基于分析师盈余预测视角的信息披露评级与市场波动性

Information Disclosure Ratings and Market Volatility from Analyst Forecasts Perspective

笔者选取2007年~2014年深市A股上市公司为研究样本,采用深交所的信息披露评级,运用描述性统计、相关性分析及回归分析等方法研究了信息披露评级对市场波动性的影响。研究结果表明,上市公司信息披露评级越高市场波动性越小,其影响机理在于:信息披露评级越高分析师盈余预测准确性越高,进而降低了市场波动性。稳健性检验结果表明研究结论不变。基于此,提出完善市场质量及促进分析师行业健康发展等政策性建议。

This paper selects 2007 - 2014 Shenzhen-A-share listed companies as samples, takes the Shenzhen Stock Exchange website ＂credit file＂ to measure information disclosure rating, and uses descriptive statistics, correlation analysis and regression analysis meth- od to study the impact of the information disclosure rating on market volatility. The results show that the higher the information disclo- sure rating of listed companies, the smaller the market volatility, the impact mechanism being that ： the higher the rating of disclosure, the higher the analyst earnings forecast accuracy, thereby reducing the market volatility, l-obustness test results indicate conclusions are robust. Based on this, we put forward some suggestions to improve market quality and promote the healthy development of the ana- lysts industry and other policy recommendations.