【作者】 袁知柱；

【导师】 鞠晓峰；

【作者基本信息】 哈尔滨工业大学 ， 技术经济及管理， 2009， 博士

【摘要】 股票市场基本功能是利用股票价格的信号机制来合理的优化配置资源,引导稀缺资源实现最大的投资回报,发育良好的股票市场对国民经济具有巨大的促进作用。股票价格要发挥优化配置资源的作用,必需能有效反映公司特质信息(firm-specific information)。随着有效市场理论研究的深入,学术界逐渐认识到有效市场假说把股票价格完全看成是与公司价值有关信息反映的认识存在一定的缺陷,因为上市公司股票价格中至少还应该包含一部分噪音,在这种情况下股票价格只能反映部分公司特质信息。股价信息含量是指股票价格中包含的公司特质信息量,股价信息含量越高,则股票价格中包含的与公司基本价值密切相关的信息就越多,此时股票价格中噪音成分较少,信息效率较高。股价信息含量是衡量一个国家股票市场运行效率的重要标志。尽管中国股票市场发展已经取得了巨大成就,然而根据Morck, Yeung和Yu(2000)的统计结果,中国上市公司股价信息含量是非常低的,在世界40个主要经济体中,中国上市公司股价信息含量仅优于波兰位居倒数第二位。这样,有几个问题自然而出,从长期时间序列来看,中国上市公司股价信息含量1995-2007年有什么样的变化趋势?为什么中国上市公司股价信息含量远远落后于发达资本市场,决定股价信息含量高低的因素是什么?中国上市公司股价信息含量与资源配置效率有什么样的影响关系?首先对股价信息含量的国内外研究现状进行了评述,并从有效市场假说遭遇的挑战、股价信息形成过程和股价信息含量与资源配置效率关系等角度深入探讨了股价信息含量分析的理论基础和制度背景,然后对上述几个问题进行了理论分析和实证检验,主要内容如下:比较和评价了几个常用的股价信息含量测度指标,确定选用股价波动非同步性作为测度指标,对中国上市公司1995-2007年的股价信息含量进行了测度,并分析了其时间序列变化趋势及行业特征。由于Ashbaugh, Gassen和Lafond(2006)的实证研究发现股价波动非同步性测度股价信息含量的有效性在不同国家有一定差别,出于稳健性原则的考虑,在改进Durnev et al. (2003)检验方法的基础上,对股价波动非同步性方法测度中国上市公司股价信息含量的有效性进行了实证检验。实证结果表明异质噪音只对股价波动非同步性产生较小影响,因此测度结果是有效的。在构建股价信息含量决定因素综合分析框架基础上,结合国内外已有研究成果,分析了国家制度环境和股票市场环境对股价信息含量的影响,对中国上市公司低股价信息含量的形成原因做了初步解释。然后采用非平衡面板数据回归方法实证考察了区域制度环境、公司治理机制和市场信息交易者行为等因素对股价信息含量的影响。区域制度环境包含各省市制度环境差异及双重上市两个方面,公司治理机制包含股权结构、董事会特征、治理会议、管理层激励和审计质量等五个方面,市场信息交易者行为则包含机构投资者持股行为和分析师盈利预测行为等二个方面。实证结果表明除了两职合一和审计质量两个因素外,其它因素都能对中国上市公司股价信息含量产生与预期一致的显著影响。从公司层面实证分析了股价信息含量的经济后果。先分析了股价信息含量提升企业资源配置效率的路径,然后分三步对这种提升结果进行了实证检验。第一步,实证检验股价信息含量对企业投资支出的引导作用。第二步,实证检验股价信息含量对中国上市公司投资过度行为的抑制作用,并分别探讨了是否存在融资约束和是否由国家控股条件下这种抑制作用的差别,结果表明股票价格中包含的有用信息在不同条件下均能有效抑制上市公司的投资过度行为。第三步,实证分析股价信息含量与企业经营绩效的关系,发现股价信息含量增加能显著提升企业当期、未来一期和未来二期的经营绩效水平,这就进一步支持了股价信息含量与资源配置效率正相关的结论。从行业和市场层面对股价信息含量的经济后果做进一步实证检验。这一研究是非常重要的,因为社会资源配置效率的高级表现形式是行业和市场层面资源配置效率,公司层面资源配置效率只是其初级表现形式。先从总体上分析了股价信息含量对行业和市场资源配置效率的提升作用,然后分别从股票市场行业、股票市场整体和国家整体经济等三个角度对这种提升作用进行了实证检验。实证结果表明,股价信息含量与股票市场行业资源配置效率、股票市场整体资源配置效率和国家资源配置效率均表现为显著正相关。上述研究结果可以帮助监管层客观认识中国上市公司股价信息含量现状,及其决定因素和经济后果,为他们提供理论和实践指导帮助,督促他们制定行之有效的监管策略,进而促进中国股票市场稳定健康发展。更多还原

【Abstract】 The basic function of stock market is using stock price signal mechanism to optimize the allocation of resources reasonably and then guiding scarce resources to achieve greatest investment return. A well-developed stock market can play a very important role in promoting the development of national economy. In order to achieve it, stock price must effectively reflect firm-specific information. With the development of efficient market theory, some scholars realized that the view that stock price is completely correlated with corporate value in efficient market hypothesis is under certain limitation, because stock price at least contains some noise and consequently only reflects part of firm-specific information. Stock price informativeness refers to firm-specific information quantity reflected in stock price. The higher stock price informativeness is, the more information related to corporate value is reflected in stock price. Then stock price contains little noise and the information efficiency is higher. Stock price informativeness is an important indicator for judging the operating efficiency of stock market.Although China has made tremendous achievements in stock market development, according to the empirical research results of Morck, Yeung and Yu (2000), the stock price informativeness of Chinese listed companies is very low, only surpassing Poland to be situated the next to the last in world 40 major economies. In this way, there are naturally some questions needed to be solved: from a long-term time series view, what kind of changes trend the stock price informativeness of Chinese listed companies is between 1995 and 2007? Why is it lagging far behind developed capital markets? What are the determinants of stock price informativeness? What is the causality between the stock price informativeness and resource allocation efficiency in Chinese listed companies?At first, the paper reviews the domestic and abroad research situation about stock price informativeness, and also explores in-depth the theoretical basis and system background of it from the angle of the challenge of efficient market hypothesis, stock price information formation process and the relation between stock price informativeness and resources allocation efficiency. Then the paper carries on the empirical analysis to the above several questions, the main contents are as follows:The paper compares and evaluates several measurement indictors of stock price informativeness and chooses stock price non-synchronicity as the measurement indictor. It measures the stock price informativeness of Chinese listed companies between 1995 and 2007, and then analyzes its time-series changing trends and industry characteristics. Because some scholars question the measurement effectiveness of stock price non-synchronicity in recent years, especially Ashbaugh, Gassen and Lafond (2006) found that there are some differences of the effectiveness of stock price non-synchronicity in different countries. For conservatism, based on the improvement of Durnev et al. (2003) test methods, the paper makes the empirical test on the validity of stock price non-synchronicity in Chinese listed companies, and the results show that idiosyncratic noise only has a little effects on stock price non-synchronicity. Consequently, the measurement results are effective.Based on the construction of the comprehensive analytical framework of the determinants of stock price informativeness and with the review of existing domestic and foreign research results, the paper analyses the influence of country institutional environment and stock market environment on stock price informativeness and makes preliminary explanation for the reason of low stock price informativeness of Chinese listed companies. Then it empirically analyses the influence of regional institutional environment, corporate governance mechanism and market information exchangers’behavior these three kinds of factors on stock price informativeness. Regional institutional environment comprises institutional environment differences in different provinces and dual listed companies system these two aspects; corporate governance mechanism comprises ownership structure, board of directors, corporate governance conferences, management incentives and audit quality these five aspects; Market information exchangers’behavior comprises institutional investors trading behavior and security analysts profit forecasting behavior. Empirical results indicate that all the factors except for CEO duality and audit quality have obvious impact on the stock price informativeness of Chinese listed companies which is consistent with the expectation.The paper empirically analyses the economic consequences of stock price informativeness based on firm-level. It analyses the way how stock price informativeness improves resource allocation efficiency, and then carries on empirical test by three steps. In the first step, it takes the empirical test on the guiding role of stock price informativeness in corporate investment spending. In the second step, it takes the empirical test on the inhibitory role of stock price informativeness on corporate overinvestment behavior, and also discusses the differences of the inhibitory role under the financial constraints condition and national holding condition. The results indicate that the useful information reflected in stock price can effectively restrain corporate overinvestment behavior under different conditions. In the third step, the paper empirically tests the relation between stock price informativeness and corporate performance and finds that the increase of stock price informativeness can significantly improve the current, one term future and two terms future corporate performance which further supports the conclusion that stock price informativeness and resource allocation efficiency is positively correlated.Furthermore, the paper empirically tests the economic consequences of stock price informativeness based on industry and market-level. The test is very important, because the high-level manifestation of social resource allocation efficiency is industry and market resource allocation efficiency; corporate resource allocation efficiency is only primary manifestation. It firstly analyses the promotion function of stock price informativeness on industry and market resource allocation efficiency as a whole, and then makes empirical tests from stock market industry, the whole stock market and the whole country these three aspects. Empirical results indicate that stock price informativeness and stock market industry resource allocation efficiency, the whole stock market allocation efficiency and country allocation efficiency all have significantly positive correlations.The results can help the supervision staff to objectively understand the status of the stock price informativeness of Chinese listed companies and also its determinants and economic consequences. It can provide them with theoretical and practical guidance help and supervise them to formulate effective supervision strategies, which finally promote the development of Chinese stock market to be more stable and healthy.更多还原