發(fā)布時(shí)間：2018-07-28 13:06

【摘要】：以中國(guó)資本市場(chǎng)上2000-2009年的上市公司為研究樣本,文章探討了上市公司臨時(shí)報(bào)告對(duì)資本市場(chǎng)信息環(huán)境的影響,發(fā)現(xiàn)了臨時(shí)公告對(duì)資本市場(chǎng)信息環(huán)境的積極提升作用.實(shí)證結(jié)果表明,上市公司臨時(shí)報(bào)告提高了股票價(jià)格中的公司個(gè)體層面的信息含量,具體表現(xiàn)為:臨時(shí)報(bào)告降低了股票價(jià)格的同步性,增加了收益率的異質(zhì)波動(dòng)性,增加了信息交易的概率.以是否具有研發(fā)行為、外部分析師數(shù)量的多少、所處地區(qū)市場(chǎng)化發(fā)展程度的大小,作為公司所處信息環(huán)境的代理變量,文章發(fā)現(xiàn)在信息不對(duì)稱程度較高的上市公司中,臨時(shí)報(bào)告提高股票價(jià)格信息含量的作用更加明顯.實(shí)證檢驗(yàn)還發(fā)現(xiàn),臨時(shí)報(bào)告使得上市公司信息傳遞更加平穩(wěn),降低了股票價(jià)格暴跌的風(fēng)險(xiǎn);臨時(shí)報(bào)告提高了盈余信息反應(yīng)到股價(jià)中的速度和程度,提高了盈余反應(yīng)系數(shù),降低了盈余公告后的漂移程度.
[Abstract]:Taking the listed companies in the Chinese capital market for 2000-2009 years as the research sample, the paper discusses the influence of the interim report on the information environment of the capital market, and finds the positive promotion of the temporary announcement on the information environment of the capital market. The empirical results show that the listed company's Temporary Report improves the corporate individual level in the stock price. The information content of the surface is as follows: the interim report reduces the synchronicity of the stock price, increases the heterogeneity of the rate of return, and increases the probability of the information transaction. It is the agent variable of the information environment in the company to see whether it has R & D behavior, the number of external analysts, and the extent of the market development in the region. The paper finds that in the listed companies with high information asymmetry, the effect of temporary report on raising the information content of stock price is more obvious. The empirical test also finds that the interim report makes the information transfer of the listed companies more stable and lower the risk of the stock price falling; the temporary report improves the rate of the reacting of the earnings information to the stock price. And the degree of earnings response coefficient is increased, and the degree of drift after earnings announcement is reduced.
【作者單位】： 西安交通大學(xué)管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金(70772110,71102095) 教育部人文社會(huì)科學(xué)基金(08JA630068)
【分類(lèi)號(hào)】：F832.51;F224

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