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1、中南民族大学 硕士学位论文 上市公司价值信息披露及市场反应研究 姓名：朱亚琴 申请学位级别：硕士 专业：企业管理 指导教师：郑军 2011-05-31 中南民族大学硕士学位论文 I 摘 要 随着经济发展以及资本市场的日益繁荣，现行财务报告所披露的 信息呈现出越来越大的信息落差， 且因此而不断受到利益各方的质疑。 综观学术界与实物界对现行财务报告的批评，基本上无非是在指责其 披露的信息不合时宜、没有真实反映企业价值以及无法满足企业价值 相关者的信息需求。与此同时，在稳步推进资本市场对外开放的战略 背景下，越来越多的公司走出国门，以及越来越多的境外机构投资者 涉足国内资本市场，我国公司所面临的价值
2、相关群体日益多样化和复 杂化，信息披露不能只拘泥于证券市场信息披露制度的基本要求，同 时亦要满足广大国外价值相关者对公司价值信息披露的需求。因此， 对企业价值信息披露问题的研究对于增强信息的透明度，增进企业价 值， 完善资本市场的信息沟通机制等具有重要的理论意义和现实意义。 本文首先从经济学角度对企业价值信息的需求与供给进行分析， 并结合委托代理理论、信号传递理论以及有效资本市场假设理论对企 业价值信息披露问题加以分析，为下文的实证研究做好理论铺垫。其 次，本文以110家深交所A股上市公司为样本, 首先采用事件研究法中 的超额收益法来衡量基于投资者估值变化的市场反应。即以超额收益 率作为衡量市
3、场反应的变量，在同一横截面上比较两组价值信息披露 水平不同的样本组合的市场反应。其后，采用每股内在价值作为衡量 公司价值的指标，选用公司价值作为企业价值信息披露价值效应的替 上市公司价值信息披露及市场反应研究 II 代变量，通过建立多元回归模型来分析企业价值信息披露水平与每股 内在价值之间的关系及其显著性程度，以探讨上市公司价值信息披露 水平与公司价值的关系， 验证价值信息披露是否有助于提升公司价值。 通过对上市公司价值信息披露的市场反应检验发现，不同水平的价值 信息披露会引起显著不同程度的市场反应，说明不同水平的价值信息 披露能够影响投资者的投资行为，缓解信息供求双方的信息不对称， 有助于改
4、善投资者和代理人的关系。此外，通过多元回归分析得出结 论，上市公司不管是增加披露的价值信息量还是改善价值信息的披露 质量，均对提升企业价值有正面的影响。尽管如此，我国上市公司价 值信息披露的整体水平仍远有待提高，也亟待构建完善的价值信息披 露体系，并加强对上市公司披露行为的监管。因此，本文第四章从价 值信息披露的外部环境、构建完善的价值信息披露体系、完善信息考 评以及价值信息披露的监管四个方面提出相关的建议，以希提高我国 上市公司信息披露水平，实现价值相关者的利益最大化。 关键词： 价值信息披露,市场反应,事件研究法,多元回归分析 中南民族大学硕士学位论文 III ABSTRACT Along
5、 with the economic development and growing prosperity of capital market, the Information provided by the current financial reporting present a increasingly large information gap, and constantly questioned by interest-related parties. It can be viewed that, from the criticism of the current financial
6、 reporting by both the academia and physical circles, it is nothing but criticizing that the information disclosured by the reporting is out of keeping with the times, and cannot reflect the enterprise value truly nor satisfy the information needs of the enterprise value-related parties. Meanwhile,
7、in the background of promoting steadily capital market opening-up, more and more companies go abroad and more Qualified Foreign Institutional Investors(QFII) step in domestic capital market.The value-related parties domestic company faced are increasingly diversified and complicated. Information dis
8、closure can not only get bogged down in the securities market information disclosure system and also should meet the foreign value-related partiesbasic requirements for enterprise value information disclosure.Therefore, the research on the enterprise value information disclosure has important theore
9、tical and practical significance for strengthening information transparency, promoting enterprise value and perfecting information communication mechanism of capital market. Firstly, this paper analyzes the demand and supply of enterprise value information from the angle of economics. It also analyz
10、es the disclosure of enterprise value information combined the principal-agent theory, signal transmission theory and effective capital market hypothesis theory to pave the way for the following empirical study. Then, this paper obtained 110 A-share listed company for study samples from all the comp
11、anies in shenzhen stock exchange listing. Firstly,it used the cumulative abnormal return method of event study method to measure the market reaction based on valuations changing by investors. Specifically speaking, it chose the excess earning 上市公司价值信息披露及市场反应研究 IV rate as the variable to measure the
12、market reaction, and compare the market reaction of two groups of samples in the same cross section, which have different disclosure level of value information. Secondly, the paper used the intrinsic value per share as the index to measure coporate value, and chose the company value as the variable
13、to measure the effect of enterprise value information disclosure. It established the multivariate regression model to analyze the relationship and its significant degree between the level of enterprise value information disclosure and the intrinsic value per share, in order to discuss the relationsh
14、ip between the level of value information disclosure and enterprise value as well as verifying whether the information disclosure can help promoting the value of corporate value. According to the empirical analysis on the market reaction of the listed company value information disclosure, it found t
15、hat different levels of value information disclosure would cause significant different degree of market reaction. It come to a conclusion that different levels of value information disclosure can affect the investors behavior. It also can alleviate information asymmetry between information supply an
16、d demand, and help to improve the relationship between the investors and agent. In addition, it come to a conclusion from the multivariate regression analysis that it has a positive impact on promoting enterprise value whether the listed company increasing the quantity of disclosure of value information or improving the quality of disclosure of value information.Nevertheless, the general level of value information disclosure of Chinese listed companies is still need to be enhanced. It urgentl
