公司透明度与股价波动性

Transparency and Stock Return Volatility

本文分析和检验了企业层面的透明度对股价波动性的影响。使用A股上市公司数据,我们发现当前更高的盈余质量、更好的信息披露水平、更多的分析师跟踪、更准确的分析师盈余预测和国际四大审计,同未来更低的个股回报方差相联。采用工具变量回归,二者的负相关系依然存在。进一步研究发现,透明度同股价波动性的负相关关系在代理问题更为严重以及机构持股比例更高的样本组中表现更为明显。

This paper investigates whether firm-level transparency affects the stock return volatility. Using a sample of A-share listed firms, we document lower variance of market-adjusted returns are association with higher earnings quality, better information disclosure, more analyst following, more accurate analyst forecast, and higher quality auditors. Using a two stage least squares （2SLS） estimator, the negative relation between transparency and volatility still holds. Further study suggests that the relation between transparency and vola- tility is more pronounced when agency problems embedded in the ownership structures are more severe and when institutional ownership is higher.