配股公告的“知情效应”和“认同效应”研究——来自股价和交易量双重测度的市场证据

A Study On Informedness Effect and Consensus Effect in Announcements of Rights Offerings—— Empirical Evidence from Combined Measurement of Price and Trading Volume

本文依据Holthausen和Verrecchia(1990)的研究,假设在信忠传递过程中同时存在"知情效应"和"认同效应"两种信息效应,并以1996—2002年沪市发生的381起配股事件为研究样本,通过考察配股公告期和除权期内股价和交易量的变化对配股公告的"知情效应"和"认同效应"进行了实证研究。结果表明:(1)配股公告具有一定的信息含量,并向市场传递了负面的信息,造成了股价的下跌和交易量的放大;(2)除权期内的价格和交易量反应与公告期显著不同;(3)配股公告后股价变动的方差和交易量同时增加,说明在配股公告的信息传递过程中是"知情效应"占先,"认同效应"并不明显,这一结论从一个新的角度揭示了我国证券市场信息披露制度的不完善。

Based on the study of Holthausen and Verrecchia（1990）, this paper supposes that there exit informedness effect and consensus effect jointly when information is disseminated. By studying 381 rights offerings issues on the Shanghai Stock Exchange from 1996 to 2002, this study examines informedness effect and consensus effect in the announcements of rights offerings through investigating the changes of stock price and trading volume in the announcement period and the ex-rights period of rights offerings. The empirical results show that： （1） rights offerings announcement does contain some negative information and induces that price falls and trading vol- ume increases; （2） the price and trading volume reactions surrounding the ex-rights dates have different patterns from those surrounding the announcements dates; （3） the evidence of the variance of price change and trading volume both increasing after the announcement shows that informedness effect dominates consensus during the process of information dissemination and this conclusion reveals that the information disclosure mechanism is inadequately perfect in the capital market in China from a new point of view.