本文選題：信息傳遞　切入點：自愿性信息披露　出處：《湖南大學》2014年碩士論文　論文類型：學位論文

【摘要】：已有大量理論研究指出披露自愿性信息能夠起到降低信息不對稱水平、保護投資者利益、提升公司價值等作用。但這些作用的發(fā)揮都依賴于一個基本條件，即信息能夠在市場中有效地傳遞，市場可以識別公司披露的自愿性信息，并對其做出反應(yīng)。與以往相關(guān)文獻相比，本文的主要創(chuàng)新點及意義在于采用多元線性回歸法及事件研究法，同時研究了自愿性信息披露整體與分類信息引起的股價變動。本文關(guān)注的股價變動，指股票價格異于市場平均水平的上升或下降，是一種直觀可測的市場反應(yīng)。通過分析整體自愿性信息披露水平與股票價格的相關(guān)關(guān)系，對自愿性信息在資本市場中傳遞的有效性進行了檢驗。同時，通過對比不同種類自愿性信息對股價的影響，試圖對上市公司自愿性信息披露政策的選擇、監(jiān)管方信息披露規(guī)則的制定提出建議。 在理論分析中，本文用契約理論，信號傳遞理論，，結(jié)合有效市場假說及會計信息報告思想中的信息觀，總結(jié)出證券市場上自愿性信息披露對股票價格影響的路徑：自愿披露的信息決策有用性較高，能夠引發(fā)投資者對股票持有的需求，進而刺激股價的上漲。在實證研究中，以滬深兩市2008年到2012年105家上市公司為樣本，以自愿性信息披露水平指數(shù)為自變量，累積超額收益（常用以衡量股價變動情況）為因變量，對樣本公司自愿性信息披露的整體水平，不同種類自愿性信息披露水平與股票價格的相關(guān)關(guān)系進行了多元回歸分析。并通過事件研究法，根據(jù)自愿性信息披露水平較上年是否提升，把樣本分為“好”、“壞”兩組，對比分析兩組股價的變動情況。 研究結(jié)果表明，首先，通過披露自愿性信息能夠向市場傳遞積極的信號，詳細的自愿性信息披露刺激股價的上漲，同時自愿性信息披露水平的變動也是具有信息含量的，披露水平升高組市場的正面反應(yīng)顯著。其次，不同類別自愿性信息與股票價格的相關(guān)關(guān)系是有差異性的，上市公司有必要增加自愿性信息披露的整體水平，對披露的具體內(nèi)容進行適當?shù)恼{(diào)整。
[Abstract]:A large number of theoretical studies have pointed out that the disclosure of voluntary information can reduce the level of information asymmetry, protect the interests of investors, enhance the value of the company, but these functions depend on a basic condition. That is, the information can be transmitted effectively in the market, the market can identify and react to the voluntary information disclosed by the company. The main innovation and significance of this paper lies in the use of multiple linear regression method and event study method. At the same time, the paper studies the stock price changes caused by the voluntary disclosure of the whole and the classified information. Refers to the rise or fall of the stock price, which is different from the average level of the market, is a kind of intuitionistic and measurable market response, by analyzing the correlation between the overall level of voluntary information disclosure and the stock price, This paper tests the validity of voluntary information transmission in the capital market. At the same time, by comparing the influence of different kinds of voluntary information on stock price, it tries to choose the voluntary information disclosure policy of listed companies. Suggestions are made on the establishment of information disclosure rules for regulators. In the theoretical analysis, this paper uses the contract theory, the signal transmission theory, the efficient market hypothesis and the information view in the accounting information report thought. This paper summarizes the path of voluntary information disclosure on stock price in the stock market: voluntary disclosure is more useful in information decision-making, which can trigger the demand of investors to hold stocks, and then stimulate the rise of stock price. From 2008 to 2012, 105 listed companies in Shanghai and Shenzhen stock markets were taken as samples, voluntary disclosure level index as independent variable, cumulative excess return (commonly used to measure stock price change) as dependent variable. This paper makes multiple regression analysis on the overall level of voluntary information disclosure of sample companies and the correlation between different types of voluntary information disclosure level and stock price. According to whether the voluntary disclosure level is higher than the previous year, the sample is divided into two groups: "good" and "bad". The results show that, first of all, the disclosure of voluntary information can send positive signals to the market, and the detailed voluntary information disclosure stimulates the stock price to rise, and the changes in the level of voluntary information disclosure also have information content. The positive reaction of the group with higher disclosure level is significant. Secondly, there are differences between different types of voluntary information and stock price, and it is necessary for listed companies to increase the overall level of voluntary information disclosure. Make appropriate adjustments to the specific contents of the disclosure.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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