信息发布者与资本市场效率  

Information Provider and Capital Market Efficiency

作　　者：毛新述[1] 王斌[1] 林长泉[1] 王楠[1] 

机构地区：[1]北京工商大学商学院

出　　处：《经济研究》2013年第10期69-81,共13页Economic Research Journal

基　　金：国家自然科学基金项目(71202023);教育部人文社会科学研究项目(12YJA790132;10YJC790190);北京市属高等学校人才强教深化计划"创新人才建设计划"项目(PHR201006128);国有资产管理协同创新中心的资助

摘　　要：关于资本市场效率的现有研究主要集中在对信息披露数量和质量、证券分析师、信息媒介的作用以及投资者对信息的解读等方面,却忽略了信息发布者自身对市场效率的改善作用。本文以我国上市公司财务总监(CFO)兼任董事会秘书(董秘)这一独特视角为切入点,考察了公司信息发布者对资本市场效率的影响。研究发现:CFO兼任董秘的公司,其盈余的价值相关性更高,盈余公告后的漂移现象更低,且投资者不存在对盈余组成信息的错误定价。这表明由CFO兼任董秘,能够更有效地传递信息,从而提高资本市场效率。本文首次证实了公司信息发布者对资本市场效率的影响,同时也为我国上市公司CFO兼任董秘这一自发的制度安排提供了理论证据。Existing literatures on capital market efficiency ignored the impact of firm＇ s information providers on the improvement of market efficiency. This paper, from the perspective of the duality of CFO and board secretary of China＇ s listed companies, investigates the impact. We find that the China＇ s listed companies with the duality have higher value relevance of earnings, less post earnings announcement drift, and no further evidences to be found of mispricing of the earnings and its components（ accrual anomalies）. This result shows that the duality can disseminate information effectively and hence improve market efficiency. We first examine the impact of firm＇ s information providers on the improvement of market efficiency, and provide the empirical evidence on the institutional arrangement of the duality of CFO and board secretary of China＇ s listed companies.

关 键 词：信息发布者 资本市场效率 财务总监 董事会秘书 

分 类 号：F832.5[经济管理—金融学]