基于信息披露的股票市场资本配置效率研究
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摘要
信息披露理论相关领域是公司金融理论在股票市场研究的前沿领域。自Fama(1970)提出有效市场理论以来,愈来愈多的研究集中于股票市场中信息的非完备性和非对称性。在现实的市场体系下,市场参与主体(公司、政府、投资者及其它利益相关者)之间存在大量的信息不完备现象和不对称状态,这使得信息对于股票市场而言具有显著的经济意义。
股票市场最核心的功能是资本配置功能。作为主要的直接融资市场,股票市场连接着资金盈余部门和资金不足部门,促进资本在国民经济各部门的流动,从而提高整个国民经济的产出水平。信息披露作为降低股票市场非完备性和非对称性的主要措施,其披露质量的提高是否有利于提高股票市场的资本配置效率在目前的信息披露理论体系中尚没有完整的论述。中国股票市场作为市场透明度水平不高、信息机制不够健全的新兴股票市场,研究其信息披露与资本配置效率的关系,并建立起相关的系统性研究框架具有很强的理论价值和现实意义。
本文的研究基于这样的共识,二级市场的股票价格在决定资本配置效率方面并不起直接作用,只有一级市场的股票价格才发挥资本配置效率的直接作用。因此,从二级市场信息效率角度研究资本配置效率问题不能回答信息披露与资本配置效率的实质关系。Dow和Gorton(1997)认为二级股票市场的价格虽然被认为是资本主义经济中最具有信息效率的价格,但它在决定资本配置方面并不起直接的作用。因此,二级市场上股票价格即使通过检验实现了某种程度的“有效性”,并不能说明就实现了股票市场资本有效配置。Willam.H.Beaver(1998)也指出,市场效率并不包含社会需求性的含义,(这种)市场效率只是讨论信息和股票价格之间的关系,认为市场效率越大,间接的资源配置就会更好的论断难以成立(何旭强和高道德,2001)。正是基于上述共识,本文从一级市场的角度研究信息披露与资本配置效率的关系。一级市场决定企业可以获得的全部资本主要受制于两个方面:定价和融资成本,因此本文提出从发行定价和融资成本两个角度研究信息披露对资源配置效率的研究思路。
本文的基本结构为:第一章,导论。主要阐述研究背景和问题提出、研究思路和方法、研究框架;第二章,信息披露理论回顾及评述。把目前的信息披露理论主流研究分成四种体系进行回顾和评述;第三章,信息披露传播机制与价格影响。探讨了股票市场中的信息披露传播机制,分析了不对称信息下的资产定价,并探讨了信息披露对发行定价的影响机制,然后从中国股票市场首次公开发行信息披露制度演进的角度,对信息披露制度演进与首次公开发行定价效率进行了经验性研究;第四章,信息披露与股权融资成本:机制与实证。从信息披露与股权融资成本的关系角度探讨了信息披露影响股权融资成本的机制,并对中国A股市场首次公开发行过程中的盈余信息质量与股权融资成本的关系进行了实证研究;第五章,信息披露与股票市场资本配置效率。探讨了信息披露影响股票市场资本配置效率的机制,对中国股票市场的逆向选择和道德风险进行了研究,探讨了中国股票市场的资本配置效率情况。同时,还对中国A股市场的信息披露质量与资本配置效率的关系进行了实证研究。第六章,中国股票市场信息披露质量现状与完善。主要研究了中国信息披露质量的现状,从上市公司内部治理、外部治理和投资者因素角度分别研究了导致中国信息披露质量不高的原因,并针对中国信息披露质量不高的现状,提出了若干建议;第七章,结论与研究展望。总结了本文的研究结论,并对未来的研究提出了一些建议。
本文的主要结论如下:
(一)在信息披露与股权融资定价效率方面,本文研究发现中国信息披露制度的发展从总体上有利于降低IPO折价率及其波动。
(二)通过把再融资前的信息披露质量作为再融资企业的声誉变量,研究表明中国股票市场的再融资企业在再融资前考虑了声誉机制。实证结论的符号也表明声誉有利于提高再融资定价效率,但这种作用并不明显。
(三)从盈余信息质量与股权融资成本来看,盈余信息质量与直接融资成本呈现一种非显著的负相关关系,但盈余信息质量与间接融资成本和总融资成本显著正相关,说明盈余管理降低了投资者与公司之间的信息透明度,增加了两者之间的信息不对称,从而增加了股权融资成本。
(四)从信息披露与股票市场资本配置效率来看,信息披露质量可以降低股权融资过程中的逆向选择和道德风险,提高资本配置效率。并且实证也表明中国A股市场的信息披露质量与股票市场的资本配置效率显著正相关。
(五)通过对中国信息披露质量现状的研究,发现中国信息披露质量整体不高。研究表明内部治理效率低下,外部治理失灵和投资者投资者结构不合理、投资者素质整体较低是导致中国信息披露质量不高的主要原因。
全文的主要创新点如下:
(一)本文首次尝试了从一级市场的角度研究信息披露质量与股票市场资本配置效率之间的相互关系,并形成了相应的研究体系。根据本文的观点,二级市场的股票价格不直接作用于资本配置效率,只有一级市场的价格具有直接作用于资本配置效率的内在作用。因此,本文建立了信息披露质量—>股权融资定价、股权融资成本—>资本配置效率的系统性研究框架。
(二)通过理论建模探讨了信息披露影响股权融资定价、股权融资成本和资本配置效率的内在机制。利用贝叶斯学习过程,本文证明了信息披露质量的提高可以影响投资者接收到的信息精度,从而影响企业的发行定价;通过构建发行声誉模型,本文证明了信息披露声誉影响发行价格的机制;本文的模型还表明信息披露影响股权融资成本的机制在于,信息披露质量的提高可以改善股票市场上的投资者信息结构和信息精度,从而影响股权融资成本;通过模型证明了发行市场的信息不对称导致的逆向选择和道德风险是影响股票市场资本配置效率的关键原因。因此信息披露影响资本配置效率的机制在于降低了企业与投资者之间的信息不对称,从而降低了发行市场的逆向选择和道德风险,提高了股票市场的资本配置效率。
(三)本文对中国股票市场的信息披露质量与股权融资定价效率、再融资定价效率、股权融资成本和资本配置效率展开了大量的实证研究,获得了大量的实证证据。目前,国内只有少数学者对信息披露质量与再融资成本之间的关系进行了实证研究,还没有学者对信息披露质量与股权融资定价效率、再融资定价效率、首次发行融资成本和资本配置效率之间的关系进行实证研究,本文的研究填补了这方面的缺憾,从而在本研究领域形成了基于中国股票市场的系统性实证结论。
Information disclosure theory is one of the advanced research fields of finance theory. Since EHM came into being (Fama,1970),more and more researches fasten on the incomplete information in stock market. In realistic market system, the incomplete information situations between participants of the stock market (companies, governments, investors and other interest-related persons) was abundant, which makes information is very important for stock market.
The key function of stock market is capital allocation. As the main direct financing market, stock market is the joint of capital surplus departments and capital shortage departments. Stock market accelerates the flow of capital in all department of economy, and enhances the output level of whole economy. Information disclosure is the main measure of reducing the information incomplete. But there is not complete research on whether the higher quality of information disclosure can enhance the efficiency of capital allocation. Chinese stock market is emerging market with low market transparency and low efficient information system, so it has great theory value and realistic value to research the relationship between information disclosure quality and capital allocation efficiency and setup the correlative systematic research frame based on Chinese stock market.
This article based on the following common knowledge: the price of secondary market has indirect effect to the capital allocation, only the price of issue market has direct effect to the capital allocation in stock market. So the research of information efficiency can not answer the real relationship between information disclosure and capital allocation. According to Dow and Gorton (1973), although the price of secondary market is the most information efficient price in capitalism economy, it has not direct function in the process of capital allocation. So, even the price of secondary market pass the test of information efficiency, we still can not say the capital allocation of stock market is efficient. Willam.H.Beaver (1998) also point out that the market efficiency does not include the meaning of society demand, which just discusses the relationship between information and stock market. The conclusion that the higher market efficiency means better indirect capital allocation can not be right (Gao Xuqiang and Gao Daode, 2001). Based on the above common knowledge, this article researches the relationship between information disclosure quality and capital allocation according to the issue market. In the issue market, the capital the issue companies can raise is enslaved to two factors: the issue price and the issue cost. So this article researches the relationship between information disclosure quality and capital allocation based on two factors of issue price and issue cost.
The basic structure of this article is: Chapter 1, Preface. This section mainly introduce the research background and research design; Chapter 2, Summarization of information disclosure and comment. This section divides the present research of information disclosure into four systems, summarizes and comments these researches; Chapter 3, Information disclosure transmission mechanism and the price effect. This section discusses the information disclosure transmission mechanism in stock market, and analyzes the asset pricing under the asymmetry information situation and the mechanism that information disclosure affects issue price. This section also carries through two empirical researches based on Chinese stock market. One research the relationship between the evolvement of information disclosure system and IPO pricing efficiency, the other researches the relationship between the information disclosure quality and refinancing pricing efficiency based on the reputation theory; Chapter 4, Information disclosure and financing cost: mechanism and empirical research. This section researches the mechanism that information disclosure quality affects financing cost, and carries through a empirical research based on Chinese A stock market; Chapter 5, Information disclosure and capital allocation efficiency of stock market. This section discusses the mechanism that information disclosure affects capital allocation efficiency of stock market, research the adverse choice, moral hazard and capital allocation situation in Chinese stock market. Besides, this section also carries though one empirical about the relationship between information disclosure quality and capital allocation efficiency based on Chinese A stock market. Chapter 6, Status quo and improvement of Chinese information disclosure quality. This section researches the status quo of Chinese information disclosure quality, and discusses the reasons why information disclosure quality is not good in Chinese stock market.then the section bring forward some suggestions to improve the information disclosure quality in Chinese stock market. Chapter 7, Research conclusions and prospect.
This article gains the following results:
1. The development of Chinese information disclosure system is good to reduce the underpricing rate and fluctuation of IPO.
2. The listed companies will consider the reputation if they want to refinancing, and information disclosure quality, as the index of reputation, has insignificant relationship with the refinancing pricing efficiency, although the sigh indicates information disclosure quality can enhance the refinancing pricing efficiency.
3. According to relationship between earnings information quality and equity financing cost, the empirical researches indicates earnings information quality is negative correlated to direct financing cost insignificant, but is positive correlated to indirect cost and total cost significantly. The result indicates earnings managements of listed companies reduce the transparency of information, enhance the information asymmetry with investors and equity financing cost.
4. Information disclosure can reduce the adverse choice and moral hazard during the process of equity financing, enhance the efficiency of capital allocation. And the empirical research also indicates information disclosure quality can enhance the efficiency of capital allocation significantly in Chinese stock market.
5. Through researching the status quo of information disclosure quality in Chinese stock market, the article finds some factors of low information disclosure quality in Chinese stock market: low inner governance, failure exterior governance, illogical investor structure and low investor quality.
Main innovations of this paper:
1. Establishing a systematic research framework about the relationship between information disclosure and capital allocation efficiency. The article bring forward an idea that the direct effect mechanism of capital allocation efficiency is leading capital to flow from low efficient industries to high efficient industries. So the price of security secondary market does not affect capital allocation efficiency directly, only the price of issue market can affect capital allocation efficiency directly. According to above idea, the article establishes a research framework: information disclosure—>issue price and financing cost—>capital allocation efficiency.
2. Discussing the inner mechanism of information disclosure affect issue price, financing cost and capital allocation efficiency through theoretic model. Using Bayes study process, the article proves that higher information disclosure quality can affects the information precision received by investors, then affects issue price; Through reputation model, the article proves the mechanism of information disclosure affecting issue price; The model of this article also explains the mechanism of information disclosure affects equity financing cost; the mechanism of information disclosure affecting capital allocation efficiency is that higher information disclosure quality can decreases the information’s asymmetry between issuing companies and investors, and then decreases the adverse choice and moral hazard.
3. This article carries through some empirical research about the relationship between information disclosure and issue pricing efficiency, equity financing cost and capital allocation efficiency based on Chinese stock market. At present, only few scholars researched the relationship between information disclosure and refinancing cost based on Chinese stock market, nobody studied other facets of information affecting capital allocation efficiency. So our empirical researches based on Chinese stock market supply the gaps, and form systemic empirical results about information disclosure, equity financing cost and capital allocation efficiency based on Chinese stock market.
股票市场最核心的功能是资本配置功能。作为主要的直接融资市场,股票市场连接着资金盈余部门和资金不足部门,促进资本在国民经济各部门的流动,从而提高整个国民经济的产出水平。信息披露作为降低股票市场非完备性和非对称性的主要措施,其披露质量的提高是否有利于提高股票市场的资本配置效率在目前的信息披露理论体系中尚没有完整的论述。中国股票市场作为市场透明度水平不高、信息机制不够健全的新兴股票市场,研究其信息披露与资本配置效率的关系,并建立起相关的系统性研究框架具有很强的理论价值和现实意义。
本文的研究基于这样的共识,二级市场的股票价格在决定资本配置效率方面并不起直接作用,只有一级市场的股票价格才发挥资本配置效率的直接作用。因此,从二级市场信息效率角度研究资本配置效率问题不能回答信息披露与资本配置效率的实质关系。Dow和Gorton(1997)认为二级股票市场的价格虽然被认为是资本主义经济中最具有信息效率的价格,但它在决定资本配置方面并不起直接的作用。因此,二级市场上股票价格即使通过检验实现了某种程度的“有效性”,并不能说明就实现了股票市场资本有效配置。Willam.H.Beaver(1998)也指出,市场效率并不包含社会需求性的含义,(这种)市场效率只是讨论信息和股票价格之间的关系,认为市场效率越大,间接的资源配置就会更好的论断难以成立(何旭强和高道德,2001)。正是基于上述共识,本文从一级市场的角度研究信息披露与资本配置效率的关系。一级市场决定企业可以获得的全部资本主要受制于两个方面:定价和融资成本,因此本文提出从发行定价和融资成本两个角度研究信息披露对资源配置效率的研究思路。
本文的基本结构为:第一章,导论。主要阐述研究背景和问题提出、研究思路和方法、研究框架;第二章,信息披露理论回顾及评述。把目前的信息披露理论主流研究分成四种体系进行回顾和评述;第三章,信息披露传播机制与价格影响。探讨了股票市场中的信息披露传播机制,分析了不对称信息下的资产定价,并探讨了信息披露对发行定价的影响机制,然后从中国股票市场首次公开发行信息披露制度演进的角度,对信息披露制度演进与首次公开发行定价效率进行了经验性研究;第四章,信息披露与股权融资成本:机制与实证。从信息披露与股权融资成本的关系角度探讨了信息披露影响股权融资成本的机制,并对中国A股市场首次公开发行过程中的盈余信息质量与股权融资成本的关系进行了实证研究;第五章,信息披露与股票市场资本配置效率。探讨了信息披露影响股票市场资本配置效率的机制,对中国股票市场的逆向选择和道德风险进行了研究,探讨了中国股票市场的资本配置效率情况。同时,还对中国A股市场的信息披露质量与资本配置效率的关系进行了实证研究。第六章,中国股票市场信息披露质量现状与完善。主要研究了中国信息披露质量的现状,从上市公司内部治理、外部治理和投资者因素角度分别研究了导致中国信息披露质量不高的原因,并针对中国信息披露质量不高的现状,提出了若干建议;第七章,结论与研究展望。总结了本文的研究结论,并对未来的研究提出了一些建议。
本文的主要结论如下:
(一)在信息披露与股权融资定价效率方面,本文研究发现中国信息披露制度的发展从总体上有利于降低IPO折价率及其波动。
(二)通过把再融资前的信息披露质量作为再融资企业的声誉变量,研究表明中国股票市场的再融资企业在再融资前考虑了声誉机制。实证结论的符号也表明声誉有利于提高再融资定价效率,但这种作用并不明显。
(三)从盈余信息质量与股权融资成本来看,盈余信息质量与直接融资成本呈现一种非显著的负相关关系,但盈余信息质量与间接融资成本和总融资成本显著正相关,说明盈余管理降低了投资者与公司之间的信息透明度,增加了两者之间的信息不对称,从而增加了股权融资成本。
(四)从信息披露与股票市场资本配置效率来看,信息披露质量可以降低股权融资过程中的逆向选择和道德风险,提高资本配置效率。并且实证也表明中国A股市场的信息披露质量与股票市场的资本配置效率显著正相关。
(五)通过对中国信息披露质量现状的研究,发现中国信息披露质量整体不高。研究表明内部治理效率低下,外部治理失灵和投资者投资者结构不合理、投资者素质整体较低是导致中国信息披露质量不高的主要原因。
全文的主要创新点如下:
(一)本文首次尝试了从一级市场的角度研究信息披露质量与股票市场资本配置效率之间的相互关系,并形成了相应的研究体系。根据本文的观点,二级市场的股票价格不直接作用于资本配置效率,只有一级市场的价格具有直接作用于资本配置效率的内在作用。因此,本文建立了信息披露质量—>股权融资定价、股权融资成本—>资本配置效率的系统性研究框架。
(二)通过理论建模探讨了信息披露影响股权融资定价、股权融资成本和资本配置效率的内在机制。利用贝叶斯学习过程,本文证明了信息披露质量的提高可以影响投资者接收到的信息精度,从而影响企业的发行定价;通过构建发行声誉模型,本文证明了信息披露声誉影响发行价格的机制;本文的模型还表明信息披露影响股权融资成本的机制在于,信息披露质量的提高可以改善股票市场上的投资者信息结构和信息精度,从而影响股权融资成本;通过模型证明了发行市场的信息不对称导致的逆向选择和道德风险是影响股票市场资本配置效率的关键原因。因此信息披露影响资本配置效率的机制在于降低了企业与投资者之间的信息不对称,从而降低了发行市场的逆向选择和道德风险,提高了股票市场的资本配置效率。
(三)本文对中国股票市场的信息披露质量与股权融资定价效率、再融资定价效率、股权融资成本和资本配置效率展开了大量的实证研究,获得了大量的实证证据。目前,国内只有少数学者对信息披露质量与再融资成本之间的关系进行了实证研究,还没有学者对信息披露质量与股权融资定价效率、再融资定价效率、首次发行融资成本和资本配置效率之间的关系进行实证研究,本文的研究填补了这方面的缺憾,从而在本研究领域形成了基于中国股票市场的系统性实证结论。
Information disclosure theory is one of the advanced research fields of finance theory. Since EHM came into being (Fama,1970),more and more researches fasten on the incomplete information in stock market. In realistic market system, the incomplete information situations between participants of the stock market (companies, governments, investors and other interest-related persons) was abundant, which makes information is very important for stock market.
The key function of stock market is capital allocation. As the main direct financing market, stock market is the joint of capital surplus departments and capital shortage departments. Stock market accelerates the flow of capital in all department of economy, and enhances the output level of whole economy. Information disclosure is the main measure of reducing the information incomplete. But there is not complete research on whether the higher quality of information disclosure can enhance the efficiency of capital allocation. Chinese stock market is emerging market with low market transparency and low efficient information system, so it has great theory value and realistic value to research the relationship between information disclosure quality and capital allocation efficiency and setup the correlative systematic research frame based on Chinese stock market.
This article based on the following common knowledge: the price of secondary market has indirect effect to the capital allocation, only the price of issue market has direct effect to the capital allocation in stock market. So the research of information efficiency can not answer the real relationship between information disclosure and capital allocation. According to Dow and Gorton (1973), although the price of secondary market is the most information efficient price in capitalism economy, it has not direct function in the process of capital allocation. So, even the price of secondary market pass the test of information efficiency, we still can not say the capital allocation of stock market is efficient. Willam.H.Beaver (1998) also point out that the market efficiency does not include the meaning of society demand, which just discusses the relationship between information and stock market. The conclusion that the higher market efficiency means better indirect capital allocation can not be right (Gao Xuqiang and Gao Daode, 2001). Based on the above common knowledge, this article researches the relationship between information disclosure quality and capital allocation according to the issue market. In the issue market, the capital the issue companies can raise is enslaved to two factors: the issue price and the issue cost. So this article researches the relationship between information disclosure quality and capital allocation based on two factors of issue price and issue cost.
The basic structure of this article is: Chapter 1, Preface. This section mainly introduce the research background and research design; Chapter 2, Summarization of information disclosure and comment. This section divides the present research of information disclosure into four systems, summarizes and comments these researches; Chapter 3, Information disclosure transmission mechanism and the price effect. This section discusses the information disclosure transmission mechanism in stock market, and analyzes the asset pricing under the asymmetry information situation and the mechanism that information disclosure affects issue price. This section also carries through two empirical researches based on Chinese stock market. One research the relationship between the evolvement of information disclosure system and IPO pricing efficiency, the other researches the relationship between the information disclosure quality and refinancing pricing efficiency based on the reputation theory; Chapter 4, Information disclosure and financing cost: mechanism and empirical research. This section researches the mechanism that information disclosure quality affects financing cost, and carries through a empirical research based on Chinese A stock market; Chapter 5, Information disclosure and capital allocation efficiency of stock market. This section discusses the mechanism that information disclosure affects capital allocation efficiency of stock market, research the adverse choice, moral hazard and capital allocation situation in Chinese stock market. Besides, this section also carries though one empirical about the relationship between information disclosure quality and capital allocation efficiency based on Chinese A stock market. Chapter 6, Status quo and improvement of Chinese information disclosure quality. This section researches the status quo of Chinese information disclosure quality, and discusses the reasons why information disclosure quality is not good in Chinese stock market.then the section bring forward some suggestions to improve the information disclosure quality in Chinese stock market. Chapter 7, Research conclusions and prospect.
This article gains the following results:
1. The development of Chinese information disclosure system is good to reduce the underpricing rate and fluctuation of IPO.
2. The listed companies will consider the reputation if they want to refinancing, and information disclosure quality, as the index of reputation, has insignificant relationship with the refinancing pricing efficiency, although the sigh indicates information disclosure quality can enhance the refinancing pricing efficiency.
3. According to relationship between earnings information quality and equity financing cost, the empirical researches indicates earnings information quality is negative correlated to direct financing cost insignificant, but is positive correlated to indirect cost and total cost significantly. The result indicates earnings managements of listed companies reduce the transparency of information, enhance the information asymmetry with investors and equity financing cost.
4. Information disclosure can reduce the adverse choice and moral hazard during the process of equity financing, enhance the efficiency of capital allocation. And the empirical research also indicates information disclosure quality can enhance the efficiency of capital allocation significantly in Chinese stock market.
5. Through researching the status quo of information disclosure quality in Chinese stock market, the article finds some factors of low information disclosure quality in Chinese stock market: low inner governance, failure exterior governance, illogical investor structure and low investor quality.
Main innovations of this paper:
1. Establishing a systematic research framework about the relationship between information disclosure and capital allocation efficiency. The article bring forward an idea that the direct effect mechanism of capital allocation efficiency is leading capital to flow from low efficient industries to high efficient industries. So the price of security secondary market does not affect capital allocation efficiency directly, only the price of issue market can affect capital allocation efficiency directly. According to above idea, the article establishes a research framework: information disclosure—>issue price and financing cost—>capital allocation efficiency.
2. Discussing the inner mechanism of information disclosure affect issue price, financing cost and capital allocation efficiency through theoretic model. Using Bayes study process, the article proves that higher information disclosure quality can affects the information precision received by investors, then affects issue price; Through reputation model, the article proves the mechanism of information disclosure affecting issue price; The model of this article also explains the mechanism of information disclosure affects equity financing cost; the mechanism of information disclosure affecting capital allocation efficiency is that higher information disclosure quality can decreases the information’s asymmetry between issuing companies and investors, and then decreases the adverse choice and moral hazard.
3. This article carries through some empirical research about the relationship between information disclosure and issue pricing efficiency, equity financing cost and capital allocation efficiency based on Chinese stock market. At present, only few scholars researched the relationship between information disclosure and refinancing cost based on Chinese stock market, nobody studied other facets of information affecting capital allocation efficiency. So our empirical researches based on Chinese stock market supply the gaps, and form systemic empirical results about information disclosure, equity financing cost and capital allocation efficiency based on Chinese stock market.
引文
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