信息透明度与散户的交易选择——基于深圳交易所上市公司的实证研究

股市的风险往往归因于散户的交易,大力发展机构投资者成为提高市场效率的不可挑战的信条。透过微结构数据的分析,本文发现散户交易存在过度自信特征,可能过度高估私有信息精确度,导致错误定价信息。分离了过度自信的因素后,本文发现信息透明度为散户交易的重要依据。更为重要的是本文发现,相对于散户而言,信息透明度对机构投资者交易的影响较低,说明了信息透明度对处于信息劣势的投资者具有更重要的现实意义。

Information Transparency and Individual Investor Trading

This study shows that individual investors invest in firms with more transparent financial disclosures after controlling the characteristics of overconfidence.The results further indicate that these relations are less pronounced for overconfident investors,and that individual investors appear to place a greater weighting on such financial disclosure attributes relative to institutional investors.This study contributes to the literature by providing evidence suggesting that the transparency of financial disclosures influences individual investors’ investment decisions but less influences relative to institutional investors.