Tính thanh khoản của thị trường chứng khoán và sự bất đối xứng thông tin xung quanh các thông báo thu nhập tự nguyện

Emerald - Tập 4 Số 1 - Trang 60-75 - 2008
Faten Lakhal1
1Institut de Recherche en Gestion, Université de Paris XII‐Val de Marne, Créteil, France

Tóm tắt

Mục đíchMục đích của bài báo này là xem xét xem các thông báo thu nhập không bắt buộc có bao gồm thông tin có giá trị và ảnh hưởng đến sự bất đối xứng thông tin và tính thanh khoản của thị trường chứng khoán hay không.Thiết kế/phương pháp/tiếp cậnPhương pháp nghiên cứu sự kiện khám phá nội dung thông tin của các thông báo thu nhập tự nguyện tốt, xấu và trung tính. Sau đó, khung hồi quy OLS theo bảng được sử dụng để phân tích sự bất đối xứng thông tin và tính thanh khoản của thị trường chứng khoán sau cả hai loại thông báo thu nhập tự nguyện (tức là dự báo thu nhập và thông báo thu nhập hàng quý).Kết quảCác thử nghiệm thực nghiệm cho thấy các thông báo thu nhập tự nguyện bao gồm thông tin quan trọng và rằng tin xấu được phát hành một cách không kịp thời dẫn đến sự rò rỉ thông tin trong giai đoạn trước thông báo. Kết quả cũng chỉ ra rằng thu nhập hàng quý cải thiện tính thanh khoản của thị trường chứng khoán bằng cách thu hẹp khoảng cách giữa giá mua và giá bán. Tuy nhiên, dự báo thu nhập làm gia tăng sự bất đối xứng thông tin trước và sau ngày thông báo. Kết quả này xác nhận sự tồn tại của sự rò rỉ thông tin và gợi ý rằng các nhà quản lý có quyền tự quyết định lớn về việc có nên dự báo hay không, cũng như quyết định về thời gian, hình thức và tính cụ thể của dự báo đó.

Từ khóa

#thanh khoản thị trường #bất đối xứng thông tin #thông báo thu nhập tự nguyện #dự báo thu nhập #khoảng cách giá mua bán

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