公平信息披露的经济后果——基于收益波动性、信息泄露及寒风效应的实证研究  

The Economic Consequences of the Fair Disclosure of Information

作　　者：朱红军[1] 汪辉[2] 

机构地区：[1]上海财经大学会计与财务研究院 [2]海通证券研究所

出　　处：《管理世界》2009年第2期23-35,共13页Journal of Management World

基　　金：教育部人文社会科学重点研究基地重大项目"转轨经济中的公司治理与控制权收益"(06JJD630016)的阶段性成果

摘　　要：本文以深交所上市公司在公平信息披露规则实施前后的盈余公告事件为样本,研究了公平信息披露的经济后果———收益波动性、信息泄露和寒风效应。我们发现规则实施后收益波动性显著下降了,说明规则有利于减少股价波动;同时,信息泄露显著减少了,政策达到了预期效果;我们也发现总体上规则没有带来寒风效应,也就是说规则不会导致信息质量下降,但处于竞争性领域的公司、高成长性的公司和公布"坏消息"的公司容易出现寒风效应。本文首次揭示了公平信息披露对我国证券市场的影响,为上市公司全面实行公平信息披露制度提供了经验证据的支持,也为公平信息披露的监管提供了一定的思路。Taking as specimen the event of the public announcement about earnings that was made by the listed companies in Shenzhen Securities Exchange before and after the enforcement of the regulation for the fair disclosure of information (FDOI), we have studied the following economic consequences of FDOI: the volatility of earnings from stock, the leakage of information and the 'chill wind' effects' (CWE). We have discovered that the fluctuation of those earnings has conspicuously dropped (which indicates that the above-mentioned regulation helps reduce the fluctuations of stock prices) while the leakage of information has evidently declined (which demonstrates that the related policy has got the expected results), that this regulation has not, on the whole, resulted in CWE, that is to say, this regulation does not leads to a fall in the quality of information, and that, however, the companies in lines in competition, or companies with rapid growth, or companies that have broken 'bad news', are liable to get the effect of CWE. For the first time before others, we have in this article revealed the impact of FDOI on China’s securities markets, providing supports in experiential evidence for listed companies to fully carry out the system of FDOI, and affording certain thinking on the supervision of FDOI.

关 键 词：公平信息披露 收益波动性 信息泄露 寒风效应 

分 类 号：F233[经济管理—会计学]