公开信息质量、资者信息解释能力与市场效率研究.doc

公开信息质量、投资者信息解释能力与市场效率研究 摘要 信息不对称性主要存在于公司管理层与股东、大股东和中小投资者以及市场投资者之间。高质量的信息披露可以缓解他们之间的信息不对称，而上市公司向投资者披露信息，就是为了增强投资者对公司的信心，了解公司未来的盈利水平及发展状况，吸引投资者进行投资。因此信息披露主要是针对市场投资者而设置。 证券市场中，信息披露是缓解上述三种信息不对称的重要手段，也是提高市场效率，保护投资者的重要保证。而上市公司的信息披露质量的高低，直接关系到投资者信息解释能力和证券市场效率，高质量的信息披露能减少信息不对称性，影响投资者的投资决策，从而影响市场效率。关于信息质量和信息不对称水平之间的研究，国内外都有大量的研究结果。本文将重点研究信息质量对专业投资者和非专业投资者之间的信息不对称的影响，将信息质量与投资者信息解释能力及市场效率三者结合起来进行系统研究。本文将从信息质量出发，对信息质量的改变将如何影响投资者的信息解释能力、投资者信息解释能力的改变将如何影响市场效率的三个方面—市场价格、价格的变化和价格中的信息量、交易量等问题进行深入探讨，建立数量模型并进行理论分析。 关键词：信息质量; 投资者信息解释能力; 市场价格；交易量 Abstract The corporate managements, shareholders and investors excite the information asymmetry. The higher quality of information disclosure can relieve the level of information asymmetry. The corporate disclosing to investors is to make investor become more confidence to the management and also can comprehend the future development of the corporate. In the security markets, information disclosure can relieve the information asymmetry between the corporate and investors and improve the efficiency of markets. It is also ensure to protect the benefit of investors. But the lever of the information quality relate to investors’ information explanatory capability and the efficiency of markets. Higher quality of information can reduce the level of information asymmetry and influence investors’ invest decision so that change the markets’ efficiency. There are a lot of domestic and foreign literature surveying about the relation between the information quality and information asymmetry. But few documents research the combination of information quality, investors’ explanatory capability and the efficiency of markets. In this paper, in the view of information quality I attempt to research it how to influence the investors’ explanatory capability , And it also analyze how to change the market price and volume when change the quality of the information. I also set up a models to analyze the information quality relate to the investors’