管理者能力能够提高资本市场信息效率吗?——基于股价同步性的分析
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摘要
针对我国证券市场股票价格"同涨同跌"的现象,研究了管理者能力对资本市场信息效率的影响及其传导机制。选取2007—2016年沪深上市公司的数据,研究发现管理者能力越高,更多公司层面信息融入股票价格,公司的股价同步性越低,资本市场信息效率得以提升;同时,当上市公司的财务状况更好以及市场竞争力更强时,其发挥的作用更大。在此基础上,进一步分析了管理者能力影响股价同步性的传导路径,基于中介效应模型的检验结果表明,管理者能力的提高通过吸引更多的分析师关注、提高分析师预测的准确性以及降低分析师预测分歧度来降低股价同步性,从而提高了资本市场信息效率。
In view of the phenomenon of stock price rising and falling in China's stock market,this paper examines the influence and transmission mechanism of managerial ability on information efficiency in capital market. Using the data of 2007-2016 years of listed companies,it is found that with the improvement of managerial ability and the integration of more corporate information into the stock price,the synchronization of stock price has decreased and the information efficiency of the capital market is improved;at the same time,when the financial situation of listed companies is better and the market competitiveness is stronger,the role of listed companies is greater. On this basis,this paper further analyses the transmission path of managerial ability affecting stock price synchroicity,the test results based on the mediation effect model show that by attracting more analysts' attention,improving the accuracy of analysts' forecasts and reducing the dispersion of analysts' forecasts,the improvement of managerial ability can reduce the synchronization of stock price,thus improving the information efficiency of the capital market.
In view of the phenomenon of stock price rising and falling in China's stock market,this paper examines the influence and transmission mechanism of managerial ability on information efficiency in capital market. Using the data of 2007-2016 years of listed companies,it is found that with the improvement of managerial ability and the integration of more corporate information into the stock price,the synchronization of stock price has decreased and the information efficiency of the capital market is improved;at the same time,when the financial situation of listed companies is better and the market competitiveness is stronger,the role of listed companies is greater. On this basis,this paper further analyses the transmission path of managerial ability affecting stock price synchroicity,the test results based on the mediation effect model show that by attracting more analysts' attention,improving the accuracy of analysts' forecasts and reducing the dispersion of analysts' forecasts,the improvement of managerial ability can reduce the synchronization of stock price,thus improving the information efficiency of the capital market.
引文
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[23]姜付秀,张敏,陆正飞,等.管理者过度自信、企业扩张与财务困境[J].经济研究,2009(1):131-143.
[24]吴育辉,吴世农,魏志华.管理层能力、信息披露质量与企业信用评级[J].经济管理,2017(1):165-180.
[25]权小锋,吴世农,尹洪英.企业社会责任与股价崩盘风险:“价值利器”或“自利工具”?[J].经济研究,2015(11):49-64.
[2]Eun C S,Wang L,Xiao S C. Culture and R2[J]. Journal of Financial Economics,2015,115(2):283-303.
[3]Jin L,Myers S C. R2around the world:New theory and new tests[J]. Journal of Financial Economics,2006,79(2):257-292.
[4]张斌.行业专家型独立董事与公司特质信息的解读[J].财经科学,2015(10):64-73.
[5]罗进辉,向元高,金思静.董事会秘书能够提高资本市场效率吗——基于股价同步性的经验证据[J].山西财经大学学报,2015,37(12):80-90.
[6]李小荣.国有企业高管权力与股价同步性[J].厦门大学学报(哲学社会科学版),2018(2):85-95.
[7]游家兴,张俊生,江伟.制度建设、公司特质信息与股价波动的同步性——基于R2研究的视角[J].经济学(季刊),2007(1):189-206.
[8]黄俊,郭照蕊.新闻媒体报道与资本市场定价效率——基于股价同步性的分析[J].管理世界,2014(5):121-130.
[9]史永,张龙平.XBRL财务报告实施效果研究——基于股价同步性的视角[J].会计研究,2014(3):3-10,95.
[10]钟覃琳,陆正飞.资本市场开放能提高股价信息含量吗?——基于“沪港通”效应的实证检验[J].管理世界,2018(1):169-179.
[11]朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007(2):110-121.
[12]An H,Zhang T. Stock price synchronicity,crash risk,and institutional investors[J]. Journal of Corporate Finance,2013,21(1):1-15.
[13]许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].管理世界,2013(7):31-43.
[14]Demerjian P,Mcvay S. Quantifying managerial ability:A new measure and validity tests[J]. Management Science,2012,58(7):1229-1248.
[15]Demerjian P R,Lewis-Western M F,Lev B,Iet al. Managerial ability and earnings quality[J]. Social Science Electronic Publishing,2013,88(2):463-498.
[16]张铁铸,沙曼.管理层能力、权力与在职消费研究[J].南开管理评论,2014(5):63-72.
[17]张敦力,江新峰.管理者能力与企业投资羊群行为:基于薪酬公平的调节作用[J].会计研究,2015(8):41-48,96.
[18]Krishnan G V,Wang C. The relation between managerial ability and audit fees and going concern opinions[J]. Social Science Electronic Publishing,2015,34(3):139-160.
[19]潘越,戴亦一,林超群.信息不透明、分析师关注与个股暴跌风险[J].金融研究,2011(9):138-151.
[20]Andreou P C,Ehrlich D,Karasamanil I,et al. Managerial ability and firm performance:Evidence from the global financial crisis[D]. Working paper,2015.
[21]何威风,刘巍,黄凯莉.管理者能力与企业风险承担[J].中国软科学,2016(5):107-118.
[22]Chemmanur T J,Paeglis I,Simonyan K. Management quality,financial and investment policies,and asymmetric information[J]. Journal of Financial&Quantitative Analysis,2009,44(5):1045-1079.
[23]姜付秀,张敏,陆正飞,等.管理者过度自信、企业扩张与财务困境[J].经济研究,2009(1):131-143.
[24]吴育辉,吴世农,魏志华.管理层能力、信息披露质量与企业信用评级[J].经济管理,2017(1):165-180.
[25]权小锋,吴世农,尹洪英.企业社会责任与股价崩盘风险:“价值利器”或“自利工具”?[J].经济研究,2015(11):49-64.