上市公司信息披露质量的投资价值分析——基于深圳证券市场的相关数据

Analysis on the Investment Value of the Information Disclosure Quality of Listed Companies——Empirical Evidence from Shenzhen Stock Market

利用深圳证券交易所对深市上市公司的信息披露考评数据,研究信息披露质量在股票投资中的作用。根据深交所的考评结果,将深市A股上市公司构造成高信息披露质量投资组合和低信息披露质量投资组合。利用Fama-French alpha来代表超额收益,结果发现:持有高信息披露质量股票组合可以获得显著为正的超额收益,而持有低信息披露质量股票组合的超额收益在统计上是不显著的。

Based on the evaluation results of the quality of information disclosure for listed companies in Shenzhen Stock Exchange, the paper analyzes the role of these evaluation results in stock trading strategy. According to the evaluation results, the author constructs portfolios with high and low quality information disclosure respectively. Fama -French alpha is used to represent excess returns and the main findings are ： the Fama - French alpha for the portfolio with high quality information disclosure is significantly positive, while the Fama- French alpha for the portfolio with low quality information disclosure is not significant.