摘要
本文以2003—2008年深圳证券交易所主板市场的上市公司为样本,考察了投资者为获得信息所支付的溢价与信息结构之间的关系,由此判断投资者对公开信息和私有信息的不同关注度。研究显示,投资者支付的信息溢价与信息结构的关系为非线性。当私有信息占比较低时,投资者支付的信息溢价与信息结构呈现正相关;随着私有信息占比的提高,投资者支付的信息溢价与信息结构呈现负相关关系。就中国股票市场整体而言,信息披露的混同均衡状态强于分离均衡状态。
In this paper, the author take listed company in Shenzhen stock exchange stock market during 2003--2008 as an example to examine the investors for relationship between the information obtained by the premium paid and the information structure, also to get the judgment of investors＇ different degree of concern on the public information and private information. Study shows, the relationship between Information premium which the investors paid and the information structure is nonlinear. When the private information shows a lower proportion, information premium is positively related to information structure; with the increasing proportion ofprivate information, they turn to the negative correlation. According to our empirical results to infer, in the stock market of China, Information disclosure＇s pooling equilibrium state is stronger than the Separating equilibrium.
出处
《金融发展研究》
2012年第6期73-78,共6页
Journal Of Financial Development Research
关键词
私有信息
信息披露质量
非线性
定价效率
private information, information disclosure quality, nonlinear, pricing efficiency
