摘要
预测和防范股票的流动性风险对投资决策具有重要的指导意义。基于Pastor和Stambaugh(2003)的测度,利用滚动回归法度量股票的流动性风险,以投资者决策可用信息为切入点,从市场交易信息、公司财务报表和证券分析师预测三个视角,考察了信息披露质量对股票流动性风险的影响。结果表明,信息披露质量高的公司其股票未来的流动性风险较低。分析师预测信息可以较好地甄别公司信息披露质量。此外,信息披露质量对股票流动性风险的负向预测能力与市场流动性新息的强弱呈正向关系,且在市场流动性恶化期内尤为显著。
It is important for securities investors to prevent and manage liquidity risk. Basing on Pastor ＆ Stam- baugh （2003） measure, we use rolling regression to compute liquidity risk. From the perspective of the available information for investor decision - making, we use market trading information, financial statements and analysts＇ forecast to investigate the effect of information disclosure quality on liquidity risk. The empirical results show that higher information quality is associated with lower liquidity risk. Contrasting the three measures proxies of informa- tion disclosure quality, we find that investors using analysts＇ forecast can better identify information disclosure quality. In addition, the negative effect of information disclosure quality on liquidity risk is positive and significant with the degree of market liquidity innovation, especially during a period of deterioration in market liquidity.
出处
《经济问题》
CSSCI
北大核心
2014年第11期25-32,共8页
On Economic Problems
基金
国家自然科学基金面上项目(71371113)
教育部人文社科研究项目(13YJA790154)
关键词
流动性风险
信息披露质量
流动性新息
分析师预测
liquidity risk
information disclosure quality
liquidity innovation
analysts＇ forecast
