股价同步性:信息效率还是噪音偏差?——基于分析师跟进的证据

股价同步性反映了股价中包含是信息还是噪音一直是学术界极具争议的话题。本文运用2004~2013年分析师研报数据实证分析了股价同步性与信息效率之间的关系。研究发现,股价同步性与信息效率存在正向关系,即分析师发布报告的股票股价同步性越低,报告中反映信息效率的公司特有信息含量越低,同时发现这种正向关系源于投资者对明星分析师研报的过度反应。结果表明,我国股票市场的投资者存在"追星"的选择性偏差,股价较低同步性包含了更多的噪音。研究结论为我国证券行业规范投资者行为提供了一个新的切入点,为建立健全投资者教育体系给出了一定的政策建议。     

股价崩盘风险、杠杆转移和金融错配

伴随着资本市场发展日臻完善，股权融资和债务融资之间替代性逐渐加强，如何优化债务结构，有效、稳健地去杠杆，成为防范金融风险、改善金融错配亟需解决的问题。以我国非金融上市公司2003～2020年财务数据为研究样本，通过构建股价崩盘风险指标，分析股价崩盘风险、杠杆转移和金融错配之间的内在机制。研究结果发现，股价长期稳定和长期剧烈波动均并不利于企业债务融资和资源配置效率，适当的股价波动能够缓解企业所受到的融资约束；无论是考虑股价崩盘风险，抑或是股权所有制、企业规模的异质性，适当地提高杠杆率有助于缓解金融错配程度；杠杆向低股价崩盘风险、低杠杆率企业转移能够有效改善金融配置效率。     

公司杠杆对股价同步性的影响——来自中国股票市场的证据

本文通过对2003-2012年在我国A股上市的上市公司的研究,从监管与公司信息流动效率角度解释我国股票市场中存在的同涨同跌现象。研究发现,在我国的A股市场中,公司杠杆与公司股价的同步性存在显著的负相关关系,从而从侧面说明了公司杠杆的存在可以导致债券投资者加强对公司的监管,从而提高公司信息流动效率,降低了公司股票的同涨同跌现象。     

盈余管理、投资者情绪与股价“同涨同跌”

上市公司的盈余管理和投资者情绪是否影响了股价的"同涨同跌"(股价同步性),证券市场信息效率是否因此受到了影响?本文采用2002～2010年中国股市和上市公司样本,用R2度量股价同步性,检验在不同市场不确定性下盈余管理和投资者情绪对股价同步性的影响。研究发现:管理者盈余管理使得股价同步性降低,而投资者情绪波动使得股价同步性上升;但是,两者均导致股票收益的"惯性"或"反转"效应增强,即市场信息效率下降。因此,本文认为不能简单地以股价同步性的高低来衡量股价的信息效率,需结合影响股价同步性的信息不对称和心理因素进行新的解释。     

上市企业并购重组与股价波动因素分析——以A股市场企业重大并购重组事件为例

随着国内股权分置的革新,企业间并购重组迅速发展,并购重组逐步成为上市企业持续发展的必备战略.而上市企业并购重组在一定程度上会影响到其股价波动.本文以2009-2013年我国A股市场中上市企业重大并购重组事件为实证对象,探讨了上市企业并购重组对股价波动的影响.研究发现,尽管学术界对上市企业并购重组绩效的看法不一,但从整体上来看,上市企业并购重组对股价的影响是正向的,上市企业并购重组公告短期内也显著正向影响股价的波动.对并购重组的股东来讲,其效益在短期、中期都呈现出正向效应.     

金融生态环境、企业社会资本与科技创新企业融资效率

本文以336家科技创新上市企业作为研究样本,运用跨层次模型分析了金融生态环境、企业社会资本对科技创新企业融资效率的影响。研究结果表明:金融生态环境以及企业社会资本均与科技创新企业融资效率呈显著正相关关系,且科技创新企业所处金融生态环境能够负向调节企业社会资本与融资效率之间的关系。     

信息披露对商业银行的市场约束影响研究

本文采用Bushman和Williams(2012)的研究模型验证了在中国上市商业银行中确实存在市场约束效应,表现为银行经营者会根据资本市场反映的银行风险水平变动调整自身资产负债率;而且银行自身股价同步性会影响这一关系的敏感性,说明银行向市场披露的自身信息越多,市场约束的效果越明显。     

互联网普及与资本市场信息效率——基于股价同步性的证据

本文从股价同步性的视角,研究互联网普及对资本市场信息效率的影响.研究发现,互联网普及与股价同步性显著负相关,说明互联网普及有助于提高资本市场信息效率;互联网普及与股价同步性的负相关关系在信息不对称越强以及公司治理越弱的企业中更加显著.机制检验表明,互联网普及有利于增加公司与投资者的网络沟通,减少盈余管理.     

机构投资者影响我国股价波动的实证研究

采用 TGARCH 模型对机构投资者与我国股指波动的关系进行研究,实证结果表明：无论是否考虑宏观经济因素对股票市场的影响,机构投资者对我国股票市场波动均产生正向影响。进一步用面板数据模型对机构投资者与上市公司股价波动的关系进行研究,发现机构投资者在不同宏观经济环境下也均未起到稳定上市公司股价波动的作用。     

融资融券视阈下的投资者情绪与A股收益率波动研究

本文以融资融券市场作为研究目标分析投资者的获利倾向、心理状态、行为决策等因素所反映出的投资者情绪特征对A股收益率波动的影响。采用CR I T I C赋权法,通过计算融资融券中融资余额、融券余额、融资融券交易占比以及融资买入量等多个数据指标构建融资融券投资者情绪指数CRISI。结合A股市场日交易数据,分析研究了融资融券市场中投资者情绪指数和股市收益率波动的相互作用。本文实证结果表明,融资融券投资者情绪指数对A股市场收益率存在正向作用,而A股市场收益率对投资者情绪的影响并不显著。此外,A股市场中股价的“异常涨跌”亦对投资者情绪影响不明显。实证结果反映出我国融资融券市场中投资者情绪与A股市场收益率之间存在一种单向的影响关系,为我国股票市场投资者情绪调查机制与监控系统的建立和完善提供了依据。     

新会计准则、会计信息质量与股价同步性

本文以2004—2008年我国A股上市公司为样本,基于私有信息交易理论,分析会计信息质量如何影响股价同步性,以及新会计准则的改革如何影响了两者之间的相关性。结果发现,会计信息质量与股价同步性正相关,并且这种正相关性仅存在于负向盈余管理的情况,而在正向盈余管理的情况中两者之间的正相关性不明显,这与我国股票市场的卖空限制有关。同时,2007年新会计准则质量的提高显著减弱了会计信息质量与股价同步性之间的正相关关系。本文不但丰富了会计信息质量和股价同步性的相关文献,而且对我国资本市场加强会计准则改革和会计信息监管具有一定的参考价值。     

地方官员更替、企业辖区知名度与股价同步性

以2009～2013年我国A股上市公司为研究样本,实证分析地方官员更替、辖区企业知名度与股价同步性的关系,结果表明:地市级政府官员变更所带来的政治不确定性会显著降低辖区企业的股价同步性,并且相对于新任官员来源于本地而言,新任官员来源于异地更能够显著地降低辖区内企业的股价同步性.进一步研究还发现,当地市级政府官员发生变更时,相对于辖区知名度较高的企业而言,辖区知名度较低的企业会披露更多的企业私有信息以应对政治不确定性风险,从而其股价同步性有了更大程度的降低.研究的结论证实了政治不确定风险的增加能够显著降低辖区内企业的股价同步性,客观上有助于提高股价的信息含量.     

Does preventive regulation reduce stock price synchronicity? Evidence from Chinese annual report comment letters

Based on a sample of Chinese A-share listed firms from 2015 to 2018, this paper studies the impact of annual report comment letters (ARCLs) on firm stock price synchronicity. We find that after firms receive ARCLs, their stock price synchronicity decreases. Moreover, the longer the ARCLs and the more negative the ARCLs’ tone, the lower the resulting stock price synchronicity. The mechanism test shows that after firms receive ARCLs, the firms’ information disclosure increases in quantity and quality, external media attention increases, and the firms’ governance improves, reducing their stock price synchronicity. Further research shows that this negative association is more significant in firms with higher information asymmetry. This paper shows that the ARCL, an innovative application of the capital market supervision philosophy, is conducive to improving the quality of listed firms and to the healthy development of the capital market.     

Media coverage and stock price synchronicity

This paper investigates the relation between the extent of media coverage and stock price synchronicity and whether this relation varies across different institutional infrastructures. We document three notable findings. First, media coverage is negatively associated with stock price synchronicity, suggesting that the media facilitates the incorporation of firm-specific information into stock prices. Second, a firm's information environment and corporate governance play a moderating role in the relation between media coverage and the synchronicity of stock prices. Third, the synchronicity-reducing effect of media coverage is stronger in countries with weak institutional infrastructures. Overall, our study suggests that media coverage is an important determinant of stock price synchronicity.     

Stock price synchronicity,cognitive biases,and momentum

The momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with high stock price synchronicity, a manifestation of noisy firm-specific information. Our results demonstrate that momentum is more pronounced in the presence of high stock price synchronicity. This finding is robust to other explanations and firm characteristics. We also find that stock price synchronicity boosts the profitability of momentum by amplifying investor underreaction to new information.     

Rumors in the sky: Corporate rumors and stock price synchronicity

Using hand-collected rumor clarification announcements from Chinese listed firms to identify corporate rumors, we find that rumored firms have lower stock price synchronicity (R²) than do firms without rumors. Channel analyses reveal that rumors reduce stock price synchronicity through elevating investor sentiment rather than stimulating informed trading. Additionally, the negative association between corporate rumors and stock price synchronicity is more evident among firms with more individual investors and higher information opacity. Moreover, corporate rumors are associated with higher analyst forecast errors and forecast dispersion. Overall, our evidence suggests that corporate rumors reduce stock price synchronicity by increasing investor irrationality.     

政府补助准则修订降低了公司股价同步性吗?

以2017年政府补助准则修订为准自然实验,本文考察了准则修订对股价同步性的影响。研究发现,政府补助削弱了公司异质性信息的传递,提高了股价同步性,降低了信息效率;政府补助准则修订要求公司结合经济业务实质进行差别化会计处理,增强了公司异质性信息的传递,因而降低了政府补助与股价同步性之间的联系强度。通过横截面分析,发现在信息不对称程度更严重、受产业政策支持的公司样本中,准则修订能更好地发挥强化公司异质性信息传递的作用。研究表明,高质量的会计准则有助于提高资本市场信息效率。     

Stock price synchronicity and analyst coverage in emerging markets

This paper examines the relation between the stock price synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, we find that securities which are covered by more analysts incorporate greater (lesser) market-wide (firm-specific) information. Using the R² statistics of the market model as a measure of synchronicity of stock price movement, we find that greater analyst coverage increases stock price synchronicity. Furthermore, after controlling for the influence of firm size on the lead–lag relation, we find that the returns of high analyst-following portfolio lead returns of low analyst-following portfolio more than vice versa. We also find that the aggregate change in the earnings forecasts in a high analyst-following portfolio affects the aggregate returns of the portfolio itself as well as those of the low analyst-following portfolio, whereas the aggregate change in the earnings forecasts of the low analyst-following portfolio have no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price synchronicity is reduced.     

政治关系、制度环境与股票价格的信息含量——来自我国民营上市公司股价同步性的经验证据

以2004～2007年间所有的民营A股上市公司为样本,本文对政治关系与股票价格的信息含量(以公司的股价同步性衡量)之间的关系进行了实证检验。检验结果发现,与没有政治关系的公司相比,有政治关系的公司的股票价格同步性显著较高。并且,政治关系与股票价格同步性之间的正相关关系只在市场化程度较低、政府干预较多以及法制水平较差的地区存在。进一步区分政治关系的类型发现,代表委员类政治关系显著提高了公司的股价同步性,而政府官员类政治关系对股价同步性的影响则不显著。     

Institutional investor horizon and stock price synchronicity: Do product market competition and analyst coverage matter?

This paper provides new insights into the relation between institutional investment horizon and stock price synchronicity and investigates whether this relationship depends on the intensity of product market competition and analyst coverage. Based on a sample of French listed companies, we find that long-term (short-term) institutional investors are associated with lower (higher) stock price synchronicity. The results also show that the negative effect of long-term institutional investors is more accentuated for firms in less competitive markets and with high analyst coverage. An additional analysis shows that the synchronicity reduction effect does not vary during the financial crisis. Overall, these findings suggest that unlike their short-term counterparts, long term investors reduce asymmetric information and help disseminate firm-specific information into stock prices.