公司治理與股票流動性：S&P透明度與揭露評等之分析

Abstract

本論文研究資訊揭露以及其他公司治理機制對股票流動性之影響。我們假設資訊揭露與財務透明度較差的公司將招致較嚴重的資訊不對稱問題。較差的公司治理將導致較嚴重的資訊不對稱，市場上的流動性供給者因為預期面對相對較高的逆選擇風險，因而會加大有效價差中的資訊不對稱成分。本研究使用S&P 500指數成分股的S&P透明度與揭露評等來檢驗擁有較高透明度與揭露評等的公司，其股票是否能有較低的資訊不對稱成分及買賣價差。實證結果顯示資訊揭露與財務透明度較差的公司，將付出較大的經濟成本在其股票流動性上，亦即其股票將有較高的有效買賣價差與報價買賣價差。

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.