信息披露质量与“特质波动率之谜”  

The Quality of Information Disclosure and “Idiosyncratic Volatility Puzzle”

作　　者：刘维奇[1] 邢红卫[2] 李丹丰 

机构地区：[1]山西大学管理与决策研究所,山西太原030006 [2]山西大学经济与管理学院,山西太原030006

出　　处：《山西大学学报（哲学社会科学版）》2014年第6期115-124,共10页Journal of Shanxi University(Philosophy and Social Science Edition)

基　　金：国家自然科学基金面上项目(71371113);教育部人文社科研究项目(13YJA790154)

摘　　要："特质波动率之谜"是近年来发现的股票市场异象之一,分析"特质波动率之谜"对资产定价理论和投资实践活动都具有重要意义。股票特质波动率与公司信息披露质量密切相关,公司信息披露质量越高,股票特质波动率越低。基于市场交易指标对公司信息披露的反应,提出度量信息披露质量的方法。利用组合分析、时间序列分析和横截面回归分析方法,发现信息披露质量正向预测股票收益,并且对"特质波动率之谜"具有一定程度的解释能力。在控制规模、账市比、动量、流动性、交易量、换手率、收益反转和杠杆等因素后,结果依然稳健。＂ Idiosyncratic volatility puzzle＂ is one of stock market anomalies discovered in recent years. The analysis of ＂idiosyncratic volatility puzzle＂ is of great significance to asset pricing theory and investment activities. This paper documents that the idiosyncratic volatility is closely related to the quality of corporate information disclosure. The higher the quality of information disclosure, the lower the idiosyncratic volatility. Based on the reaction of market trading indicators to corporate information disclosure, we propose a way to measuring the quality of information disclosure. Using portfolio analysis, time -series regression analysis and firm -level cross -sectional regression analysis, we find that quality of information disclosure can positively predict stock return, and has explanatory power for ＂idiosyncratic volatility puzzle＂ to some extent. After exerting control over other variables such as size, book to market, momentum, liquidity, volume, turnover, short - term reversal and leverage, these results are still statistically significant.

关 键 词：特质波动率 信息披露 异质信念 异象 

分 类 号：F830.9[经济管理—金融学] F832.5