信息披露行为差异的经济后果——基于市场反应、股票交易量及股票收益波动性实证研究  

The Economic Consequences of Information Disclosure Heterogeneity——An Empirical Research Based on Market Reaction,Stock Trading Volume and Stock Returns Volatility

作　　者：程新生[1] 熊凌云[1] 彭涛[1] 

机构地区：[1]南开大学商学院,天津300071

出　　处：《系统工程》2015年第10期98-107,共10页Systems Engineering

基　　金：国家自然科学基金资助项目(71072095);国家自然科学基金重点资助项目(71132001);2013年教育部人文社会科学重点研究基地重大项目(13JJD630004)

摘　　要：以2007-2012年沪市782家公司为样本，研究信息披露行为差异的经济后果。结果表明，上市公司信息披露行为差异具有显著的负面市场反应，且正负增量信息水平所导致的市场反应各异。增量信息为负的公司信息披露行为差异具有显著的负面市场反应，增量信息为正的公司信息披露行为差异具有显著的正面市场反应。进一步检验发现，增量信息为正时，信息披露行为差异会导致更大的股票交易量以及更小的股票收益波动。Based from 782 listed companies in China＇s Shanghai stock markets during 2007-2012, this paper investigates the economic consequences of information disclosure heterogeneity. Our research shows that information disclosure heterogeneity of listed companies has significant negative market reactions, and the market reactions to positive or negative incremental information are different. When incremental information is negative, the market reactions are also significantly negative. In contrast, when incremental information is positive, the market reactions are significantly positive. Further tests show that positive incremental information is associated with more stock trading and lower stock returns volatility.

关 键 词：信息披露 行为差异 市场反应 股票交易量 收益波动性 

分 类 号：F230[经济管理—会计学] F832[经济管理—国民经济]