| 定期公告期间信息不对称与价格发现的实证研究 |
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| 引用本文： | 王春峰,张颖洁,房振明.定期公告期间信息不对称与价格发现的实证研究[J].系统工程,2008,26(9). |
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| 作者姓名： | 王春峰 张颖洁 房振明 |
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| 作者单位： | 1. 天津大学,管理学院,天津,300072
2. 渤海证券,天津,300061 |
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| 基金项目： | 国家自然科学基金
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国家杰出青年科学基金
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| 摘 要： | 以公司年报披露为事件,用知情交易概率直接衡量定期公告期间的信息不对称水平,并通过事件研究法分析公告期间信息不对称对价格发现的影响.研究结果表明,公告前信息不对称程度加剧,且与公司规模成反比;公告前信息不对称程度越高,股价对信息的揭示越多,公告后股价持续漂移越少.但是基于私有信息的价格发现损害了中小投资者的利益,因此要加强对这类违规行为的监管.
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| 关 键 词： | 定期公告 信息不对称 知情交易概率 价格发现 累积超常收益 |
Empirical Study of Information Asymmetry and Price Discovery around Periodical Reports |
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| WANG Chun-feng,ZHANG Ying-jie,FANG Zhen-ming.Empirical Study of Information Asymmetry and Price Discovery around Periodical Reports[J].Systems Engineering,2008,26(9). |
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| Authors: | WANG Chun-feng ZHANG Ying-jie FANG Zhen-ming |
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| Institution: | 1.School of Management;Tianjin University;Tianjin 300072;China;2.Bohai Securities;Tianjin 300061;China |
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| Abstract: | Taking annual reports disclosure as the event,information asymmetry is directly measured by PIN (probability of informed trading) and its effect on price discovery is explored through event study around periodical reports Empirical results show that information asymmetry aggravates before public release of annual reports and it is inversely proportional to firm size.The results also show that the more asymmetric information is before announcements,the more information revealed by prices and the less prices ... |
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