信息质量对市场价格发现机制的影响论析

Impact of information quality on market price discovery mechanism

公司公开披露信息的质量、投资者的信息解释能力和市场价格发现机制三者之间存在着重要关系。研究发现,提高披露信息质量,投资者的平均信息解释精度将提高,但专业投资者和非专业投资者之间信息解释精度的差距将变小;投资者信息解释能力对价格变动有影响,所有投资者的平均信息解释精度越高,价格变动越小;披露的信息越接近公司的真实价值,价格反映公开披露信息的效率越高;提高信息质量,专业投资者源自信息解释能力的信息优势将减少。

This paper explores the effect of information quality on market price discovery mechanism. It finds that both information quality in a public release and the information explanatory capability of investors affect the price discovery mechanism significantly. Specifically, the higher the information quality, the higher the average precision of information, but the smaller the difference of information precision between the professional and the non-professional. In addition, investors＇ information explanatory capability may exert some effects on the change of price the stronger the average information explanatory capability of all investor, the smaller the price change. The closer the information released is to the true value of a company, the better efficiency of the market price which reflects information in a release. The information advantage from professional investors＇information explanatory capability will be reduced as the information quality improves.