企业价值信息披露对投资者交易行为影响研究

The Effects of the Corporate Value Information Disclosure on Investor Trading Behavior in Chinese Listed Companies

上市公司价值信息作为综合性的信息,其披露会对投资者交易行为产生一定影响。本文以投资者交易行为为研究视角,以深市上市公司为研究样本,分别研究了价值信息披露数量和质量对该股票买卖价差、交易量、交易额、换手率及收益波动率的影响。研究结果表明,我国上市公司价值信息披露水平对投资者交易行为有一定的影响,公司价值信息披露水平越高,该公司股票的买卖价差越低,股票的交易量、交易额及换手率越大;公司价值信息披露质量越高,该公司股票收益波动率就越低。因此,提高信息披露数量和质量,及加大对违规价值信息披露的处罚,对保护投资者利益有积极作用。

Since AICPA published a comprehensive reporting about Improving Business Reporting A Customer Focus in 1995, PrieewaterhouseCoopers accounting firm has actively initiated the implementation of the report of enterprise value in 1997, and recently scholars and practitioners have begun to pay attention to how to disclose the information of enterprise value. From the current researches around the world, most of the scholars studied the key issues about what the enterprise value information is disclosed, and when and how to disclose the value information. A few scholars also studied the economic consequence of the information disclosure on a certain part of the enterprise value information （corporate social responsibility information, core competencies, internal control information, etc. ） which was including the enterprise value, business performance, and market reaction. Seldom schol ars integrated the enterprise value information and studied the impact of the quantity and quality of the enterprise value information in investors trading behavior. There are comprehensive attributes about the enterprise value information which has some impacts in investor trading behavior. Therefore, using the data of China＇s listed companies in Shenzhen from the view of investor trading behavior, this paper examined the effects of quantity and quality of corporate value information disclosure on bid-ask spread, trading volume, trading sum and turnover and volatility of stock returns. It is found that the higher the level of corporate value information disclosure is, the lower the bid-ask spread is, and the higher the trading volume, trading sum and turnover are. Additionally, the quality of corporate value information disclosure is higher, and the volatility of stock returns is lower. Therefore, there are positive effects to protect investors＇ behalf by increasing the quantity and quality of corporate value information disclosure and punishing illegal value information disclosure. Firstly, the information disclosure of the listed companies should be standardized and a unified specifi- cation should be developed. At present, although the cial and non-financial information, and historical and listed companies disclose a lot of information including finanpredictive information, there are no uniform criteria in classification. For example, company＇s financial reports include the information of internal control and social responsibility, but the company often will separately disclose such information, which results in duplication of information disclosure. A unified specification about information disclosure helps users save the cost of gathering information. Secondly, the quality of information disclosure should be improved in Chinese listed companies. Currently there are problems exiting in the information quality including no third-party intermediaries participating in the evaluation and no evaluation of the information disclosure of listed companies in the Shanghai Stock Exchange. These will result in the incomparability about the quality of information of listed companies. Therefore, China should encourage all listed companies to be involved in quality assessment, and should develop the intermediary institutions, or expand the business scope of intermediaries. Finally, Regulatory authorities and intermediaries should also strengthen the supervision of the disclosure of value information, which can prevent false disclosure of listed companies to damage the interests of medium and small investors and to disturb the market order. This study contributes to the growing literature on the disclosure of enterprise value information and investor trading behavior. Firstly, we construct the disclosure index of enterprise value information from two dimensions in- cluding the quantity and quality of information disclosure. The index comprehensively reflects the enterprise value information including the company＇s past financial performance and the future value of non-financial information. In addition, this paper studies the economic consequences of the quantity and quality of information disclosure from the perspective of investors＇ trade which supply the research about the economic consequences of the quantity and quality of enterprise value information.