公平披露规则对证券市场信息不对称的影响

Impact of Regulation Fair Disclosure on Information Asymmetry of Stock Market

本文以深圳成份股为样本,研究公平披露规则(RFD)对证券市场信息不对称的影响。通过计算逆向选择成本,并将其与收盘价、换手率等流动性指标进行回归,同时考虑到盈余公告日效应、周末效应等,发现RFD实施后逆向选择成本显著减少,说明规则有利于证券市场信息不对称的减少。本文结果还显示,实施RFD后,前盈余窗口的信息性交易比非盈余窗口的要大,后盈余窗口的逆向选择成本比非盈余窗口的要大;而在此之前,后盈余窗口的信息性交易与非盈余窗口相比要么不变,要么是减少的,从而进一步支持了前述结论。以此为基础,本文提出了完善RFD的若干建议。

This article studies the impact of Regulation Fair Disclosure （RFD） on information asymmetry of the stock market, taking constituent stocks in Shenzhen Securities Exchange as a sample. It calculates the adverse selection cost, regresses it with liquidity indicators such as the closing price and turnover rate, and takes into account the effect of the earnings announcement, the weekend effect. Results show that the implementation of RFD significantly reduces the adverse selection cost, indicating that the regulation is conducive to the reduction of asymmetric information of stock market. Meanwhile, the empirical results also show that： 1） there is more informed trading during the pre earnings announcement period compared to non-announcement period, there is more informed trading during the post earnings announcement period compared to non--announcement period; 2） in the pre RFD period, there is either no change or a decline in informed trading during the post earnings announcement period compared to non-announcement period, which support the conclusion furthermore. Based on the above findings, this article proposes some policy suggestions to improve the RFD.