公司综合信息透明度、分析师预测精度与信息不对称性  

Company Comprehensive Transparency,Analysts Forecast Accuracy and Information Asymmetry

作　　者：杜浩阳[1,2] 

机构地区：[1]北京交通大学经济管理学院,北京100044 [2]河南财经政法大学,河南郑州450046

出　　处：《金融经济学研究》2016年第3期70-84,共15页Financial Economics Research

摘　　要：理论上信息透明度可以降低信息不对称，但实际上随着信息透明度的增加，知情交易者会担心私有信息会泄露，可能会选择隐藏或分拆委托单，信息透明度不一定会降低。基于此，选择2004-2014年沪深A股上市公司为研究样本，运用高频交易数据，依据市场微观结构理论中的GH模型和LSB模型，分解出逆向选择成本作为信息不对称指标的替代，研究了公司综合信息透明度、分析师预测对信息不对称的影响机理。研究发现。公司综合信息透明度会确实能够降低信息不对称，但分析师预测精度在不同样本区间内表现出不同特征，即相对于不熟练的投资者而言，如果熟练的投资者能够对分析师预测盈余信息解读更加准确，那么分析师预测信息就会进一步增加信息不对称性，这说明公司综合信息透明度的降低并不是通过分析师预测活动来达到的，这在某种程度上说明分析师还没有真正发挥出其应有的作用。Theoretically, information transparency can reduce information asymmetry, but in practical cases, as informed traders worried that private information may be leaked out with increasing transparency of information, they may choose to hide or spin - off a- mount of orders, and this will not necessarily help to reduce information asymmetry. A- gainst this background and based on market microstructure theory of GH model and LSB model, this paper attempts to find out company comprehensive information transparency and analysts forecast accuracy ＇s impact on information asymmetry by selecting 2004 - 2014 Shanghai and Shenzhen A - share listed companies transactions as data. The decomposition of adverse as samples and taking high -frequency selection costs is chosen as an alterna- tive indicator of asymmetric information. Results show that： comprehensive information transparency can reduce information asymmetry, but analysts forecast accuracy presents dif- ferent characteristics in different sample intervals. In other words, if veteran investors un- derstand analysts＂ forecast information in a better way than inexperienced investors, then company＇s comprehensive information transparency is not achieved by analysts＂ forecast. This, to some extent, indicates that analysts are not playing the role they are supposed to in the stock market.

关 键 词：公司综合信息透明度 分析师预测精度 信息不对称 

分 类 号：F832.5[经济管理—金融学]