本文選題：公司透明度　切入點：股票流動性　出處：《重慶大學》2014年碩士論文　論文類型：學位論文

【摘要】：隨著市場化改革的深入，信息透明越來越成為中國背景下研究的熱門話題。事實上，信息的透明不但有利于資源的有效配置，而且更有利于經(jīng)濟的穩(wěn)定持續(xù)發(fā)展。特別是對于資本市場而言，投資者的信心和整個市場活力都依賴于信息的公開透明。由于流動性和流動性風險的改善將有助于公司投資價值的提高，因此，研究何種路徑能夠促進流動性和降低流動性風險就顯得尤為重要。 本文的研究主題是公司透明度、股票流動性和流動性風險。在理論上，信息透明度一方面可以通過減少投資者之間的逆向選擇問題，進而減少交易成本提高股票流動性；另一方面，也可以減少公司價值的不確定性，進而降低股票的流動性風險。所以，從透明度的角度去尋找改進股市活力的經(jīng)驗證據(jù)有很強的理論和現(xiàn)實意義。結(jié)合中國市場特殊的制度背景，本文選擇了2003年至2011年中國滬深兩市A股上市公司為研究樣本。分別從盈余質(zhì)量、是否選擇國際四大、深交所綜合信息考評得分、分析師跟蹤人數(shù)、分析師盈余預測精度以及透明度綜合指標TRANS六個角度全方位的度量了公司透明度。流動性方面，，以股票日間交易數(shù)據(jù)構(gòu)造了兩個流動性變量，分別是負零回報天數(shù)比例和負價格沖擊測度指標。并在價格沖擊度量的流動性基礎之上，計算了股票的流動性風險。通過回歸分析，首先我們發(fā)現(xiàn)當前更高的盈余質(zhì)量、更多的分析師跟蹤、更準確的分析師盈余預測和國際四大審計同未來更高的股票流動性相聯(lián)。其次，從以百分等級平均值構(gòu)建的透明度綜合指標TRANS的回歸結(jié)果發(fā)現(xiàn)，更高的公司信息透明度將為上市公司股票帶來更大的流動性。進一步研究還發(fā)現(xiàn)，透明度同個股流動性的正相關(guān)關(guān)系在機構(gòu)投資者持股比例高的樣本組以及公司治理環(huán)境較差的樣本組中表現(xiàn)更明顯。對于個股的流動性風險，回歸結(jié)果也顯示公司透明度與其存在顯著的負相關(guān)關(guān)系，并且兩者之間的負相關(guān)關(guān)系在機構(gòu)投資者持股比例高的樣本組和代理問題嚴重的樣本組中表現(xiàn)更為明顯。 本研究從流動性和流動性風險的角度，考察了公司透明的經(jīng)濟后果，對于監(jiān)管機構(gòu)進一步加強信息披露和發(fā)揮中介機構(gòu)功能具有一定的政策含義。
[Abstract]:With the deepening of market-oriented reform, information transparency has become a hot topic under the background of China. In fact, information transparency is not only conducive to the effective allocation of resources, And more conducive to the stable and sustainable development of the economy, especially for the capital markets, Investor confidence and market activity as a whole depend on openness and transparency of information. Since improved liquidity and liquidity risks will help increase the value of companies' investments, It is very important to study which path can promote liquidity and reduce liquidity risk. In theory, information transparency can improve stock liquidity by reducing the adverse selection problem among investors, and then reducing transaction costs. On the other hand, it can reduce the uncertainty of the company's value and thus reduce the liquidity risk of the stock. Looking for empirical evidence to improve the vitality of the stock market from the perspective of transparency has strong theoretical and practical significance.According to the special institutional background of the Chinese market, From 2003 to 2011, A share listed companies in China's Shanghai and Shenzhen stock markets were selected as the research samples. The earnings quality, whether to choose the four international companies, the comprehensive information evaluation scores of Shenzhen Stock Exchange, the number of analysts tracking, In terms of liquidity, two liquidity variables are constructed from stock day trading data. The paper calculates the liquidity risk of the stock on the basis of the liquidity of the price shock measure. Through regression analysis, we find that the current higher earnings quality. More analyst tracking, more accurate analyst earnings forecasts and four international audits were linked to higher stock liquidity in the future. Greater transparency in corporate information will bring greater liquidity to listed companies' stocks. Further research has also found that. The positive correlation between transparency and individual stock liquidity is more obvious in the sample group with a high proportion of institutional investors holding shares and the sample group with a poor corporate governance environment. The regression results also show that there is a significant negative correlation between corporate transparency and corporate transparency, and the negative correlation between them is more obvious in the sample groups with high shareholding ratio of institutional investors and those with serious agency problems. From the perspective of liquidity and liquidity risk, this study examines the economic consequences of corporate transparency, which has certain policy implications for regulators to further strengthen information disclosure and play the role of intermediaries.
【學位授予單位】：重慶大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F272.3;F275

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