信息生态视角下上市公司信息环境研究
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摘要
上市公司信息环境是围绕公司层面信息而展开的各种信息交流和信息活动的集合，信息环境的完善程度直接影响着股价对其内在价值的反应。随着金融全球化的日益推进，信息流动速度越来越快。由于中国证券市场总体上仍处于发展阶段，上市公司在飞速发展的同时存在不少问题，而这些问题与信息环境息息相关。在此背景下，公司信息问题受到学界和业界的高度关注，但对此目前仍缺乏系统深入的研究。因此，本文拟对上市公司信息环境进行系统化研究。
信息生态理论为研究信息管理提供了新的视角。本文在信息生态视角下，沿着理论分析、实证研究、政策建议的路线，以沪深A股上市公司为研究对象，度量公司信息环境。并从信息生产、信息传递和信息消费的角度，分别对公司信息披露、传递与运用问题进行实证分析。
首先，本文界定上市公司信息环境的基本内涵，强调上市公司信息环境是以上市公司为主要信息源，探讨市场参与主体的各种信息行为，不仅包括其自身的信息披露行为，还包括信息中介的信息解读和传递行为以及投资者基于公司信息而进行的投资行为等。同时，系统梳理上市公司信息环境及其相关影响的基本理论。
其次，本文在归纳总结信息环境度量方法的基础上，以2002~2011年中国上市公司为样本，提出改进后的公司信息含量测度模型，对上市公司信息环境进行度量。并运用会计盈余指标，检验实证结果的有效性。
再次，本文依据信息生态理论，分别从信息披露、信息传递以及信息运用三方面，系统探讨上市公司信息环境过程中的信息活动及其引起的股价反应。在上市公司信息披露方面，结合熵权系数法，首次编制沪深上市公司信息披露质量评价指数。并利用上市公司在样本期的综合评价结果，描述沪深两市信息披露质量的整体和行业状况。实证研究结果表明，本文所编制的上市公司信息披露质量评价指数具有较好的解释能力，与现实情况基本吻合；在信息传递方面，重点讨论证券分析师的信息传递行为。具体考察分析师信息传递行为与公司信息间的关系、明星分析师传递行为与公司信息间的关系以及市场涨跌行情的影响。考虑到分析师与公司信息的内生性，提出基于工具变量的实证回归模型。实证结果表明，中国证券分析师传递的信息以市场信息为主，但明星证券分析师能提高股价中的公司信息含量。市场涨跌行情的研究证明，市场行情越好时证券分析师挖掘的公司信息越多；在信息运用研究方面，通过对个人投资者和机构投资者的行为特征进行对比分析，发现机构投资者在信息处理方面具有明显的优势。在此基础上，本文对机构投资者的持股行为进行实证研究。实证结果表明，机构投资者持股比例和持股数量的增加能增加上市公司的公司信息含量，对改善上市公司的信息环境具有积极的作用。此外，通过对机构投资者持股比例与股价崩盘风险间关系的研究发现，机构投资者积极监督者假说在中国证券市场并不成立。
最后，在上述实证研究基础上，本文系统阐述中国上市公司信息环境存在的问题，讨论成熟市场在上市公司信息环境建设实践过程中的成功经验与失败教训，并从提高上市公司信息披露质量、规范证券分析师行业发展、加强机构投资者队伍建设以及构建信息协同监管机制等多方面，为完善上市公司信息环境提出政策建议。
The information environment of listed company is a series of informationcommunication and activities based on firm-specific information. And companies’information environment has direct impact on the stock price reaction to its intrinsicvalue. Recently, with the deepening of financial globalization, the information flowsfaster and faster, and the listed company in the Chinese securities market experiencesrapid growth. However, there are still many problems, and these problems are closelyrelated with the information environment. Under this background, the academia andgovernment give more attention to firm-specific information, but there is still lack ofsystematic analysis. Therefore, it shows important theoretical innovation and realitysignificance that systematically analyzes the information environment of listedcompany.
Information ecology theory provides a new perspective for informationmanagement. This study starts with theoretical analysis, followed by empirical researchand then political suggestion. Based on reviewing the relative studies, this dissertationquantitatively researches on the information environment by A-share listed company,and explores information disclosure, transmission and utilization of firm-specificinformation from information ecology perspective.
(1) This dissertation defines the information environment of listed company, andespecially, emphasizes listed company is the main information sourse. The informationenvironment includes information disclosure of listed companies, informationtransmission of intermediaries and investment behavior of investors. Meanwhile, thisdissertation reviews the relative informational theory.
(2) Based on summarizing the measurement method, this dissertation proposes animproved model by using Chinese listed company data from2002to2011. And theeffectiveness of the model is also examined.
(3) This dissertation explores the information environment from three mainsections following information ecology theory. That is information disclosure,information transmission and information utilization. In the section of informationdisclosure, this dissertation calculates an information disclosure quality index withentropy weight coefficient method. And then the evaluation results are applied todescribe information disclosure quality of Chinese securities markets. The empirical result shows that the calculated index has better explanatory power. In the section ofinformation transmission, this dissertation focuses on analysts’ information behavior.And the relation between analyst coverage and the firm-specific information, staranalysts and the firm-specific information, and the impact of market trends are alsoexamined. Considering that the influences of analyst coverage on stock returnsynchronicity may be endogenous, this study also uses the instrumental variable toalleviate this concern. The empirical result indicates that analysts pay more attention onmarket-wide information, while star analysts coverage actually increase stock priceinformativeness. The findings from market trends, however, show that analysts increaseattention on firm-specific information in bull market. After previous procedure, theinformation utilization section is taken into consideration. In the section of informationutilization, this study finds that institutional investors have obvious advantages ininformation processing by comparative analysis with individual investors. And then thisdissertation investigates holdings of institutional investors. The empirical result showsthat institutional ownership and institutional number increase the firm-specificinformation, and have a positive effect on the information environment. However, therelation between institutional investors and crash risk also implicitly indicates the activemonitor hypothesis is not hold in the Chinese securities market.
(4) This study reviews core issues in the information environment of Chinese listedcompany, and discusses international experience. Meanwhile, the last context proposesthe political suggestion to improve the information environment from the aspects ofimproving information disclosure quality, regulating securities analysts, strengtheninginstitutional investors and developing information synergistic supervision mechanism,and so on.
信息生态理论为研究信息管理提供了新的视角。本文在信息生态视角下，沿着理论分析、实证研究、政策建议的路线，以沪深A股上市公司为研究对象，度量公司信息环境。并从信息生产、信息传递和信息消费的角度，分别对公司信息披露、传递与运用问题进行实证分析。
首先，本文界定上市公司信息环境的基本内涵，强调上市公司信息环境是以上市公司为主要信息源，探讨市场参与主体的各种信息行为，不仅包括其自身的信息披露行为，还包括信息中介的信息解读和传递行为以及投资者基于公司信息而进行的投资行为等。同时，系统梳理上市公司信息环境及其相关影响的基本理论。
其次，本文在归纳总结信息环境度量方法的基础上，以2002~2011年中国上市公司为样本，提出改进后的公司信息含量测度模型，对上市公司信息环境进行度量。并运用会计盈余指标，检验实证结果的有效性。
再次，本文依据信息生态理论，分别从信息披露、信息传递以及信息运用三方面，系统探讨上市公司信息环境过程中的信息活动及其引起的股价反应。在上市公司信息披露方面，结合熵权系数法，首次编制沪深上市公司信息披露质量评价指数。并利用上市公司在样本期的综合评价结果，描述沪深两市信息披露质量的整体和行业状况。实证研究结果表明，本文所编制的上市公司信息披露质量评价指数具有较好的解释能力，与现实情况基本吻合；在信息传递方面，重点讨论证券分析师的信息传递行为。具体考察分析师信息传递行为与公司信息间的关系、明星分析师传递行为与公司信息间的关系以及市场涨跌行情的影响。考虑到分析师与公司信息的内生性，提出基于工具变量的实证回归模型。实证结果表明，中国证券分析师传递的信息以市场信息为主，但明星证券分析师能提高股价中的公司信息含量。市场涨跌行情的研究证明，市场行情越好时证券分析师挖掘的公司信息越多；在信息运用研究方面，通过对个人投资者和机构投资者的行为特征进行对比分析，发现机构投资者在信息处理方面具有明显的优势。在此基础上，本文对机构投资者的持股行为进行实证研究。实证结果表明，机构投资者持股比例和持股数量的增加能增加上市公司的公司信息含量，对改善上市公司的信息环境具有积极的作用。此外，通过对机构投资者持股比例与股价崩盘风险间关系的研究发现，机构投资者积极监督者假说在中国证券市场并不成立。
最后，在上述实证研究基础上，本文系统阐述中国上市公司信息环境存在的问题，讨论成熟市场在上市公司信息环境建设实践过程中的成功经验与失败教训，并从提高上市公司信息披露质量、规范证券分析师行业发展、加强机构投资者队伍建设以及构建信息协同监管机制等多方面，为完善上市公司信息环境提出政策建议。
The information environment of listed company is a series of informationcommunication and activities based on firm-specific information. And companies’information environment has direct impact on the stock price reaction to its intrinsicvalue. Recently, with the deepening of financial globalization, the information flowsfaster and faster, and the listed company in the Chinese securities market experiencesrapid growth. However, there are still many problems, and these problems are closelyrelated with the information environment. Under this background, the academia andgovernment give more attention to firm-specific information, but there is still lack ofsystematic analysis. Therefore, it shows important theoretical innovation and realitysignificance that systematically analyzes the information environment of listedcompany.
Information ecology theory provides a new perspective for informationmanagement. This study starts with theoretical analysis, followed by empirical researchand then political suggestion. Based on reviewing the relative studies, this dissertationquantitatively researches on the information environment by A-share listed company,and explores information disclosure, transmission and utilization of firm-specificinformation from information ecology perspective.
(1) This dissertation defines the information environment of listed company, andespecially, emphasizes listed company is the main information sourse. The informationenvironment includes information disclosure of listed companies, informationtransmission of intermediaries and investment behavior of investors. Meanwhile, thisdissertation reviews the relative informational theory.
(2) Based on summarizing the measurement method, this dissertation proposes animproved model by using Chinese listed company data from2002to2011. And theeffectiveness of the model is also examined.
(3) This dissertation explores the information environment from three mainsections following information ecology theory. That is information disclosure,information transmission and information utilization. In the section of informationdisclosure, this dissertation calculates an information disclosure quality index withentropy weight coefficient method. And then the evaluation results are applied todescribe information disclosure quality of Chinese securities markets. The empirical result shows that the calculated index has better explanatory power. In the section ofinformation transmission, this dissertation focuses on analysts’ information behavior.And the relation between analyst coverage and the firm-specific information, staranalysts and the firm-specific information, and the impact of market trends are alsoexamined. Considering that the influences of analyst coverage on stock returnsynchronicity may be endogenous, this study also uses the instrumental variable toalleviate this concern. The empirical result indicates that analysts pay more attention onmarket-wide information, while star analysts coverage actually increase stock priceinformativeness. The findings from market trends, however, show that analysts increaseattention on firm-specific information in bull market. After previous procedure, theinformation utilization section is taken into consideration. In the section of informationutilization, this study finds that institutional investors have obvious advantages ininformation processing by comparative analysis with individual investors. And then thisdissertation investigates holdings of institutional investors. The empirical result showsthat institutional ownership and institutional number increase the firm-specificinformation, and have a positive effect on the information environment. However, therelation between institutional investors and crash risk also implicitly indicates the activemonitor hypothesis is not hold in the Chinese securities market.
(4) This study reviews core issues in the information environment of Chinese listedcompany, and discusses international experience. Meanwhile, the last context proposesthe political suggestion to improve the information environment from the aspects ofimproving information disclosure quality, regulating securities analysts, strengtheninginstitutional investors and developing information synergistic supervision mechanism,and so on.
引文
1数据来源：中国证券监督管理委员会官方网站(http://www.csrc.gov.cn)。
5数据来源：中国证券业协会官方网站(http://www.sac.net.cn/)。
8数据来源：中证网(http://www.cs.com.cn/)。
9http://www.finra.org/Industry/Compliance/Registration/QualificationsExams/Qualifications/P011051
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