股票市场上好消息和坏消息对股票波动率水平的非对称影响早已引起学术界的关注,笔者侧重从公司管理层策略性信息发布的角度研究股票波动的非对称性,并用国内数据进行了实证回归。公司管理者由于受到各类契约的约束,倾向于公布正面信息,隐瞒负面信息,从而导致负面信息相对于正面信息而言,难以得到快速有效的确认,致使市场投资者产生分歧,增大了股票波动的非对称性。由于管理层的信息发布策略难以观测,笔者以盈余管理水平作为信息发布策略的代理指标。其中,较高的盈余管理水平对应更为严重的信息发布倾向性。通过实证,得到如下结果:较高水平的盈余管理对应着更显著的股票波动非对称性;企业信息披露监管政策出台后,股票波动非对称性有所下降;信息监管制度的出台削弱了盈余管理对股票波动非对称性的影响。
Abstract
The asymmetry stock volatility caused by good news and bad news has attracted scholars' attention.We investigate the asymmetry of stock volatility in Chinese stock market from the perspective of strategic information revelation by managers.Managers tend to reveal positive news immediately and hide or postpone the announcement of negative news.Such strategic information revelation will misguide investors and lead to the asymmetry of stock volatility.As strategic information revelation is unobservable, we construct an index of earning management as its proxy variable.Higher level of earning management corresponds to higher level of strategic information revelation.The empirical results show that: higher level of earning management is associated with greater asymmetry of stock volatility; the level of asymmetry of stock volatility is reduced after information disclosure regulations released; the impact of earning management on the level of stock volatility asymmetry is reduced after information disclosure regulations released.
关键词
股价波动非对称性 /
盈余管理 /
策略性信息发布 /
信息披露监管
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Key words
Asymmetry of stock volatility /
Earning management /
Strategic information revelation /
Information disclosure regulations
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中图分类号：
F830.9
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脚注
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基金
中国人民大学科学研究基金项目预研委托项目之团队培育计划“城乡间资金流动、普惠性金融创新与城乡发展一体化研究”(项目编号:14XNQ017)。
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