基于面板数据的我国知情交易与股价信息含量研究被引量：1

Research on Probability of Informed Trading and Information Content of Stock Price Based on the Panel Data Model

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摘要知情交易概率是指知情交易委托单占总交易委托单的比重,用于度量我国知情交易强度。R2代表公司回报率能被市场回报率解释的程度,R2越大,股价信息含量越低。在以往的研究基础上,利用面板数据来考察知情交易概率与股价信息含量的关系,发现知情交易概率越低,R2越高,股价信息含量越低。在控制了流动性与部分公司财务指标后,实证结果依然显示我国股价信息含量与知情交易概率存在正相关关系,说明我国知情交易者进行交易时,更有利于公司特质信息进入股票价格。 The probability of informed trading is used to measure the intensity of informed trading. R2 means to what extent the firm-level stock returen can be explained by market return. The larger R2 is, the lower information content of stock price is. After control companies＂ liquidity and some financial indicators, empirical analysis shows that information content of stock price is positively related to probability of informed trading, which means the informed traders primarily facilitate the incorporation of firm specific information into stock prices.

作者彭益刘自城

机构地区湖南大学金融与统计学院

出处《财经理论与实践》 CSSCI 北大核心 2012年第2期43-47,共5页 The Theory and Practice of Finance and Economics

关键词知情交易概率股价信息含量公司特质信息 Probability of informed trading Information content of stock price Firm specificinformation

分类号 F830.91 [经济管理—金融学]

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