市场信息传导机制下公司权益资本的决定研究

摘要/Abstract

摘要：

已有文献表明,公司的信息披露水平与权益资本成本是负相关的.但现有研究对市场环境下两者间的传导机制缺乏深入的分析,这对我们理解权益资本成本的决定因素是不完整的.本文利用R²指标来刻画市场信息环境,并基于2000-2011年中国A股上市公司样本的实证研究后发现,R²不但能很好地反映出披露后的信息通过市场的传导影响股价波动,并最终影响公司权益资本成本的整个过程;而且还有效地度量了信息透明度与市场信息环境引致权益资本成本变化的整体效应.更深层次的研究表明,R²与公司权益资本成本间存在着显著的正相关关系,且该结论不因加入传统的信息披露指标而改变.本文的研究为我们深入理解权益资本成本的真实决定因素提供了一种全新的思路.

关键词: 市场信息传导机制, 信息披露, R², 权益资本成本

Abstract:

A large number of studies suggest that the company's information disclosure level is negatively related to the cost of equity capital. However, the existing literatures neglect the indirect path of how the information disclosure influences the fluctuation of stock prices and finally causes changes in the cost of equity capital, which is bad for our comprehensive understanding of the determinants of the cost of equity capital. In this paper, we use R² to depict the market information environment. Based on the sample of A-share listed companies during the year 2000 to 2011 in China, we make an empirical study and find: R² is not only an effective alternative variable to the traditional level of information disclosure metrics, but also takes into account the whole process that the information disclosed affects the stock market fluctuations through the market transmission mechanism and thus affects the cost of equity capital, which effectively measures the overall effect of information disclosure and changes in the cost of capital leading by price fluctuations. Our study shows that, there is a significantly positive correlation between R² and the capital cost of listed companies. This conclusion remains unchanged when the traditional indicators of information disclosure are added.

Key words: transmission mechanism of market information, information disclosure, R², equity capital cost

皮天雷, 唐秀萍. 市场信息传导机制下公司权益资本的决定研究[J]. , 2016, 28(2): 185-196.

Pi Tianlei, Tang Xiuping. Equity Capital Cost under the Transmission Mechanism of Market Information Environment[J]. , 2016, 28(2): 185-196.

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