标题: 公司治理与股票流动性:S&P透明度与揭露评等之分析
Corporate Governance and Equity Liquidity:An Analysis of S&P Transparency and Disclosure Ranking
作者: 廖伟立
Wei-Li Liao
李正福
钟惠民
Cheng-Few Lee
Huimin Chung
财务金融研究所
关键字: 公司治理;透明度与资讯揭露;资讯不对称成本;流动性;Corporate Governance;Transparency and Disclosure;Asymmetric information costs,;Liquidity
公开日期: 2004
摘要: 本论文研究资讯揭露以及其他公司治理机制对股票流动性之影响。我们假设资讯揭露与财务透明度较差的公司将招致较严重的资讯不对称问题。较差的公司治理将导致较严重的资讯不对称,市场上的流动性供给者因为预期面对相对较高的逆选择风险,因而会加大有效价差中的资讯不对称成分。本研究使用S&P 500指数成分股的S&P透明度与揭露评等来检验拥有较高透明度与揭露评等的公司,其股票是否能有较低的资讯不对称成分及买卖价差。实证结果显示资讯揭露与财务透明度较差的公司,将付出较大的经济成本在其股票流动性上,亦即其股票将有较高的有效买卖价差与报价买卖价差。
This paper investigates the effects of disclosure and other corporate governance mechanism on equity liquidity. We posit that companies with poor information disclosure and transparency practices incur more serious information asymmetry problem. Since poor corporate governance leads to greater information asymmetry, liquidity providers will incur relatively higher adverse information risks and will therefore offer higher information asymmetry components of the effective bid-ask spreads. The S&P T&D rankings on the individual stocks of S&P 500 index are employed to examine whether firms with greater T&D rankings have lower information asymmetry component and lower spread of their stocks. Our results reveal that companies with poor information disclosure and transparency practices have larger economic costs of equity liquidity, i.e., the effective spread and the quoted half-spread.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009239507
http://hdl.handle.net/11536/77333
显示于类别:Thesis


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