中国上市公司会计信息质量与股价信息含量关系实证检验

Empirical Research on the Correlation between Accounting Information Quality and Stock Price Informativeness in Chinese Listed Companies

虽然Jin和Myers(2006)基于国家层面实证分析了会计信息质量与股价信息含量的关系,但是一直缺乏一国内部即公司层面证据支持。本文以2004-2006年的中国上市公司为研究样本,依据股价波动非同步性指标来度量股价信息含量,从公司层面考察会计信息质量对股价信息含量的影响。实证结果表明:会计信息质量与股价信息含量显著正相关,因此高水平信息披露政策能有效增加上市公司股价信息含量。这一实证结果进一步支持了Jin和Myers(2006)的股价信息含量差异决定于会计信息披露水平的研究结论。

Although Jin and Myers(2006)empirically studied the correlation between accounting information quality and stock price informativeness based on country level,there are few empirical results to support it based on corporate level within one country.By the use of stock price non-synchronicity as the measurement of stock price informativeness, the paper,taking Chinese listed companies from 2004 to 2006 as the research sample,studies the effect of accounting information quality on stock price informativeness.The empirical results indicate:there is a significantly positive correlation between accounting information quality and stock price informativeness,so a higher level of disclosure policy contributes to higher stock price informativeness.Consequently,it provides further empirical support for the argument of Jin and Myers(2006)that stock price informativeness difference is determined by accounting information disclosure level.