| 现金流及盈余的信息含量对知情交易的影响——基于中国上市公司的实证研究 |
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| 引用本文： | 王春峰,周敏,房振明.现金流及盈余的信息含量对知情交易的影响——基于中国上市公司的实证研究[J].系统工程,2009,27(3). |
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| 作者姓名： | 王春峰 周敏 房振明 |
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| 作者单位： | 天津大学管理学院,天津大学金融工程研究中心,天津,300072
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| 基金项目： | 国家自然科学基金，国家杰出青年科学基金 |
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| 摘 要： | 财务报表中现金流和盈余的内容为市场参与者提供了重要的信息,影响其交易行为,进而影响股票价格的确定.文章通过相关性检验、单变量检验、多变量检验及稳健性检验等方法对622家中国上市企业2003～2007 年的样本数据进行分析,发现当盈余比现金流更平稳的时候,抑制了知情交易的程度,而当盈余比现金流更波动的时候,知情交易变得更加活跃.此外,还发现诸如换手率、公司规模、杠杆率等财务变量对知情交易也有影响.
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| 关 键 词： | 现金流波动性 盈余波动性 知情交易 |
The Effect of Information Content of Cash Flow and Earning on Informed Trading——Empirical Study Based on Chinese Listed Companies |
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| WANG Chun-feng,ZHOU Min,FANG Zhen-ming.The Effect of Information Content of Cash Flow and Earning on Informed Trading——Empirical Study Based on Chinese Listed Companies[J].Systems Engineering,2009,27(3). |
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| Authors: | WANG Chun-feng ZHOU Min FANG Zhen-ming |
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| Institution: | WANG Chun-feng,ZHOU Min,FANG Zhen-ming(Financial Engineering Research Center,School of Management,Tianjin University,Tianjin 300072,China) |
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| Abstract: | The content of cash flow and earning in financial report provide important information to market traders,affecting their trading behavior and determination of stock price.Through correlation tests,univariate tests,multivariate tests and robust test of sample data from 622 Chinese listed companies sample data from 2003 to 2007,this study finds that when earning is smoother than cash flow,the informed trading is restrained,whereas when earning is more volatile than cash flow,informed trading becomes more acti... |
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| Keywords: | Cash Flow Volatility Earning Volatility Informed Trading |
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