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本文依据Holthausen和Verrecchia(1990)的研究,假设在信忠传递过程中同时存在“知情效应”和“认同效应”两种信息效应,并以1996—2002年沪市发生的381起配股事件为研究样本,通过考察配股公告期和除权期内股价和交易量的变化对配股公告的“知情效应”和“认同效应”进行了实证研究。结果表明:(1)配股公告具有一定的信息含量,并向市场传递了负面的信息,造成了股价的下跌和交易量的放大;(2)除权期内的价格和交易量反应与公告期显著不同;(3)配股公告后股价变动的方差和交易量同时增加,说明在配股公告的信息传递过程中是“知情效应”占先,“认同效应”并不明显,这一结论从一个新的角度揭示了我国证券市场信息披露制度的不完善。
Based on the research of Holthausen and Verrecchia (1990), this paper assumes that there are two kinds of information effects of “Informed Effect ” and “” Identity Effect The incident is a sample of the study, and the empirical study is conducted on the “Informed Effect ” and “Identity Effect ” of the allotment announcement by examining the changes in the stock price and trading volume in the announcement period and the ex-dividend period. The results show that: (1) The placement announcement has a certain amount of information and negative information is passed to the market, resulting in the drop of the stock price and the amplification of the trading volume; (2) The reaction of the price and the transaction volume during the period of ex-rights and the announcement period are significant (3) The variance and trading volume of stock price after the announcement of share allotment increased at the same time, which indicated that it was not obvious that “informed effect ” took precedence and “identity effect ” in the process of information delivery of share allotment, A new perspective reveals the imperfect information disclosure system in China’s securities market.