本文選題：信息披露頻率　切入點(diǎn)：收益率分布　出處：《吉林大學(xué)》2013年碩士論文

【摘要】：信息披露頻率是指在單位時(shí)間內(nèi)披露信息的數(shù)量，它是反映上市公司信息公布特征的一個(gè)重要指標(biāo)，作為上市公司披露信息是否充分的判別依據(jù)，會(huì)影響投資者對(duì)價(jià)值的判斷。收益率是反映股票價(jià)值的最重要因素之一，且傳統(tǒng)金融學(xué)理論（如EMH、CAPM和MM定理等）假設(shè)了收益率具有正態(tài)分布的統(tǒng)計(jì)特征。但已有的研究結(jié)論已經(jīng)證明收益率分布并不服從正態(tài)分布，而是存在顯著的偏態(tài)和“尖峰厚尾”的統(tǒng)計(jì)特征。本文在上述研究成果的基礎(chǔ)上，試圖探究信息披露頻率“是否”和“如何”影響股票收益率的統(tǒng)計(jì)分布特征。 本文借助計(jì)量經(jīng)濟(jì)學(xué)實(shí)證方法選取中國(guó)股票市場(chǎng)數(shù)據(jù)，實(shí)證研究信息披露頻率對(duì)收益率分布的影響，解釋收益率非正態(tài)分布的統(tǒng)計(jì)特征形成的原因。具體的研究思路為：首先選取2001-2011年1076家上市公司作為研究對(duì)象構(gòu)建面板數(shù)據(jù)模型進(jìn)行回歸分析，運(yùn)用Eviews6.0軟件分別檢驗(yàn)收益率均值、方差、偏度、峰度與信息披露頻率之間的相關(guān)性，從更加全面的視角研究股票收益率的統(tǒng)計(jì)分布特征；然后選取公司規(guī)模、財(cái)務(wù)杠桿比率、市盈率作為控制變量，以三個(gè)指標(biāo)分別對(duì)總體樣本分組進(jìn)行穩(wěn)健性檢驗(yàn)，考察總體樣本實(shí)證結(jié)果是否可信。研究結(jié)果表明：隨著信息披露頻率的提高，可以降低投資者與上市公司之間的信息不對(duì)稱程度，使公司更容易得到認(rèn)同，從而投資者通過(guò)對(duì)公司加強(qiáng)選擇認(rèn)定推動(dòng)股票價(jià)格上漲，提高股票市場(chǎng)整體收益率水平；投資者獲得新信息時(shí)，會(huì)基于該信息對(duì)股票價(jià)值重新進(jìn)行判斷，因此每當(dāng)上市公司公布新信息都會(huì)對(duì)收益率造成沖擊，，導(dǎo)致其波動(dòng)增大；投資者獲得的信息越多，收益率的分布就越趨向于正偏，投資者獲得正收益率的可能性會(huì)增加，且存在小概率獲得極端正收益，該結(jié)論也證明了隨著信息披露頻率提高，收益率均值會(huì)增大這一結(jié)論的正確性；當(dāng)投資者獲得的信息增加時(shí)，不僅會(huì)使收益率波動(dòng)增大，也會(huì)使收益率分布的尾部比正態(tài)分布的尾部更厚，偏離收益率均值的大幅度波動(dòng)更持續(xù)。因此，提高信息披露頻率，收益率分布會(huì)更偏離正態(tài)分布，且上述實(shí)證結(jié)果均通過(guò)了穩(wěn)健性檢驗(yàn)。 基于實(shí)證結(jié)果，建議監(jiān)管部門應(yīng)鼓勵(lì)上市公司增加信息披露，以降低投資者與公司之間的不對(duì)稱程度，增加投資者的整體收益，但必須注意的是，過(guò)度提高信息披露頻率則會(huì)導(dǎo)致股票收益率出現(xiàn)持續(xù)劇烈波動(dòng)。
[Abstract]:The frequency of information disclosure refers to the amount of information disclosed in unit time. It is an important index to reflect the characteristics of information disclosure of listed companies, which is the basis for judging whether the information disclosed by listed companies is adequate. The rate of return is one of the most important factors that reflect the value of a stock. The traditional financial theory (such as EMHU CAPM and MM theorem) assumes that the return rate has the statistical characteristics of normal distribution, but the existing research results have proved that the return distribution does not agree with the normal distribution. On the basis of the above research results, this paper attempts to explore whether and how the frequency of information disclosure affects the statistical distribution of stock returns. This paper uses econometric empirical method to select Chinese stock market data, and empirically studies the influence of information disclosure frequency on the return distribution. The specific research ideas are as follows: firstly, 1076 listed companies are selected as research objects to construct panel data model for regression analysis. Using Eviews6.0 software to test the correlation between the average return, variance, deviation, kurtosis and the frequency of information disclosure, to study the statistical distribution characteristics of stock return from a more comprehensive perspective, and then select the company size, financial leverage ratio. As a control variable, three indexes are used to test the robustness of the whole sample group, and the empirical results of the total sample are investigated. The results show that: with the increase of the frequency of information disclosure, It can reduce the degree of information asymmetry between investors and listed companies, so that the companies can be more easily identified, so that investors can promote the stock price to rise and improve the overall return level of stock market by strengthening the selection of the company. When investors get new information, they will re-judge the value of the stock based on that information. Therefore, every time a listed company publishes new information, it will impact the yield and cause its volatility to increase; the more information investors get, The more the distribution of returns tends to be positive, the more likely investors are to obtain positive returns, and there is a small probability of extreme positive returns. This conclusion also proves that as the frequency of information disclosure increases, The average rate of return increases the correctness of this conclusion; when the information available to investors increases, it not only increases the volatility of the return rate, but also makes the tail of the return distribution thicker than the tail of the normal distribution. Therefore, if we increase the frequency of information disclosure, the distribution of return will deviate from the normal distribution, and the above empirical results have passed the robustness test. Based on the empirical results, it is suggested that the regulatory authorities should encourage listed companies to increase information disclosure in order to reduce the asymmetry between investors and companies and increase the overall returns of investors. Excessive increase in the frequency of information disclosure will lead to a sustained sharp volatility of stock returns.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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