信息不对称对股票回购宣告效应的影响--基于A股市场公开市场回购事件的实证研究  

Research on the Announcement Effect of Stock Repurchase--Based on the Empirical Study of the A-share Market Open Market Repurchase Event

作　　者：邢嘉威 Xing Jiawei(China Construction Bank,Beijing 100033,China)

机构地区：[1]中国建设银行,北京100033

出　　处：《金融发展研究》2020年第5期72-77,共6页Journal Of Financial Development Research

摘　　要：本文以2011-2017年间发生在我国A股市场的公开市场回购事件为样本,探究了管理层与投资者之间信息不对称程度对股票回购宣告效应的影响。结果表明:上市公司可以通过公开市场回购取得显著正向的宣告效应,该效应与上市公司的信息不对称程度成正比,与既有估值水平成反比。这说明信息不对称程度对股票回购宣告效应具有较强的解释力,验证了"信号传递假说"在A股市场的适用性。Taking the open market repurchase events in China’s A-share market from 2011 to 2017 as the samples,this paper explores the effect of information asymmetry on the announcement effect of stock repurchase. The result shows that the listed companies can achieve a significant positive pronounced effect through open market repurchase,which is proportional to the degree of information asymmetry in listed companies and inversely proportional to established valuation levels. This illustrates that the degree of information asymmetry has a strong explanatory power on the pronounced effect of share repurchase,validating the applicability of the "signaling hypothesis" in the A-share market.

关 键 词：股票回购 宣告效应 信息不对称 

分 类 号：F830.91[经济管理—金融学]