【摘要】 传统研究中,公共信息常被视为理性交易者的决策信号,然而事实表明公共信息同样能够引发噪声交易者追随市场潮流、捕捉市场对公共信息的涨势或跌势反应并进行趋势交易.在此背景下,深入研究了公共信息披露对价格发现的影响效应.研究表明,当公共信息的精度大于某临界值时,信息披露有利于价格发现.当公共信息的精度小于某临界值时,结论迥异,此时如果趋势噪声交易强度较弱,则信息披露能够促进价格发现;随着趋势噪声交易强度的增加,融入价格的噪声增多,价格的信息含量减少,信息披露则阻碍了价格发现;随着趋势噪声交易强度进一步增加,理性交易者易于从价格中推测出公共信息中的噪声项,进而弱化了趋势噪声交易,此时信息披露有利于价格发现.指出了信息披露促进价格发现的关键在于提高信息披露质量、倡导理性交易.更多还原

【Abstract】 Public information usually functions as the decision signal for rational traders, but abundant evidence shows that public information can also trigger noise traders to capture the market’s reaction and then adopt trend trading. In this context, the impact of public information disclosure on price discovery is investigated. It is shown that when the precision of public information is greater than a certain threshold, information disclosure is conducive to price discovery. However, when the precision of information disclosure is less than the threshold, the results are different. If noise traders have a weak trading trend, information disclosure promotes price discovery. As the noise trading tendency increases, the noise integrated into price increases, and the price informativeness decreases, then information disclosure hinders price discovery. When noise traders have a strong trend trading, the rational traders can easily learn the noise in public information from the price,which can weaken the noise trading; hence, information disclosure is beneficial to price discovery. Our model shows that the key to promoting price discovery through information disclosure lies in improving the quality of information disclosure and advocating for rational trading.更多还原