异质信念、财务报表质量与特质波动率——基于差分模型的研究

Heterogeneous Beliefs,Financial Reporting Quality and Idiosyncratic Volatility——A Research Based on Difference Model

由于卖空限制或信息风险,投资者异质信念会正向影响股票的特质波动率。财务报表作为上市公司向投资者传递财务信息的主要工具,有利于投资者对股票未来收益形成正确的预期。那么,财务报表质量的提高是否能减弱异质信念对特质波动率的影响呢?本文以沪深两市A股上市公司为研究对象,检验了财务报表质量对异质信念和特质波动率正相关关系的调节作用。研究发现,财务报表质量越高,异质信念对特质波动率的正向影响越小。

Heterogeneous beliefs is positively related to idiosyncratic volatility of stocks because of short-sale constraints or infor- mation risks. Financial reporting is a main instrument of publicly traded firms to transmit financial information to investors and it is in favor of investors to form consistent and correct expectation about future return of stock. In this spirit, is increasing of finan- cial reporting quality related to less positive relationship between heterogeneous beliefs and idiosyncratic volatility？ This paper fo- cus on the A share stocks of Shanghai and Shenzhen stock market and tests the interaction effects of financial reporting quality on the positive relationship between heterogeneous beliefs and idiosyncratic volatility. We find that the higher the financial reporting quality, the less positive the relationship between heterogeneous beliefs and idiosyncratic volatility is.