摘要
本文基于股价特质性波动的“非信息观”解释,检验了分析师报告负面信息披露与股价特质性波动之间的关系。研究发现:(1)分析师报告负面信息披露与股价特质性波动显著负相关;(2)当被跟踪公司信息透明度越低、分析师报告信息含量越高、投资者对负面信息的关注度越高时,二者的负向关系越强;(3)减少噪音交易、抑制盈余管理,是分析师报告负面信息披露降低股价特质性波动的重要途径;(4)媒体负面报道并未削弱分析师报告负面信息的影响力;(5)分析师报告负面信息披露主要向市场提供了有关企业未来基本面的信息。
The idiosyncratic volatility of stock prices refers to abnormal stock price fluctuations that cannot be attributed to systematic risk and public information,and is often used as a measure of idiosyncratic risk of the stock price.By observing stock price volatility in the U.S.market,scholars have found that the idiosyncratic volatility of stock prices are caused by two major factors,namely,the incorporation of firm-specific information and the interference of non-informational factors.The former is referred to as the“information”explanation and the latter as the“non-information”explanation.The“information”explanation suggests that,in a fully efficient market,information is the dominant factor in stock price movements.The arbitrage behavior of informed traders allows for the incorporation of a large amount of firm-specific information into stock prices,increasing idiosyncratic volatility of the stock price.Under the logic of the“information”explanation,the higher the idiosyncratic volatility,the more fully firm-specific information is incorporated,and the more informationally efficient the market is.Much of the earlier literature has examined the idiosyncratic volatility of stock price based on the“information”explanation.The“non-information”explanation,on the other hand,believes that markets are not fully efficient and that stock price movements cannot be fully explained by information,but are disturbed by non-informational factors such as noise and deterioration in earnings quality,which can cause stock prices to deviate from their fundamental values,leading to high idiosyncratic volatility of stock price.According to the“non-information”explanation,high idiosyncratic volatility of stock price implies that there are more non-informational factors interfering in the market,which is a reflection of low market information efficiency.In recent years,an increasing number of studies have challenged the“information”explanation of stock price idiosyncratic volatility and found that stock p
作者
朱琳
陈妍羽
伊志宏
Zhu Lin;Chen Yanyu;Yi Zhihong(Wuxi Taihu University;Shanghai National Accounting Institute;Guangdong University of Finance&Economics;Renmin University of China)
出处
《南开管理评论》
CSSCI
北大核心
2023年第3期75-85,I0014,I0015,共13页
Nankai Business Review
基金
中国博士后科学基金第73批面上项目(2023M732185)
江苏高校哲学社会科学研究重大项目(2023SJZD009)
江苏省“青蓝工程”(苏教师函[2022]51号)资助。
关键词
分析师报告
负面信息
股价特质性波动
非信息因素
Analyst Report
Negative Information
Stock Price Idiosyncratic Volatility
Non-information Factor
