导　　师： 胡志勇

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 广州大学

摘　　要： 信息、投资者、市场效率及其三者之间关系是资本市场的重要研究领域,信息质量影响投资者的信息解释能力,从而影响市场效率。本文基于投资者信息解释能力模型、价格变动模型、以及交易量模型,尝试从不同的视角探讨在高质量的信息下,分析投资者的信息解释能力对市场效率中的价格发现机制、价格信息量、交易量的影响。 研究发现:/(1/)专业投资者和非专业投资者对公司价值的预期值与他们可获得的信息—公开信息、私人信息/(专业投资者而言/)成线性关系。提高公开信息质量时,投资者会更依赖于公开信息。专业投资者和非专业投资者的信息解释能力提高了;/(2/)高质量的公共信息,专业投资者和非专业投资者的平均信息解释能力增强了,专业投资者和非专业投资者之间的信息不对称降低了,是因为专业投资者的信息解释能力提高得不如非专业投资者的信息解释能力那么大。专业投资者基于信息解释能力的“信息优势”变弱了;/(3/)高质量的公共信息,使得专业投资者和非专业投资者的信息解释能力差异变小,从而影响市场价格发现机制。具体而言:所有投资者的平均信息解释能力提高,股票价格的变动越小;披露的信息越接近公司的真实价值对价格变动的影响越大,价格反映公开披露信息的效率越高;/(4/)公共信息质量提高,会影响价格中的信息量。价格反映公共信息更有效,价格向投资者传递更多的专业化、有用的信息,价格的有效性以及额外信息量与公共信息质量正相关。同时,市场交易量也会随公共质量的提高而提高。 Information, investors, the efficiency of market as well as the relation between them are the most important field of research. The quality of information has effects on investors’information explanatory capability /(IEC/), and then the investors’IEC influence the efficiency of market. First, we try to study the influence of the quality of public information and the investors’IEC on the efficiency of market basing on models of investors’precision of interpretation on information /(PII/), the change of price and the market trade volume under a new hypothesis of the investor’s sophistication. It finds that experts’and non-experts’expectations of the value of assets have a linear relation with public information or private information which only experts can obtain. When improved the quality of public information, investors will much rely on public information, and both the experts’and non-experts’IEC will improve too. Second, in the condition of higher quality of public information, all investors’average IEC will increase, but the information asymmetry will reduce. It is because that the experts’IEC improvement has not larger as the non-experts’. And the information advantage from the PII will lessen. Third, a higher quality of public information makes the discrepancy between the experts and the non-experts decrease. And then it has effects on the stock market price seeking mechanism /(MPSM/). Specially, the stronger all the investors’IEC, the litter the change of stock price; the more approaching the true value of assets from public disclosure release, and the more efficiently the market price response with the release. Forth, the higher public information quality has influenced on the informationess in price and the market trade volume. The higher the public information, the more efficiently the market price release the public information , more expertise and useless information be conveyed by price to investors. And the efficiency of price and the additional information have a positive relation with public information. And the market trade volume will increase with higher public information.

关 键 词： 信息质量 投资者信息解释能力 信息精确度 价格发现机制 交易量

分 类 号： [F224 F830.91]

领　　域： [经济管理] [经济管理]