index in the market microstructure theory-reverse selection cost, and the informed transaction probability-PIN is used to measure the information risk. These two indicators are calculated directly from the high-frequency data of individual trades in the stock market, which can better reflect the mood among investors and the game between informed and uninformed traders. It is objective and scientific to measure the quality of information disclosure by selecting the time of listing and the scale of the company and considering the rating of Shenzhen Stock Exchange which was considered by scholars in the past. The empirical research shows that the relationship between information cost and equity financing cost is inverted U'curve; the higher the information risk, the higher the stock equity financing cost; the higher the information disclosure quality, the lower the equity financing cost; In the Chinese market, the size of the company is more suitable as a proxy variable of prior information quality and negatively related to the cost of equity financing than the listed years of the company. The empirical innovation in this paper enriches the literature in this field. It has certain reference meaning to the follow-up researcher.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91

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