基于公司年报披露的交易量与信息不对称研究  

Empirical Research on Information Asymmetry and Trading Volume Based on the Disclosure of Corporate Earning Announcements

作　　者：王春峰[1] 于婧晗[1] 房振明[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《管理科学》2006年第6期74-80,共7页Journal of Management Science

基　　金：国家自然科学基金杰出青年基金(70225002)

摘　　要：在资本市场中,信息的经济意义表现得最为突出,主导这个结果的关键因素是上市公司的信息披露与投资者对上市公司的估价之间存在着较大程度的关联性。定期报告作为市场中非常重要的信息来源,其披露的盈余信息应是投资者最关注的信息,以公司年报信息披露为事件,研究了交易量对于年报披露事件的反应以及超常交易量与信息不对称指标的关系。实证研究表明,与国外发达市场不同,在年报披露前,中国证券市场上的股票交易量不减反增,而且在信息不对称的情况下继续交易,投资者并没有选择延迟交易以降低风险,这说明中国股票市场上的投资者并不理性。The economic meaning of information has displayed strongly in capital market,for there is a strong relationship between investors′ investment-decision and listed companies′ financial statements.Earning announments are the most important information sources,and the investors pay more attention to the information discousure.This paper investigates the reaction of trading volume before the disclosure of corporate earning announcements to explore the relationship between abnormal trading volume and the information asymmetry.It shows that the trading volume increases prior to annual earning announcements and traders don′t postpone trading when risk increases,which demonstrates that the investors on Chinese Stock Market are irrational.

关 键 词：年报披露 信息不对称 逆向选择成本 超常交易量 波动性 

分 类 号：F830.9[经济管理—金融学]