JOURNAL OF CORPORATE FINANCE, VOL 46，OCTOBER 2017

股价水平告诉了我们关于公司的哪些信息？

作者：Konan Chan(National Cheng chi University)

Fengfei Li(University of Hong Kong)

Ji-Chai Lin(Hong Kong Polytechnic University) ,

Tse-Chun Lin(University of Hong Kong)

摘要：我们假设高股价水平阻碍了股票知情交易并降低了价格信息含量。这是因为需要不知情交易来促进知情交易，高股价可能会对不知情的投资者造成预算限制。事实上，我们发现，对于高股价公司，（i）期权交易量与股票交易量比率（O/S），这一期权市场的知情交易测量更高，（ii）关于未来收益的价格信息含量较少，（iii）对价格的投资敏感性较低。我们也发现在股票分割后，这些关系会发生反转，表明企业可以利用股票分割来改善知情交易，提高价格信息含量。

关键词：股价水平，价格信息含量，O/S，未来收益，股票分割

What Do Stock Price Levels Tell Us About the Firms?

Konan Chan(National Cheng Chi University) , Fengfei Li(University of Hong Kong), Ji-Chai Lin(Hong Kong Polytechnic University) , Tse-Chun Lin(University of Hong Kong)

ABSTRACT

We hypothesize that high stock price levels impede informed trading on the stocks and reduce price informativeness. This is because uninformed trading is needed to facilitate informed trading, and high stock prices may impose budget constraints on uninformed investors. Indeed, we find, for high-price firms, (i) options to stock trading volume (O/S), an informed trading measure in options market, is higher, (ii) price informativeness about future earnings is lower, and (iii) investment sensitivity to price is lower. We also find these patterns reverse after stock splits, suggesting that firms can use splits to improve informed trading and enhance price informativeness.

Keywords: Stock Price Level, Price Informativeness, O/S, Future Earnings, Stock Splits

原文链接：http://www.sciencedirect.com/science/article/pii/S0929119917300433

翻译：王秭越