【作者】 王燕；

【导师】 王春峰；

【作者基本信息】 天津大学 ， 管理科学与工程， 2004， 博士

【摘要】 非对称信息对资产价格的影响是金融领域研究的一个重要内容。但是,在现代资产定价理论中却没有考虑非对称信息的影响。在金融市场微观结构领域,非对称信息虽然是核心研究内容,但大多数研究是以间接的方式,通过买卖报价价差考察非对称信息对资产价格的影响,而没有直接分析非对称信息与基本的价格变量——风险和预期收益之间的关系。本文将金融市场微观结构理论用于资产定价和公司金融,分析了非对称信息在资产定价中的作用,并进行了实证检验。全文从四个方面阐述了非对称信息对资产价格的影响。1、从传统的金融市场微观结构理论出发,通过间接的方式分析了非对称信息对资产价格的影响。阐述了价格系统可以作为信息传导系统,价格、交易(包括交易规模和交易方向、时间)、交易的价格效应都具有信息性,并且通过实证研究,测量了我国股票市场上交易过程中的信息内容。2、提出了一个简化的资产定价模型,将非对称信息与风险和预期收益联系起来,说明“信息风险”是资产价格的“定价因素”。非对称信息会影响资产的流动性和价格发现过程,而基于对称信息的资产定价模型却没有考虑非对称信息的影响,认为信息风险即使存在,也是可以分散化的个别风险。本文通过一个简化的理论模型说明了这种信息风险是不能被分散化的,“信息风险”是资产定价的“风险因素”。3、分析了信息结构——信息组成、私有信息的分布、信息的准确性和信息的存在性对企业产权资本成本的影响,并进行了实证检验。提出了对信息组成和分布的估计方法,并将所得结果用于资产定价模型,考察了我国股票市场上非对称信息对企业资本成本的影响。所得到的实证结果表明,在我国股票市场上,信息是影响资产价格的风险因素。4、研究了公开信息披露对减少非对称信息,降低资本成本,提高市场效率的作用。通过实证研究,分析了我国股票市场上信息披露的价格和流动性效应,进而揭示了公开信息和私有信息之间的关系。更多还原

【Abstract】 The impact of asymmetric information on asset price is a very important problem in financial studies, but this was ignored in modern asset pricing theory. While financial market microstructure focuses on asymmetric information, most market microstructure literature examines the impact of asymmetric information on asset price indirectly instead of studying the relationship between asymmetric information and asset’s risk and expected return directly. This paper examines the implication of market microstructure theories for asset pricing and corporate finance, and studies the role of asymmetric information in asset pricing both theoretically and empirically. The main contents of the dissertation are as following:1st. Based on the traditional market microstructure theories, the impact of asymmetric information on asset price is analyzed indirectly. It is represented that the price system can be viewed as information dissemination system, and price, trade (including trade size, direction and time), and the effect of trade on price are all informative. The information content of stock trades in Chinese stock market is tested empirically by a VAR model.2nd. A simplified asset-pricing model is developed to relate asymmetric information with asset’s risk and expected return, and demonstrate that “information risk” is one of the factors that affect asset pricing. While the asymmetric information can affect market liquidity and price discovery, symmetric information-based asset pricing models ignores the effect of asymmetric information. In standard asset pricing models information risk is only idiosyncratic risk witch can be diversified. This paper shows that information is one of the “risk factors” in asset pricing and can’t be diversified.3rd. The impact of information attributes on the cost of equity capital is analyzed. This paper conclude that cost of equity capital is affected by the following attributes of information: the proportion of the information set that is private versus public (composition), the fraction of investors who are informed (dissemination), the overall <WP=5>precision of the information set (precision) and the existence of information (existence). The methods of estimating information composition and dissemination are developed, and the estimated results are used into asset pricing model to test the impact of information risk on the cost of capital in Chinese stock market.4th. The role of disclosure in reducing asymmetric information and the cost of capital is analyzed, and the relationship between public and private information is studied empirically by examining the effects of disclosure on price and liquidity.更多还原