信息披露质量与资本市场估值偏误

Information Disclosure Quality and Misvaluation in Capital Market

资本市场估值偏误阻碍了证券市场的健康发展。信息不对称是导致上市公司市场价值长期偏离内在价值的根本原因,因此信息披露行为对资本市场估值偏误的影响值得研究。采用剩余收益模型(RIM)估计上市公司内在价值,在此基础上构建度量资本市场估值偏误的代理变量,并采用KV度量法从总体上考察上市公司信息披露质量,本文检验了信息披露行为对资本市场估值偏误的影响。本文研究发现上市公司市场价值对其内在价值的偏离程度与信息披露质量显著负相关;进一步的研究表明,信息披露修正资本市场估值偏误的主要途径,是降低市值高估公司的市场价值泡沫。

The deviation of market value from its intrinsic value of public firm will hinder healthy development of security market. Because information asymmetry is one of important reasons resulting in this deviation,it is valuable to explore how information disclosure influences this deviation. Based estimating the intrinsic values of Chinese listed companies by introducing residual income model( RIM),this paper defines two proxies those are used to measure the deviation of market values from their intrinsic values. Then this paper measures information disclosure quality of listed companies by means of KV method.After doing these,this paper examines how information disclosure affects the deviation of firm market value from its intrinsic value. We document that market values of firms with better information disclosure quality will deviate less from their intrinsic values. Better information disclosure quality will reduce the market value bubbles of firms overvalued by market so as to help market values of listed firms return their intrinsic values.