基于AdjPIN测度的股价信息含量对风险分担的敏感性研究

›› 2020, Vol. 32 ›› Issue (4): 77-89.

基于AdjPIN测度的股价信息含量对风险分担的敏感性研究

周静, 罗乐

华中科技大学管理学院, 武汉 430074

收稿日期:2017-06-19 出版日期:2020-04-28 发布日期:2020-05-07
作者简介:周静,华中科技大学管理学院博士研究生;罗乐,华中科技大学管理学院副教授,博士生导师,博士。
基金资助:
华中科技大学自主创新研究基金项目（0118300100）。

The Sensitivity of Stock Price Informativeness Based on AdjPIN Measure to Risk Sharing

Zhou Jing, Luo Le

School of Management, Huazhong University of Science & Technology, Wuhan 430074

Received:2017-06-19 Online:2020-04-28 Published:2020-05-07

摘要/Abstract

摘要：

基于股权分置改革计划实施后第一次有限售条件股上市流通这一改革事件，从所有权结构和微观市场结构相结合的角度来检验股价信息含量对风险分担的敏感性。本文用调整的知情交易概率（AdjPIN）度量股价信息含量，投资者基数度量风险分担程度。在控制公司层面的异质因素和市场因素后，研究结果表明，投资者基数扩大，股价信息含量显著地减少，这个发现和Peress^[3]风险分担理论相一致。进一步发现机构投资者持股比例没有发生显著的变化，对股价信息含量没有显著影响，说明增加的为同质投资者。在扩张同质投资者基数情况下，股价信息含量下降，收益下降，收益的波动上升，这个结论和Peress^[3]的命题6结论一致。通过引入国有控股虚拟变量SOE和相关变量的交互项，检验私有和国有控股企业对股价信息含量的差别影响，发现二者影响股价信息含量的渠道不同。另外，还发现在股权分置改革首个解禁日后，投资者的超额收益与股价信息含量的变化正相关，国有控股企业对二者的正相关具有减缓作用。

关键词: 股权分置改革, 投资者基数, 风险分担, 股价信息含量, AdjPIN

Abstract:

Based on the first unlocking event, after the Split-Share Structure Reform plan implementation, from the combination of ownership structure and financial market microstructure, we test the sensitivity of stock price informativeness to risk sharing. We use adjusted probability of information based trading (AdjPIN) as the proxy for stock price informativeness, investor base as the proxy for risk sharing. After controlling the heterogeneity factors of the company level and market factor, the results show that stock price informativeness decreases significantly when investor base enlarges. This finding supports the risk sharing hypothesis proposed by Peress^[3]. Furthermore, we find institutional investors have no significant impact on the stock price informativeness, showing that the increment consists mainly of homogenous investors. In the case of homogeneous investor base, informativeness falls, returns fall and the variances of returns rise. This conclusion is consistent with Peres^[3]'s proposition 6. The interaction terms of the state holding variable SOE and associated variables are introduced to examine the different effects of private firms and state holding companies on price informativeness. We find that there are different channels of influencing share price information. Additionally, we find that the change of the price informativeness around the first unlocking is positively related to the magnitude of abnormal investment returns following the first unlocking and state-owned enterprises have a mitigating effect on the positive correlation between them.

Key words: the Split-Share Structure Reform, investor base, risk sharing, stock price informativeness, AdjPIN

周静, 罗乐. 基于AdjPIN测度的股价信息含量对风险分担的敏感性研究[J]. , 2020, 32(4): 77-89.

Zhou Jing, Luo Le. The Sensitivity of Stock Price Informativeness Based on AdjPIN Measure to Risk Sharing[J]. , 2020, 32(4): 77-89.

参考文献

[1] Merton R. A Simple Model of Capital Market Equilibrium with Incomplete Information[J]. Journal of Finance, 1987,42(3):483-510
[2] Bodnaruk A., Ostberg P. Does Investor Recognition Predict Returns?[J]. Journal of Financial Economics, 2009,91(2):208-226
[3] Peress J. The Tradeoff between Risk Sharing and Information Production in Financial Markets[J]. Journal of Economic Theory, 2010,145(1):124-155
[4] Ravallion M. Evaluating Anti-Poverty Programs[J]. Handbook of Development Economics, 2008,4(7):3787-3846
[5] Hacibedel B. Does Investor Recognition Matter for Asset Pricing?[J]. Emerging Markets Review, 2014,(21):1-20
[6] Verrecchia R. E. Information Acquisition in A Noisy Rational Expectations Economy[J]. Econometrica, 1982,50(6):1415-1430
[7] Veldkamp L. Information Markets and the Comovement of Asset Prices[J]. Review of Financial Studies, 2006,73(3):823-845
[8] Shleifer A., Vishny R. W. A Survey Corporate Governance[J]. The Journal of Finance, 1997,52(2):737-783
[9] Holmström B., Tirole J. Market Liquidity and Performance Monitoring[J]. Journal of Political Economy, 1993,101(4):678-709
[10] Chen J., Hong H., Stein J. C. The Breadth of Ownership and Stock Returns[J]. Journal of Financial Economics, 2002,66(2):171-205
[11] Busch P., Obernberger S. Actual Share Repurchases, Price Efficiency and the Information Content of Stock Prices[J]. Review of Financial Studies, 2017,30(1):324-363
[12] 杨之曙,姚松瑶. 沪深买卖价差和信息性交易实证研究[J]. 金融研究, 2004,(4):45-56
[13] 常建勇,郭灿,杨宝臣, 等. 信息不对称影响因素研究——以证券市场为例[J]. 经济与管理研究, 2015,36(2):59-67
[14] 王春峰,牛斐,房振明. 中国上市公司股权集中度对信息不对称影响[J]. 天津大学学报(社会科学版), 2015,17(2):116-121
[15] 苏冬蔚,熊家财. 股票流动性、股价信息含量与CEO薪酬契约[J]. 经济研究, 2013,(11):56-70
[16] Duarte J., Young L. Why Is Pin Priced?[J]. Journal of Financial Economics, 2009,91(2):119-138
[17] Easley D., Kiefer N., O'Hara M., et al. Liquidity, Information, and Infrequently Traded Stocks[J]. Journal of Finance, 1996,1(4):1405-1436
[18] Boubaker S., Mansali H., Rjiba H. Large Controlling Shareholders and Stock Price Synchronicity[J]. Journal of Banking & Finance, 2014,40(1):80-96
[19] Ben-Nast H., Cosset J. C. State Ownership, Political Institutions and Stock Price Informativeness:Evidence from Privatization[J]. Journal of Corporate Finance, 2014,29(9):179-199
[20] Li B., Rajgopai S., Venkatachalam M. R2 and Idiosyncratic Risk Are Not Interchangeable[J]. The Accounting Review, 2014,89(6):2261-2295
[21] 林国中,韩立岩,李伟. 股价波动非同步性——信息还是噪音?[J]. 管理科学学报, 2012,15(6):68-81
[22] 张学勇,廖理. 股权分置改革、自愿性信息披露与公司治理[J]. 经济研究, 2010,(4):28-39
[23] Chen Q., Chen X., Katherine S., et al. The Sensitivity of Corporate Cash Holdings to Corporate Govenance[J]. The Review of Financial Studies, 2012,25(12):3610-3644
[24] Liao L., Liu B., Wang H. China's Secondary Privatization:Perspectives From the Split-Share Structure Reform[J]. Journal of Financial Economics, 2014,113(3):500-518
[25] 陈信元,黄俊. 股权分置改革、股权层级与企业绩效[J]. 会计研究, 2016,(1):56-62
[26] 吴冬梅,庄新田. 限售股解禁、资本投资与控股权私利——来自我国上市公司股权分置改革的证据[J]. 管理评论, 2016,28(10):67-78
[27] Liao L., Liu B., Wang H. Information Discovery in Share Lockups:Evidence from the Split-Share Structure Reform in China[J]. Financial Management, 2011,40(4):1001-1027
[28] 支晓强,胡聪慧,童盼,等. 股权分置改革与上市公司股利政策——基于迎合理论的证据[J]. 管理世界, 2014,(3):139-147
[29] Hou W., Kou J. M., Lee E. The Impact of State Ownership on Share Price Informativeness:The Case of the Split Share Structure Reform in China[J]. The British Accounting Review, 2012,44(4):248-261
[30] Tong W., Zhang S., Zhu Y. Trading on Inside Information:Evidence from the Share-Structure Reform in China[J]. Journal of Banking & Finance, 2013,37(5):1422-1436
[31] Lehavy R., Sloan R. Investor Recognition and Stock Returns[J]. Review of Accounting Studies, 2008,13(2):327-361
[32] Carhart M. On Persistence in Mutual Fund Performance[J]. The Journal of Finance, 1997,52(1):57-82
[33] Lai S., Ng L., Zhang B. Does PIN Affect Equity Prices around the World?[J]. Journal of Financial Economics, 2014,114(1):178-195