股权结构和信息非对称:中国股市的经验证据

本文首先采用1分钟的高频数据和MRR(Madhavan,Richardson＆Roomans,1997)模型测算出沪深股市的信息非对称程度;然后引入上市公司的股权结构因素,实证分析了股权结构对市场信息非对称程度的影响.研究结果表明:内部人持股比例、流通股比例、股价及成交量与信息非对称程度呈正相关关系;机构持股比例、股权集中度、管理层持股比例及股权转让比例与信息非对称程度呈负相关关系.文章在实证研究的基础上,提出了相关政策建议.     

Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans

I empirically explore the syndicated loan market, with an emphasis on how information asymmetry between lenders and borrowers influences syndicate structure and on which lenders become syndicate members. Consistent with moral hazard in monitoring, the lead bank retains a larger share of the loan and forms a more concentrated syndicate when the borrower requires more intense monitoring and due diligence. When information asymmetry between the borrower and lenders is potentially severe, participant lenders are closer to the borrower, both geographically and in terms of previous lending relationships. Lead bank and borrower reputation mitigates, but does not eliminate information asymmetry problems.     

Information Asymmetry and Earnings Management: Some Evidence

This paper conducts an empirical investigation of the relationship between information asymmetry and earnings management predicted by Dye (1988) and Trueman and Titman (1988). When information asymmetry is high, stakeholders do not have sufficient resources, incentives, or access to relevant information to monitor manager's actions, which gives rise to the practice of earnings management (Schipper, 1989; Warfield et al., 1995). Empirical results suggest a systematic relationship between the magnitude of information asymmetry and the level of earnings management in two different settings.     

Momentum Profitability and Market Trend: Evidence from REITs

This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.

The Effect of Legal Environment and Regulatory Structure on Performance: Cross-Country Evidence from REITs

The Journal of Real Estate Finance and Economics - We study the relationship between international REIT regulatory structures and real estate returns and find that the legal requirements that REITs...     

Concentrated Ownership, No Dividend Payout Requirement and Capital Structure of REITs: Evidence from Turkey

This paper studies empirically the capital structure of Turkish REITs as they offer unique and so far untested angles. They do not have to pay out dividends, yet enjoy the exemption from paying corporate taxes since their legal foundation in 1998. Several financial meltdowns occurred in the last three decades, keeping investors with a doubt about Turkey??s financial and political stability. The last meltdown in 2001 is part of the sample period. Findings show that Turkish REITs employ little long-term debt in their capital structure. The legal requirement that a leader entrepreneur be present with a minimum equity position of 25% introduces the agency problem between the majority and minority owners. The leader entrepreneurs, as non-taxable institutional investors, appear to dictate Turkish REITs?? dividend and debt policies and deplete REITs?? dividends, causing them to go to the long-term debt market. The financial meltdown of 2001 exerts negative short-term and positive long-term influence on the debt ratios while inflation??s effect is negative. Firm size, REITs?? engagement in development and stock market development influence debt ratios positively; tangibility and a few firm, ownership, and country-specific determinants appear to have either mixed or no influence on Turkish REITs?? debt policies.     

Information Asymmetry and Corporate Liquidity Management: Evidence from Real Estate Investment Trusts

We examine the impact of information asymmetry on a firm??s choice between cash and credit lines for corporate liquidity management using a panel data set from real estate investment trusts (REITs). Information asymmetry, as measured by analyst forecast error and dispersion, is negatively related to the use of lines of credit. Specifically, firms with more severe information asymmetry are less likely to have access to bank credit lines. Concurrently, more transparent firms are more likely to utilize bank credit lines as opposed to cash for liquidity management. The results are robust to alternative information asymmetry proxies and specifications. These findings suggest that information asymmetry plays an important role in corporate liquidity management.     

Voluntary Disclosure and Information Asymmetry: Evidence from the 2005 Securities Offering Reform

In 2005, the Securities and Exchange Commission enacted the Securities Offering Reform (Reform), which relaxes “gun‐jumping” restrictions, thereby allowing firms to more freely disclose information before equity offerings. We examine the effect of the Reform on voluntary disclosure behavior before equity offerings and the associated economic consequences. We find that firms provide significantly more preoffering disclosures after the Reform. Further, we find that these preoffering disclosures are associated with a decrease in information asymmetry and a reduction in the cost of raising equity capital. Our findings not only inform the debate on the market effect of the Reform, but also speak to the literature on the relation between voluntary disclosure and information asymmetry by examining the effect of quasi‐exogenous changes in voluntary disclosure on information asymmetry, and thus a firm's cost of capital.     

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount

We examine the effect of information asymmetry on equity prices in the local A‐ and foreign B‐share market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross‐sectional variation in B‐share discounts, even after controlling for other factors. On a univariate basis, the price impact measure and the adverse selection component of the bid‐ask spread in the A‐ and B‐share markets explains 44% and 46% of the variation in B‐share discounts. On a multivariate basis, both measures are far more statistically significant than any of the control variables.     

Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs

Many studies have hypothesized that the turn-of-the-month effect is caused by institutional investment. However, there is little evidence to support this hypothesis. This study provides an empirical test that measures the impact of the level of institutional investment on the turn-of-the-month effect using a sample of REITs over the period 1980 to 2004. We find that a significant change in the turn-of-the-month effect occurred following the Omnibus Reconciliation Act of 1993 which relaxed the requirements on the level of institutional investment in REITs. The evidence suggests that the dramatic rise in institutional holdings can account for a good part of this change. However, the impact of institutional investment may not be as large as some researchers have suspected. There is no evidence to suggest that institutional investment impacts returns on the day when the turn-of-the-month effect is most pronounced, suggesting that this calendar anomaly is not caused exclusively by institutional investors in the market.

承销商声誉、信息不对称和新股抑价:基于板块的新发现

我们采用2004年到201 1年上市的1,025个新股样本检验了承销商声誉和新股抑价程度之间的联系.我们发现,虽然新股抑价程度和承销商声誉表面上存在负相关,但是一旦控制了和板块相关、和年份相关的固定效应以后,这一负相关的显著性明显减弱甚至消失.我们还发现,主板新股抑价程度随着承销商声誉的提高而增加,中小板和创业板新股抑价程度则随着承销商声誉的提高而降低.对于相同的承销商声誉,中小板新股抑价程度的降低幅度似乎要大于创业板新股.我们认为这些结果和承销商声誉假说是不一致的,承销商没有起到降低信息不对称成本的作用.     

Bid-Ask Spreads,Information Asymmetry,and Abnormal Investor Sentiment: Evidence from Closed-End Funds

Using a sample of closed-end equity funds listed on the NYSE from 1994 to 1999, we investigate differences in spreads and adverse selection costs between the closed-end funds and a matched sample of common stocks. We find that spreads and adverse selection costs for the closed-end funds are significantly lower than those of control stocks. The results are consistent for the subperiods both before and after the minimum tick size change on NYSE on June 24, 1997. The differences of spreads and adverse selection costs cannot be attributed to the differences in the characteristics of the closed-end funds and the matched sample of common stocks. Lastly, we find that abnormal investor sentiment and adverse selection costs of closed-end funds are positively correlated over time.     

Daily Stock Trading by Investor Type and Information Asymmetry: Evidence from the Korean Market

We examine the influence of trading by heterogeneous investors on information asymmetry in the Korean stock market, which includes domestic and foreign institutional investors and individual investors. In particular, we examine the relationship between the daily trading volume and the level of information asymmetry reflected in the stock price. The results reveal that high-volume daily trading by domestic institutional and individual investors increases the degree of information asymmetry in the short term, but is more evident for individual investors. Foreign institutional investors tend to mitigate the information asymmetry. Finally, our findings are robust to an alternative measure of investor trading.     

Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly: Insights from REITs

This is the first study to examine the post-earnings-announcement drift anomaly in a Real Estate Investment Trust (REIT) context. The efficient markets hypothesis suggests that unexpected earnings should be fully incorporated into asset prices soon after being publicly announced. We hypothesize that publicly announced earnings signals may be more certain for REITs due to the presence of a parallel (private) asset market, suggesting less drift for REIT stocks. However, we find a large REIT drift component that is both statistically and economically significant. Furthermore, while the initial earnings surprise response is more muted for REITs, we find that the magnitude of the drift is significantly larger for REITs than for ordinary common stocks (NonREITs). Thus, information does not appear to move between the private and public asset markets in such a way as to render REIT earnings signals more certain than NonREIT earnings signals.     

Information Asymmetry and the Bid‐Ask Spread: Evidence From the UK

Abstract:   The generally accepted factors that determine the bid‐ask spread are volatility, trading volume and market value ( Atkins and Dyl, 1997 ; Glosten and Harris, 1988 ; and Menyah and Paudyal, 2000 ). Following Kim and Verrecchia (1994) we include a measure of the disagreement in analysts' earnings forecasts in our model of the bid ask spread. This measure serves as a proxy for the informational disadvantage of market makers with respect to informed traders. Market makers respond to the additional risk by increasing the bid‐ask spread. We find that the disagreement amongst analysts is significant for horizons up to and including six months (and with the hypothesised sign) in explaining FTSE 100 company spreads, rendering strong empirical support for our model.     

Organizational Structure and Performance: Evidence From the Nonlife Insurance Industry in Japan

This study examines the impact of organizational structure on firm performance, incentive problems, and financial decisions in the Japanese nonlife (property‐casualty) insurance industry. Stock companies that belong to one of six horizontal keiretsu groups have lower expenses and lower levels of free cash flow than independent stock and mutual insurance companies. Keiretsu insurers also have higher profitability and higher loss ratios than independent insurers. With a limited sample size, there is some evidence that mutual insurers have higher levels of free cash flows, higher investment incomes, and lower financial leverage than their stock counterparts. Overall, empirical evidence suggests that each structure has its own comparative advantage.     

Organizational complexity and CEO labor markets: Evidence from diversified firms

We examine whether CEO turnover and succession patterns vary with firm complexity. Specifically, we compare CEO turnover in diversified versus focused firms. We find that CEO turnover in diversified firms is completely insensitive to both accounting and stock-price performance, but CEO turnover in focused firms is sensitive to firm performance. Diversified firms also experience less forced turnover than focused firms. Following turnover, replacement CEOs in diversified firms are older, more educated, and are paid more when hired. Collectively, our results indicate that the labor market for CEOs is different across diversified and focused firms and that firm complexity and scope affect CEO succession.     

Information,Ownership Structure,and Shareholder Voting: Evidence from Shareholder-Sponsored Corporate Governance Proposals

This paper examines how information and ownership structure affect voting outcomes on shareholder-sponsored proposals to change corporate governance structure. We find that the outcomes of votes vary systematically with the governance and performance records of target firms, the identity of proposal sponsors, and the type of proposal. We also find that outcomes vary significantly as a function of ownership by insiders, institutions, outside blockholders, ESOPs, and outside directors who are blockholders. These results suggest that both public information and ownership structure have a significant influence on voting outcomes.     

Information Asymmetry,Trade Size,and the Dynamic Volume‐Return Relation: Evidence from the Australian Securities Exchange

This paper investigates the influence of information asymmetry on the cross‐sectional variation of volume‐return relation. We find that the dynamic volume‐return relation within medium‐size trades has the most significant response to the degree of information asymmetry. We also show that the effect of information asymmetry on the volume‐return dynamics migrates to small‐size trades in recent years, especially in larger stocks. These results are consistent with the notion that informed traders prefer medium‐size trades and this preference has shifted to small‐size trades. Our findings highlight the importance of incorporating informed traders’ trade‐size decision in the examination of the dynamic volume‐return relation.