股价同步性:富于还是缺乏信息含量?——以定向增发为例

Stock Price Synchronicity: Abound in or Lack of Information Content?——An Example from Private Placement

股票价格的同步波动性与信息含量的关系存在争议。本文以定向增发折价程度为信息不对称变量,利用2006-2014年定向增发的A股上市公司相关数据,分析股票价格的同向波动与信息不对称程度之间的关系。结果发现:定向增发抑价与股价同步性负相关,表明我国的股价同步性具有信息含量。进一步的分析显示,分析师能够降低信息不对称程度,降低股价同步性对定向增发抑价的影响;定向增发对象对定向增发抑价及定向增发抑价与股价同步性关系的影响均不大。

The relationship between the synchronous volatility of stock price and the information content is controversial.This paper takes A-share listed companies with private placement in 2006-2014 as samples,and takes degree of discount of private placement as asymmetric information measure to study the relationship between the same fluctuation of stock price and the degree of information asymmetry,finding negative correlation exists between private placement underpricing and stock price synchronicity,which shows that stock price synchronicity in China has information content. Further analysis shows that analysts can reduce the degree of information asymmetry and reduce the impact of stock price synchronicity on private placement underpricing; the influence of the object of private placement to the relationship of private placement discount and stock price synchronicity is limited.