摘要
股价波动非同步性代表信息还是噪音是现代金融学的热点问题.本文首先构建公司层面信息指标和噪音指标,然后利用非平衡面板数据回归发现中国上市公司股价非同步性与信息(或噪音)之间存在U型关系.最后通过盈余公告效应和股价信息含量检验表明股价非同步性整体表现为噪音,即高非同步性公司具有较强的盈余公告后漂移以及股价较少反应当期和未来盈余信息.与信息解释不同,本文认为不能简单地将股价非同步性视为公司层面信息的度量.
Whether price nonsynchronicity is a measure of information or noise is the focus of modern finance. In this paper, we first construct firm-specific information and noise trading measures, then perform unbalanced panel data regression analysis and find that there is a U-shape relation between price nonsynchronieity and in- formation （or noise） for listed firms in China stock market. Finally we conduct post earnings announcement drift （PEAD） as well as price informativeness tests and find that price nonsynchronieity is overall a measure of noise, i.e. , firms with high price nonsynchronicity have strong PEAD and less current and future earnings in- formation incorporated into stock price. In contrast with the information interpretation, price nonsynchronieity cannot be simply regarded as a measure of firm-specific information.
出处
《管理科学学报》
CSSCI
北大核心
2012年第6期68-81,共14页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(70671005
70831001)
国家自然科学基金创新群体资助项目(70821061)
关键词
股价非同步性
公司层面信息
噪音交易
盈余公告效应
股价信息含量
price nonsynchronicity
firm-specific information
noise trading
post earnings announcementdrift
price informativeness
