本文選題：股價(jià)特質(zhì)性波動(dòng)　切入點(diǎn)：股價(jià)非同步性波動(dòng)　出處：《復(fù)旦大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：股價(jià)反映信息是有效市場(chǎng)理論的核心,而股價(jià)波動(dòng)是否反映信息的沖擊則是檢驗(yàn)有效市場(chǎng)理論的手段之一(Ross,1989)。 Roll(1988)發(fā)現(xiàn)市場(chǎng)和產(chǎn)業(yè)層面的信息只能解釋個(gè)股股價(jià)小部分波動(dòng),他認(rèn)為未被解釋的部分由公司層面的信息或噪音交易造成。之后,大量的文獻(xiàn)發(fā)現(xiàn),股價(jià)的非同步性波動(dòng)反映了公司層面的信息。本文第二章基于文獻(xiàn)的梳理以及Jin和Myers(2006)模型的推導(dǎo),將股價(jià)特質(zhì)性波動(dòng)與股價(jià)的非同步性聯(lián)系起來(lái),并以此為切入點(diǎn)從公司特質(zhì)信息視角來(lái)研究股價(jià)特質(zhì)性波動(dòng)。本文首先研究了知情交易的信息來(lái)源與信息傳遞渠道、管理層薪酬補(bǔ)償以及融資融券業(yè)務(wù)開(kāi)通對(duì)股價(jià)特質(zhì)性波動(dòng)的影響及其機(jī)理,在此基礎(chǔ)上進(jìn)一步研究了股價(jià)特質(zhì)性波動(dòng)與股票期望回報(bào)的關(guān)系。研究發(fā)現(xiàn)：第一,管理層未公開(kāi)披露的信息量和內(nèi)部人交易都與股價(jià)特質(zhì)性波動(dòng)正相關(guān)；在管理層未公開(kāi)披露的信息量一定的條件下,出現(xiàn)內(nèi)部人交易的公司的股價(jià)特質(zhì)性波動(dòng)更大。特質(zhì)性波動(dòng)較高的股票,內(nèi)部人交易獲利也更顯著。第二,我國(guó)上市公司管理層薪酬與股價(jià)信息含量負(fù)相關(guān)。本文模型將其歸因于股東在(薪酬補(bǔ)償,信息披露量)博弈中討價(jià)還價(jià)能力的喪失。進(jìn)一步的實(shí)證結(jié)果支持了這一推斷,明晰產(chǎn)權(quán)、增加管理層持股以及提高公司整體治理效力都能顯著降低管理層的薪酬和股價(jià)信息含量的負(fù)相關(guān)性。此外,作為類比,本文也發(fā)現(xiàn)國(guó)企高管在職消費(fèi)與股價(jià)信息含量負(fù)相關(guān)。第三,融資融券交易降低了標(biāo)的證券股價(jià)特質(zhì)性波動(dòng),但這一影響是通過(guò)降低標(biāo)的證券的噪音交易、提升信息傳遞速度以及降低公司盈余操縱來(lái)實(shí)現(xiàn)。此外,融資融券對(duì)公司盈余操縱的影響只有在業(yè)務(wù)開(kāi)通時(shí)的瞬間效應(yīng)而無(wú)持續(xù)效應(yīng)。第四,在我國(guó)股票市場(chǎng)上,已實(shí)現(xiàn)的股價(jià)特質(zhì)性波動(dòng)與股票期望回報(bào)顯著負(fù)相關(guān),即存在所謂的“股價(jià)特質(zhì)性波動(dòng)率之謎”的現(xiàn)象。而基于EGARCH模型估計(jì)的預(yù)期股價(jià)特質(zhì)性波動(dòng)與股票期望回報(bào)的相關(guān)性不顯著。在控制投資者之間的信息不對(duì)稱程度之后,已實(shí)現(xiàn)的股價(jià)特質(zhì)性波動(dòng)與股票期望回報(bào)之間的負(fù)相關(guān)性消失或顯著降低。本文的研究結(jié)果表明：第一,管理層未公開(kāi)披露的公司信息是導(dǎo)致股價(jià)特質(zhì)性波動(dòng)的重要信息來(lái)源,而內(nèi)部人交易則是這部分信息向股價(jià)傳遞的重要途徑,特質(zhì)性波動(dòng)測(cè)度了股價(jià)中公司特質(zhì)信息的含量。第二,上市公司股東并不能通過(guò)增加管理層薪酬補(bǔ)償來(lái)提高股價(jià)信息含量,而投入更多資源完善公司治理結(jié)構(gòu)是當(dāng)務(wù)之急。第三,融資融券業(yè)務(wù)開(kāi)通降低了股價(jià)特質(zhì)性波動(dòng)的非信息效率因素,但其賣(mài)空機(jī)制對(duì)公司的外部治理作用有待改善。第四,已實(shí)現(xiàn)的特質(zhì)性波動(dòng)測(cè)度了股票價(jià)格中公司特質(zhì)信息的含量,而投資者對(duì)于價(jià)格信息含量更高的股票要求的回報(bào)應(yīng)更低。Bartram等人(2012)將股價(jià)特質(zhì)性波動(dòng)定義為“好”的波動(dòng),他們認(rèn)為股價(jià)特質(zhì)性波動(dòng)反映了上市公司進(jìn)行了更多的風(fēng)險(xiǎn)性投資,而本文的研究則從信息的角度證明了股價(jià)特質(zhì)性波動(dòng)的“好”。股價(jià)特質(zhì)性波動(dòng)代表了更多的公司層面的信息進(jìn)入股價(jià),也反映了市場(chǎng)投資者對(duì)公司的監(jiān)督和外部治理。這為股價(jià)特質(zhì)性波動(dòng)增加了新的內(nèi)涵。
[Abstract]:Information is the core of the theory of effective market prices reflect, while stock price volatility reflects the impact of information is one of the effective means of testing market theory (Ross, 1989). Roll (1988) found that the market information and industry level can only explain the stock price fluctuation of small part of him, is not explained in part caused by information the company level or noise trading. After that, a lot of literature found that non synchronous fluctuation of stock price reflects the company's level of information. In the second chapter, based on the literature, Jin and Myers (2006) model, the stock price and stock price volatility characteristics of non synchronous link, and as the breakthrough from the point of firm specific information perspective to study the characteristics of stock price fluctuations. This paper studies the sources of information and information transmission channels of informed trading, management compensation and financing business opened on the stock price characteristics The influence of fluctuation and its mechanism, on the basis of further research on stock price volatility and expected stock returns characteristics of the relationship. The study found: first, the management of undisclosed information and insider trading are positively correlated with the stock price volatility characteristics; in the management of non public disclosure of the amount of information under certain conditions the stock price fluctuations, the trait of insider trading company. The trait of higher stock volatility, insider trading profit is more significant. Second, the executive compensation of Chinese listed companies and the stock price information content of negative correlation. This model will be attributed to the shareholders (in compensation, the amount of information disclosure) loss of bargain the ability in the game. Further empirical results support this inference, clear property rights, increasing managerial ownership and improve the company's overall governance effect can significantly reduce the management compensation and stock A negative correlation between the price information content. In addition, as an analogy, this paper also found that SOE executives perquisiteconsumption and information content of stock price is negative. Third, margin trading reduces the fluctuation of stock price idiosyncratic standard, but this effect is by reducing the underlying securities of noise trading, enhance information transmission speed and reduce the company's earnings manipulation to achieve. In addition, the impact of margin trading on earnings manipulation only in business during the opening moment effect but not continuous effect. In fourth, China's stock market, stock price volatility and expected stock returns characteristics has significant negative correlation, namely the existence of the so-called "stock idiosyncratic volatility Puzzle". But there was no significant relationship between the EGARCH return model to estimate the expected stock price idiosyncratic volatility and stock based expectations. After the degree of information asymmetry between investors in control, has been implemented The negative correlation between stock price volatility and stock idiosyncratic expected returns disappeared or significantly reduced. The results of this study show that: first, the management did not disclose the company information is an important source of information to stock price volatility characteristics, and insider trading is an important way to this part of the information transfer price, fluctuation characteristics to measure the content of stock price idiosyncratic information. Second, the shareholders of the listed company and not by increasing the management compensation to improve the information content of stock price, and devote more resources to improve the corporate governance structure is the priority. Third, margin business opened reduces the information efficiency of stock price fluctuation characteristics factors, but the short selling the mechanism of the company's external governance needs to be improved. Fourth, idiosyncratic volatility measurement has been realized and the content of the company's stock price in the characteristics of information, and investors For the price of high information content requirements of the stock returns should be lower.Bartram et al. (2012) the stock price fluctuation trait is defined as "good" volatility, they think price volatility reflects the characteristics of listed companies are more risky investments, but this paper is from the perspective of information that the stock price fluctuation characteristics the "good". The stock price volatility characteristics represent more firm level information into the stock price, but also reflects the market investors on the company's supervision and external governance. This adds new connotation to the stock price volatility characteristics.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51
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本文編號(hào)：1600205