上市公司臨時報告對資本市場信息傳遞的影響
發(fā)布時間：2018-07-28 13:06
【摘要】：以中國資本市場上2000-2009年的上市公司為研究樣本,文章探討了上市公司臨時報告對資本市場信息環(huán)境的影響,發(fā)現(xiàn)了臨時公告對資本市場信息環(huán)境的積極提升作用.實證結(jié)果表明,上市公司臨時報告提高了股票價格中的公司個體層面的信息含量,具體表現(xiàn)為:臨時報告降低了股票價格的同步性,增加了收益率的異質(zhì)波動性,增加了信息交易的概率.以是否具有研發(fā)行為、外部分析師數(shù)量的多少、所處地區(qū)市場化發(fā)展程度的大小,作為公司所處信息環(huán)境的代理變量,文章發(fā)現(xiàn)在信息不對稱程度較高的上市公司中,臨時報告提高股票價格信息含量的作用更加明顯.實證檢驗還發(fā)現(xiàn),臨時報告使得上市公司信息傳遞更加平穩(wěn),降低了股票價格暴跌的風險;臨時報告提高了盈余信息反應到股價中的速度和程度,提高了盈余反應系數(shù),降低了盈余公告后的漂移程度.
[Abstract]:Taking the listed companies in the Chinese capital market for 2000-2009 years as the research sample, the paper discusses the influence of the interim report on the information environment of the capital market, and finds the positive promotion of the temporary announcement on the information environment of the capital market. The empirical results show that the listed company's Temporary Report improves the corporate individual level in the stock price. The information content of the surface is as follows: the interim report reduces the synchronicity of the stock price, increases the heterogeneity of the rate of return, and increases the probability of the information transaction. It is the agent variable of the information environment in the company to see whether it has R & D behavior, the number of external analysts, and the extent of the market development in the region. The paper finds that in the listed companies with high information asymmetry, the effect of temporary report on raising the information content of stock price is more obvious. The empirical test also finds that the interim report makes the information transfer of the listed companies more stable and lower the risk of the stock price falling; the temporary report improves the rate of the reacting of the earnings information to the stock price. And the degree of earnings response coefficient is increased, and the degree of drift after earnings announcement is reduced.
【作者單位】： 西安交通大學管理學院;
【基金】：國家自然科學基金(70772110,71102095) 教育部人文社會科學基金(08JA630068)
【分類號】：F832.51;F224
[Abstract]:Taking the listed companies in the Chinese capital market for 2000-2009 years as the research sample, the paper discusses the influence of the interim report on the information environment of the capital market, and finds the positive promotion of the temporary announcement on the information environment of the capital market. The empirical results show that the listed company's Temporary Report improves the corporate individual level in the stock price. The information content of the surface is as follows: the interim report reduces the synchronicity of the stock price, increases the heterogeneity of the rate of return, and increases the probability of the information transaction. It is the agent variable of the information environment in the company to see whether it has R & D behavior, the number of external analysts, and the extent of the market development in the region. The paper finds that in the listed companies with high information asymmetry, the effect of temporary report on raising the information content of stock price is more obvious. The empirical test also finds that the interim report makes the information transfer of the listed companies more stable and lower the risk of the stock price falling; the temporary report improves the rate of the reacting of the earnings information to the stock price. And the degree of earnings response coefficient is increased, and the degree of drift after earnings announcement is reduced.
【作者單位】： 西安交通大學管理學院;
【基金】：國家自然科學基金(70772110,71102095) 教育部人文社會科學基金(08JA630068)
【分類號】：F832.51;F224
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