摘要
基于非理性行为假说,以信息透明度为切入点,实证检验了风险承担与股价同步性之间的关系.研究结果表明:在受噪音驱动较明显的中国资本市场中,企业风险承担水平与股价同步性呈负相关关系,一系列稳健性测试支持了文章基本结论.进一步分析显示,管理层为缓解风险承担带来的财务困境和代理冲突,采取盈余管理等手段隐藏公司信息是这种关系的内在机制;过度自信的管理者会加剧风险承担与股价同步性之间的负向关系.研究结论首次为风险承担与股价同步性之间的关系提供了理论解释和经验证据,其重要启示是:虽然风险承担降低了股价同步性,但其看似利好的背后并非更多的特质信息披露,也并非更高的市场定价效率,而是更低的公司透明度和更多的机会主义行为.
Based on the theory of irrational behavior hypothesis, this paper investigates the relation between risk-taking and stock price synchronicity from the perspective of information transparency. Several findings were extracted as follows:Firstly, because of the noise-trading, the high level of risk-taking reduces the stock price synchronicity in China which are supported by a series of robustness tests. Furthermore, opportunistic behaviors such as earnings management and bad news hiding is the possible mechanism of the relation between risk-taking and stock price synchronicity;managerial overconfidence aggregates such negative relationship. This study provides the theoretical explanation and empirical evidence for the relationship between risk taking and stock price synchronicity for the first time, the very important implication of this study is that although risk-taking would decrease stock price synchronicity, which is not the reflection of effective information disclosure or capital pricing. On the contrary, risk-taking decreases information transparency and induces more opportunistic behaviors.
作者
田高良
封华
张亭
TIAN Gaoliang;FENG Hua;ZHANG Ting(School of Management,Xi'an Jiaotong University,Xi'an 710049,China;Experiment Center for Management Teaching & Learning,Xi'an 710049,China;College of Business,City University of Hong Kong,Hong Kong 999077,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2019年第3期578-595,共18页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71672141
71302195
71502134)~~
关键词
风险承担
股价同步性
信息透明度
噪音交易
机会主义行为
risk-taking
stock price synchronicity
information transparency
noise trading
opportunistic behaviors
