摘要
股价信息含量是测度资本市场定价效率的重要指标之一,近年来较多的文献从公司信息透明度来研究股价信息含量,但研究结论存在一定的矛盾。笔者利用股份特质性波动作为股份信息含量的测度,从知情交易私有信息的来源及其向股价传递的途径来研究股价特质性波动。研究发现,股价特质性波动与公司财务信息透明度负相关而与内部人交易正相关;内部人交易显著增强了公司财务信息透明度与股价特质性波动的敏感性。研究结果表明,未披露的公司信息是导致股价特质性波动的重要信息来源,而内部人交易则是其向股价传递的重要途径。笔者的发现不仅厘清了市场知情交易的信息来源,而且完善了信息向股价的传递渠道,为理解公司信息透明度与股价信息含量相关文献结论的不一致性提供了新的视角。
Stock price informativeness is one of market. In recent years, many papers study this topic the important measures of pricing efficiency in capital through firm information transparency, however, their results is inconsistent. This paper investigates how firm specific information is absorbed into stock price its source and channel We find that stock return idiosyncratic volatility mation transparency and positively associated with insider through inversely associated with firm infortrading. Insider trading the relationship between firm information transparency and improving the sensitiveness of stock return idiosyncratic volatility. These results suggest that nonpublic disclosure firm-specific information is an important source of informed trading and is absorbed into stock price through insider trading, and provid us a new view to understand contradiction in papers.
出处
《中央财经大学学报》
CSSCI
北大核心
2015年第11期62-74,共13页
Journal of Central University of Finance & Economics
关键词
真实盈余管理
内部人交易
股价特质性波动
Real earnings management Insider trading Idiosyncratic volatility of stock return
