交易者有限理性、信息披露质量与价格发现效率

在成熟度较低的中国股票市场,探究交易者有限理性条件下信息披露质量和价格发现效率的均衡关系.研究构建了一个包含信息摩擦和交易者学习的两期经济模型,通过引入预期偏差和参考点依赖偏好来刻画交易者的有限理性特征,分别讨论了完全理性和有限理性条件下的市场出清过程,并给出了盈余公告后价格漂移现象的理论解释和抑制由交易者有限理性导致的价格异象的途径.结果表明:1)在其它条件相同时,价格发现效率与信息披露质量正相关,与交易者有限理性程度负相关;2)交易者的参考点依赖偏好是导致盈余公告漂移现象的重要原因,当上市公司公告为好消息时,交易者处于盈利状态,倾向于风险厌恶,会低估资产价值,因此市场出清价格要低于公司实际价值,长期来看,股价会倾向于进一步上涨.当上市公司公告为坏消息时,由于投资者处于亏损状态,倾向于风险偏好,会高估资产价值,因此市场出清价格要高于公司实际价值,长期来看,股价会倾向于进一步下跌.研究结论对完善信息披露制度和提高中国金融市场运行效率具有重要意义.在现实金融市场中,上市公司为迎合投资者情绪可能进行正向盈余管理,通过降低信息披露质量使上市公司市场价格大幅高于其内在价值,因此提高信息披露质量是降低交易者有限理性负面效应的关键.

Limited rationality of traders,information disclosure quality and price discovery efficiency

In China's less mature stock market, this study explored the equilibrium relationship between information disclosure quality and price discovery efficiency under the condition of limited rationality of traders. This study built two-period economic model containing information friction and traders' learning and introduced expected deviation and reference-dependent preferences to depict limited rational characteristics of traders. Then we discussed the market clearing process under the condition of complete rationality and limited rationality separately, and provided the theoretical explanation of PEAD (post earning announcement drift) and the way of suppressing price anomalies caused by traders' limited rationality. Our results show that: First, under the same conditions, the efficiency of price discovery is positively correlated with the information disclosure quality and negatively correlated with the degree of trader's limited rationality. Second, the reference-dependent preference of traders is the important reason for PEAD. When the listed company issues good news, traders are profitable, tend to be risk averse, will underestimate the value of the asset, so the market clearing price is lower than actual value. In the long term, stock prices tend to rise further. When a listed company declares bad news, the stock price tends to fall further in the long run because the investors are in loss state and tend to be risk preference, thus overestimating the asset value. Therefore, the market clearing price is higher than the actual value of the company. Our findings are of great significance to improve the information disclosure system and the operational efficiency of China's financial market. In the real financial market, listed companies may carry out positive earnings management to cater to investor sentiment, which makes the market price of listed companies significantly higher than their intrinsic value by decreasing the quality of information disclosure. Therefore, improving the quality of information disclosure is the key to reduce the negative effect of traders' limited rationality.