中介机构信息有效性、投资策略与资源合理配置——以经济观察研究院“信任度指数”为例

本文研究中国证券市场民间分析机构信息的有效性、价值含量及其在证券市场资源配置中的作用。以经济观察研究院发布的“上市公司信任度指数”为研究对象,我们发现:信任度指数准确反映了公司的财务信息质量;该信息在投资决策中是有效的,利用其构建的对冲策略可以获得月平均2.7%的超额回报(年均32.4%)。我们的结果表明,如果投资者能够充分利用中介结构披露的信息,就可以从一定程度上缓解我国当前资本市场中的信息不对称问题,促进证券市场资源合理配置。

The Reliability of Rating Agency Information, Trading Strategy, and Resource Allocation

This paper investigates the reliability and value of the publicly-disclosured rating agency information on the China stock market.The "Corporate Credibility Index"(CCI)provided by Economic Observer Research Institute(EORI)in 2004 aims to reveal the financial information quality of Chinese A-share listed firms.Our results suggest that CCI accurately reflects firms' earnings quality.Further analyses show that the ranking information is valuable in building trading strategies:a hedge trading strategy taking a long position in the portfolio of firms with the highest ranks and a short position in the portfolio of firms with the lowest ranks can generate about 2.7% abnormal return per month(about 32.4% annually).Our results show that,if investors can efficiently use the information disclosed by rating agencies,then it can partly mitigate information asymmetry in the China capital market and improve resource allocation.