金融发展、股票价格同步性与现金—现金流敏感度研究

Financial Development, Stock Price Synchronicity and Cash-Cash Flow Sensitivity

将股价同步性作为衡量信息不对称的重要指标,以2003-2006年我国上市企业为样本,研究发现在信息噪声普遍存在的我国股票市场中,股价同步性与上市公司现金—现金流敏感度呈显著负相关关系,而这一负相关关系在发达金融市场环境中表现得更为明显。研究表明,在控制了公司规模等因素后,股价包含更多的市场和行业信息,正向地反映了股价的信息吸收效率,股价同步性越高的企业面临的融资约束越小,而发达的金融发展环境有助于增进股价对市场和行业信息的吸收效率。

Utilizing stock price synchronicity as a measure of information asymmetry, based on 2003-2006 sample of listed firms, the paper finds with existence of information trading noise in stock trading, stock price synchronicity is negatively related with cash flow sensitivity of cash, which is more significant statistically for sample firms at financially developed regions. Research shows that when controlling the factor of company size, the stock price impounding more market and industry information relative to finn specific information is itself an efficient process and developed financial market contributes to impounding efficiency of market and industry information.