本文關(guān)鍵詞： 信息披露質(zhì)量 股價(jià)信息含量 未來(lái)盈余　出處：《西南交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：證券市場(chǎng)最基本的職能就是用價(jià)格的信號(hào)機(jī)制來(lái)實(shí)現(xiàn)對(duì)資源的合理配置,以獲得最大的投資回報(bào)。要使價(jià)格的信號(hào)機(jī)制發(fā)揮作用,價(jià)格中必須包含與公司價(jià)值相關(guān)的特質(zhì)信息。有效市場(chǎng)假說(shuō)認(rèn)為,股票價(jià)格是公司層面信息的完全反映。但是隨著對(duì)有效市場(chǎng)理論研究的深入,學(xué)者們逐漸認(rèn)識(shí)到,市場(chǎng)并不是完全有效的,股票價(jià)格只能反映部分公司價(jià)值的信息,其他部分是與公司價(jià)值無(wú)關(guān)的市場(chǎng)和行業(yè)的公共信息以及噪音。其中,股票價(jià)格反映的公司價(jià)值信息的量—股價(jià)信息含量被認(rèn)為是市場(chǎng)運(yùn)行效率的標(biāo)志。中國(guó)作為新興的證券市場(chǎng),相比發(fā)達(dá)市場(chǎng),股價(jià)里參雜了更多與公司價(jià)值無(wú)關(guān)的信息,不能很好地反映與公司價(jià)值相關(guān)的信息,難以有效地發(fā)揮對(duì)資源配置的引導(dǎo)作用。因此,近年來(lái),股價(jià)信息含量越來(lái)越受到學(xué)者的關(guān)注,其影響因素也成為學(xué)者們研究的重點(diǎn)。上市公司主要通過(guò)信息披露渠道向外部投資者和社會(huì)公眾傳遞公司信息,而投資者和社會(huì)公眾則會(huì)根據(jù)自己所掌握的信息決定其投資決策,進(jìn)而影響證券市場(chǎng)的資源配置效率。那么,上市公司信息披露的質(zhì)量與股價(jià)的信息含量之間有無(wú)關(guān)系?可否通過(guò)提高信息披露的質(zhì)量來(lái)提高股價(jià)信息的含量?這些將是本文所要研究的內(nèi)容。 本文總結(jié)分析了國(guó)內(nèi)外對(duì)股價(jià)信息含量的研究現(xiàn)狀,對(duì)股價(jià)信息含量和信息披露質(zhì)量的度量方法進(jìn)行了總結(jié),并結(jié)合相關(guān)理論分析了信息披露質(zhì)量與股價(jià)信息含量的相關(guān)關(guān)系。本文用2008-2009年期間深交所主板上市公司為研究樣本,采用股價(jià)中包含未來(lái)盈余的信息量來(lái)測(cè)度股價(jià)信息含量,并用深交所披露的信用評(píng)級(jí)作為信息披露質(zhì)量的替代指標(biāo),實(shí)證檢驗(yàn)信息披露質(zhì)量對(duì)股價(jià)信息含量的影響。結(jié)果發(fā)現(xiàn),在我國(guó)證券市場(chǎng)上,股價(jià)中包含了大量未來(lái)盈余的相關(guān)信息,股價(jià)中包含未來(lái)盈余的信息量這個(gè)方法可以很好地對(duì)股價(jià)信息含量進(jìn)行測(cè)量。并且,隨著公司信息披露質(zhì)量的提高,股價(jià)中包含的未來(lái)盈余信息的量也在不斷增加,充分說(shuō)明了公司信息披露質(zhì)量的提高能夠明顯提高股價(jià)的信息含量。 我國(guó)學(xué)者在對(duì)股價(jià)信息含量進(jìn)行研究時(shí),大多直接沿用國(guó)外股價(jià)波動(dòng)非同步性的方法來(lái)對(duì)股價(jià)信息含量進(jìn)行測(cè)度。但是,股價(jià)波動(dòng)非同步性這個(gè)方法只適合于噪聲較少的證券市場(chǎng)。而我國(guó)證券市場(chǎng)現(xiàn)在還只是一個(gè)新興市場(chǎng),市場(chǎng)中存在很多噪聲,用股價(jià)波動(dòng)非同步性來(lái)對(duì)中國(guó)市場(chǎng)的股價(jià)信息含量進(jìn)行測(cè)度將會(huì)產(chǎn)生很大的偏差。而本文的創(chuàng)新之處在于使用股價(jià)中包含未來(lái)盈余的信息量來(lái)對(duì)股價(jià)信息含量進(jìn)行測(cè)度。該方法是從正面的角度直接對(duì)股價(jià)信息含量進(jìn)行測(cè)量,有效地避免了噪聲的干擾作用。
[Abstract]:The most basic function of the securities market is to use the signaling mechanism of price to realize the rational allocation of resources in order to obtain the maximum return on investment. The efficient Market hypothesis holds that the stock price is the complete reflection of the information at the firm level. However, with the deepening of the research on the efficient Market Theory, scholars have come to realize that, The market is not entirely efficient. Stock prices can only reflect information about the value of some companies, while others are public information and noise in markets and industries that are not related to the value of the company. The amount of corporate value information reflected in stock prices-share price information content is considered to be a sign of market efficiency. As an emerging stock market, China's stock prices are mixed with more information unrelated to the company's value than developed markets. The information related to company value can not be reflected well, and it is difficult to guide the allocation of resources effectively. Therefore, in recent years, the information content of stock price has been paid more and more attention by scholars. The influencing factors have also become the focus of scholars' research. Listed companies mainly transmit corporate information to external investors and the public through the channels of information disclosure. However, investors and the public will decide their investment decisions according to the information they have, and then affect the efficiency of resource allocation in the securities market. So, is there a relationship between the quality of information disclosure and the information content of stock price of listed companies? Can we improve the content of stock price information by improving the quality of information disclosure? These will be the contents of this paper. This paper summarizes and analyzes the research status of stock price information content at home and abroad, and summarizes the measurement methods of stock price information content and information disclosure quality. This paper uses the main board listed companies of Shenzhen Stock Exchange in 2008-2009 as a research sample to measure the information content of stock price by using the amount of information in stock price including future earnings. Using the credit rating disclosed by Shenzhen Stock Exchange as an alternative index of information disclosure quality, the paper empirically tests the effect of information disclosure quality on stock price information content. The share price contains a large amount of information about future earnings, and this method can measure the information content of stock price very well. And, with the improvement of the quality of company information disclosure, The amount of future earnings information contained in the stock price is also increasing, which fully shows that the improvement of the quality of corporate information disclosure can obviously improve the information content of stock price. When Chinese scholars study the information content of stock price, most of them measure the information content of stock price directly by using the non-synchronous method of foreign stock price fluctuation. The method of non-synchronism of stock price fluctuation is only suitable for the stock market with less noise. However, the stock market in our country is still only an emerging market, and there is a lot of noise in the market. It would be very wrong to measure the information content of stock price in Chinese market by using the non-synchronism of stock price fluctuation. The innovation of this paper is to use the amount of information in stock price which contains future earnings to advance the information content of stock price. The method is to measure the information content of stock price directly from a positive angle. The interference of noise is avoided effectively.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F275;F832.51

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