二级市场信息不对称与公司现金持有——来自我国A股上市公司的经验证据

Information Asymmetry of the Secondary Market and Corporate Cash Holdings——Empirical Evidence of Chinese A-Share Listed Companies

本文以2007-2010年我国A股上市公司作为研究样本,从市场微观结构视角出发,运用LSB模型、VAR模型与PIN模型分别度量二级市场上的信息不对称程度,实证研究了其对公司现金持有水平及其持有价值的影响。研究表明,在信息不对称程度严重的情况下,投资者为了自身的股东利益,会使得公司倾向于持有较少的现金资产,进一步的研究发现,在不透明的市场环境下,公司持有的现金资产也会获得较低的市场定价,反之则反是。

Based on a sample of Chinese A- share listed companies during 2007 to 2010,from the perspective of market microstructure,this paper uses LSB models,VAR models and PIN models to measure the degree of information asymmetry on the secondary market,and empirically researches their impact on the level of cash holdings and value of cash holding.The results show that,in the case of serious degree of information asymmetry,investors for their own shareholders would make the companies tend to hold less cash assets.A further study finds that,in the opaque market environment,cash assets held by the company will receive a lower market price.Otherwise the results are opposite.