摘要
信息含量是基于决策有用的信息观对半强型市场效率评价的一种研究方法。文章采用标准的事项研究法,选取上交所A股上市公司2007年到2008年发生的103个定向增发事件为研究对象,同时采用市场模型和均值调整模型考察中国上市公司定向增发公告的信息含量。两种价格检验模型均表明,定向增发预案公告发布之后,样本公司获得显著为正的累积超额收益率,定向增发事件被市场和投资者视为"好消息",说明上市公司定向增发公告具有信息含量。作为典型的非会计事项的信息含量研究,文章支持了决策有用的信息观。不管是时间窗口、时间点还是分行业的实证研究,其结果均表明,定向增发公告具有信息含量。
Information content,based on the concept of useful information for decision-making,is a research method for evaluating the semi-strong-market efficiency.This study selects 103 directional additional events,which were directed by the A-share listed companies of China＇s Shanghai Stock Exchange from 2007 to 2008,as the research objects.This research also uses two price testing model（market model and mean adjustment model） to measure the information content on the directional issuance notice,which are directed by Chinese Listed companies.The findings of two test model price indicate that sample companies have the cumulative surplus yield which is significant positive,and directional additional events are seen as ＂good news＂ by the market and investors.These events have information content.As a typical non-accounting research on the information content,this paper supports the concept of useful information for decision-making.The results of the empirical research show that the notice of additional directional has information content,regardless of the time window,time point or sub-sectors.
出处
《重庆大学学报（社会科学版）》
CSSCI
北大核心
2011年第1期48-53,共6页
Journal of Chongqing University(Social Science Edition)
关键词
信息含量
定向增发公告
累积超额报酬
information content
directional issuance notice
cumulative excess return
