信息透明度与散户的交易选择——基于深圳交易所上市公司的实证研究被引量：47

Information Transparency and Individual Investor Trading

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摘要股市的风险往往归因于散户的交易,大力发展机构投资者成为提高市场效率的不可挑战的信条。透过微结构数据的分析,本文发现散户交易存在过度自信特征,可能过度高估私有信息精确度,导致错误定价信息。分离了过度自信的因素后,本文发现信息透明度为散户交易的重要依据。更为重要的是本文发现,相对于散户而言,信息透明度对机构投资者交易的影响较低,说明了信息透明度对处于信息劣势的投资者具有更重要的现实意义。 This study shows that individual investors invest in firms with more transparent financial disclosures after controlling the characteristics of overconfidence. The resuhs further indicate that these relations are less pronounced for overconfident investors, and that individual investors appear to place a greater weighting on such financial disclosure attributes relative to institutional investors. This study contributes to the literature by provi- ding evidence suggesting that the transparency of financial disclosures influences individual investors＇ investment decisions but less influences relative to institutional investors.

作者徐浩峰侯宇

机构地区中山大学管理学院多伦多大学管理学院

出处《金融研究》 CSSCI 北大核心 2012年第3期180-192,192+191,共13页 Journal of Financial Research

基金国家自然科学基金面上项目"媒体效应与证券价格形成的交易过程(71072089)" 广东省自然科学基金(10451027501004606) 广东省软科学(2011B070300122) 上海证券交易所联合研究计划"信息披露有效性"的资助

关键词散户交易信息透明程度散户过度自信机构投资者交易 Individual investor Transparency Overconfidence Institutional trader

分类号 F832.51 [经济管理—金融学]

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