证券市场中私人信息与资本成本的关联性

The Relationship of Private Information and the Cost of Capital in Securities Market

通过一个理性预期均衡模型,证明了证券市场中私人信息有助于降低上市公司的资本成本。这是因为,私人信息可以直接降低知情投资者的预测风险,或者借助均衡价格的信息揭示作用,间接降低不知情投资者的预测风险。这种间接影响的存在,意味着均衡价格的信息揭示效率的提高,也有助于降低投资者的预测风险。所以,监管机构可以通过提升交易过程的透明度,在维护公平的前提下,降低证券市场的融资成本。同时,对沪深股市502家上市公司的实证分析也表明,证券分析师盈余预测的变异系数越高,资本成本越低。因此,我国证券市场中的私人信息具有显著的资产定价效应。

Through a rational expectation equilibrium model, the paper demonstrates that private information may reduce the cost of capital. Because private information may reduce estimation risks of informed investors directly, or may reduce estimation risks of uninformed investors indirectly by price＇s function of revealing information. The indirect effect suggests that improving price＇s efficiency of revealing information may also reduce estimation risks. Thus regulator can reduce financing cost of securities market by upgrading trade transparency without fair hurted. Additionally empirical study on 502 firms in China＇s stock market shows that the higher coefficient of variance of earnings forecast is, the lower the cost of capital is. Hence asset pricing effects of private information do exist in China＇s mcurities market.