信息披露质量对股票流动性风险的影响分析

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。     

中国上市公司内部控制信息披露问题探讨

内部控制信息披露的提高对提高上市公司内部控制信患透明度、提高市场效率、保护外部投资者利益有着重要意义。但目前我国上市公司内部控制信患披露动力不足,外部中介机构作用没有得到充分发挥。不仅不利于保护外部投资者的利益,提高上市公司的经营绩效,还会影响我国资本市场的建设和改革。因此,本文对上市公司内部控制信息披露问题简单探讨,在此基础上提出了推动我国内部控制信息披露水平提高的对策和建议。     

浅析上市公司会计信息披露存在问题及其对策

本文通过分析中国上市公司会计信患披露中存在的信息披露基本法律法规相对滞后、信息披露不真实不准确、不充分、不严肃、不及时等问题,来探讨中国上市公司会计信息披露问题存在的原因,并就如何改进我国上市公司会计信息披露存在的问题提出若干建议.     

我国商业银行会计信息披露研究分析

我国商业银行作为金融体制的核心，其会计信息披露至关重要，但是我国目前商业银行的信息披露还存在诸多问题，提高商业银行会计信患披露的质量和程度就成为强化对银行的市场约束的必然要求。     

自愿披露水平与股票流动性的实证研究——基于中国上市公司年度报告的经验

从对中国上市公司年度报告自愿披露水平与股票流动性的实证研究,笔者发现了以下主要研究结论:从静态来看,年度自愿信息披露水平对股票流动性存在显著的正向影响;从动态来看,中国股票市场自愿披露水平正向变动具有流动性信息含量,而负向变动则没有相应的流动性信息含量.同时笔者发现,造成自愿披露水平负向变动与流动性无关的原因是多方面的,其中不能排除市场上存在基于内幕信息的交易.     

对上市公司自愿性信息披露的思考

一、自愿性信息披露的动因分析上市公司自愿性信息披露的目的是向投资者描述和解释公司的投资潜力,改善投资关系,促进资本市场的流动性以使资本配置更有效率,降低资本成本。同时上市公司自愿披露信息,能够缓解诚信危机,增强投资者信心,促进公司与投资者、供应商、顾客等外部利益关系人建立良好关系,有助于树立良好的公司形象,提高公司价值。(一)减少信息不对称,吸引更多的投资者如果公司对外信息披露不够充分,股票发行市场会产生上市公司(筹资者)和外部投资者在对公司经营业绩、内部信息的了解上存在明显的不对称现象。在此情况下,价格保护…     

会计信息披露质量与中小股东保护——基于沪市国有上市公司的经验证据

近年来,侵害国有上市公司中小股东权益的事件屡见不鲜,而国有上市公司中小股东利益受到侵害很大程度上要归因于国有上市公司会计信息披露制度不完善以及由此造成的会计信息披露质量问题.文章通过对我国国有上市公司会计信患披露的可靠性、及时性和完整性研究,发现会计信患披露质量与中小股东保护息息相关,而提高会计信息披露的可靠性、及时性和完整性能够有效改善国有上市公司信息披露质量,提升中小股东保护水平.     

证券市场信息披露规制国际比较与借鉴

目前我国已基本形成了比较完整的证券市场信息披露法律框架和制度体系。但随着我国证券市场发展壮大,证券市场监管和信息披露中的问题和缺陷也日益显露出来。本文借鉴了国内外对强制性与自愿性信息披露,分析了中国证券市场信息披露规制现状,并提出完善我国证券市场信患披露规制的一些建议。     

会计信息披露与资本市场效率的关系研究

会计信患披露及其公开程度是影响资本市场资源配置效率、运行效率等的关键性因素。为促使我国资本市场良好的发展,本文分析了会计信息披露与资本市场效率之闻的相互关系,并提出了建立完善会计信息披露制度,提高资本市场效率的有力措施。     

中国式风险披露、披露水平与市场反应

风险要素披露是资产有效定价的前提,本文研究了我国发行新股时《招股说明书》中风险因素的披露状况以及市场反应。研究发现:第一,在控制相关变量后,公司所披露的总风险越多、财务风险和经营风险越多,IPO抑价越低、流动性越强。第二,从公司披露意愿来看,未来业绩差的公司较业绩好的公司有更强的披露意愿,这并不是因为业绩差的公司更为诚实或是更为聪明,而是为了规避未来业绩下降所带来的行政处罚。第三,从市场反应来看,面临诚信危机的证券市场,坦诚披露作为一种稀缺资源会收获更多的市场奖励,即公司的新股发行效率提高。最后,在稳健性检验中本文创造性地构建"模糊指数",对含糊其辞的风险披露予以甄别,检验结果与前文一致。本文的另一个重要贡献是,跳出了以往的计算机文本搜索方式,首次以人工阅读方式度量风险。本文的结论对我国即将推行的注册制新股发行具有重要的预测及指导作用。     

Market for Information and Identity Disclosure in an Experimental Open Limit Order Book

This paper analyses the effects of pre‐trade transparency on market quality in an experimental open limit order book preceded by a market for information. The design of the trading game is akin to the system in use in an increasing number of financial markets. We find that the disclosure of traders' identities reduces the incentive to acquire information, liquidity and volatility. We also show that a positive relation exists between the proportion of traders buying information and liquidity. The results are consistent with a standard model of price formation where the number of informed traders is endogenous .     

The role of short selling threat in corporate environmental disclosure strategies: Evidence from China

Using staggered deregulation of short sales constraints in the Chinese capital market, this study investigates how short selling threat related to corporate environmental disclosure strategies. Our study finds that pilot firms experience a larger increase in hard disclosures, and a larger decrease in soft disclosures after short selling deregulation. Specifically, the increase in hard disclosure is found primarily at good environmental performers, whereas the decrease in soft disclosure is primarily found at poor environmental performers. Further analysis shows that the increase in hard disclosure and the decrease in soft disclosure is significantly more pronounced at firms that are covered by small number of media and analysts, with low institutional ownership and stock liquidity. Overall, our findings suggest that firms might change the type of environmental disclosure to mitigate their exposures to short selling threat, and provide evidence of the disciplining effect of short sales on environmental disclosures.     

当前中国资本市场面临的三大问题

透明度是全球资本市场面临的共同问题。如果我们不能有效地解决透明度问题,不能解决上市公司和中介机构如实地向社会披露信息的问题,那么资本市场就没有发展前途。资金多元化问题是中国资本市场发展面临的重要问题。中国资本市场如果要成为现代金融体系的基础,我们就必须推动资本市场资金渠道的多元化。股权分裂是中国资本市场目前面临的根本性问题。中国资本市场规范和发展的重点,是如何建立一个具有完整流动性的市场,而不是流动性分裂的市场。中国资本市场存在的种种问题,大多源自于股权分裂所决定的制度缺陷。     

What determines stock liquidity in Australia?

Using an index of corporate governance quality (CGQ), we provide the first robust evidence of the determinants of stock liquidity in Australia. We assume that CGQ affects stock liquidity because effective governance decreases information asymmetries between insiders (e.g. managers) and outsiders (e.g. investors), as well as among outsiders, by improving information transparency of a firm. Consistent with agency theory, this study, using 435 large capitalization firms over the period from 2001 to 2008, finds a significant positive relationship between CGQ and stock liquidity, suggesting that better governed firms have a higher level of stock liquidity. These findings are robust to alternative proxies of CGQ, stock liquidity and endogeneity bias.     

Credit ratings and corporate disclosure behaviour: evidence from regulation fair disclosure in Korea

This article provides evidence that firms with high market expectations disclose more information to investors, utilizing the fair disclosure regulation in Korea to proxy for their disclosure choices. This finding is consistent with the argument that in order to retain their dominant positions, highly evaluated firms are more concerned about the market’s perception of them as providers of timely and detailed disclosure. We also find that the impact of market expectations on disclosure is more pronounced for chaebol firms. Combined with prior research on the relationship between firm performance and voluntary disclosure, we provide important implications for the determinants of corporate disclosure     

Liquidity Dynamics Across Small and Large Firms

In this paper, we analyse cross‐sectional heterogeneity in the time‐series variation of liquidity in equity markets. Our analysis uses a broad time‐series and cross‐section of liquidity data. We find that average daily changes in liquidity exhibit significant heterogeneity in the cross‐section; the liquidity of small firms varies more on a daily basis than that of large firms. A steady increase in aggregate market liquidity over the past decade is more strongly manifest in large firms than in small firms. Absolute stock returns are an important determinant of liquidity. We investigate cross‐sectional differences in the resilience of a firm's liquidity to information shocks. We use the sensitivity of stock liquidity to absolute stock returns as an inverse measure of this resilience, and find that the measure exhibits considerable cross‐sectional variation. Firm size, return volatility, institutional holdings, and volume are all significant cross‐sectional determinants of this measure.
(J.E.L.: D82, G10, G14).     

中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例

本文以沪市为对象考察了我国股市的“规模效应”和“时间效应”。作者通过实证研究发现 :中国股票市场并不存在西方国家股市普遍出现的“小公司 1月份效应”。但小公司“规模效应”表现显著 ,其中小公司股票在 3月份和 8月份的相对收益率明显强于市场指数 ,而剔除风险因素以后 ,统计数据显示小公司效应几乎在全年大部分月份都有较显著表现。分析上述“异象” ,我们认为 ,中国股市复杂的市场结构和制度背景所导致的小公司股票独特的流动性问题 ,是小公司股价存在持续超额收益率的内在原因     

中国股市透明度提高对市场质量影响的实证分析

在股票市场的机制设计中,透明度即交易信息的披露程度是一个非常重要的方面。合理的透明度可以优化市场中相关信息的传递方式,并改善交易者的信息结构,有利于证券形成更加合理的价格,并进而提高市场的整体质量。2003年12月8日,中国股市信息披露规则发生变化,买卖盘揭示范围由3个最优报价扩大为5个,市场透明度显著提高。本文通过实证分析,较为全面地考察了透明度提高对深圳A股市场质量带来的影响。结果表明,透明度提高之后,市场的流动性明显上升,交易成本和市场波动性则显著下降,市场的信息传递效率也有所提高。这一切都表明,透明度的提高显著地改善了股票市场的整体质量。     

信息披露及时性与可靠性关系实证研究

信息披露及时性与可靠性是衡量会计信息披露质量高低的两个重要因素。本文从理论上分析了信息披露及时性与可靠性之间的关系,并对二者的关系进行了实证检验,研究结果发现:我国上市公司信息披露及时性与可靠性之间存在着此消彼长的负相关关系,面对及时性与可靠性的两难选择,我国上市公司优先考虑信息披露的及时性。由于可靠性不被优先重视,导致近年来许多公司急于披露年报,然后频繁地对已披露的年报打补丁。对此,建议证券交易所对打补丁现象做出相应处罚规定,切实提高信息披露的可靠性。同时,会计信息使用者在进行决策时不要只看重信息披露的及时性,还要认识到公司年报中可能隐藏着的不可靠性——年报披露后打补丁。     

Environmental disclosure and stock market liquidity: evidence from Arab MENA emerging markets

The objective of this study is to examine the impact of environmental disclosure levels on the stock market liquidity of Arab Middle Eastern and North African (MENA) companies. For that, a self-constructed disclosure index was applied to the annual reports for the years 2010, 2011 and 2012 and the bid-ask spread was used as a proxy for stock market liquidity. Results indicate that levels of environmental disclosure in MENA companies are quite low. In addition, using a sample of 276 firm-year observations, multivariate analysis shows that the higher the level of environmental disclosure provided in the annual reports, the lower the spread between the market bid and ask prices, thereby indicating an increase in stock market liquidity.