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上市公司价值信息作为综合性的信息,其披露会对投资者交易行为产生一定影响。本文以投资者交易行为为研究视角,以深市上市公司为研究样本,分别研究了价值信息披露数量和质量对该股票买卖价差、交易量、交易额、换手率及收益波动率的影响。研究结果表明,我国上市公司价值信息披露水平对投资者交易行为有一定的影响,公司价值信息披露水平越高,该公司股票的买卖价差越低,股票的交易量、交易额及换手率越大;公司价值信息披露质量越高,该公司股票收益波动率就越低。因此,提高信息披露数量和质量,及加大对违规价值信息披露的处罚,对保护投资者利益有积极作用。
The listed company value information as a comprehensive information, its disclosure will have some impact on investor transactions. This paper takes the investor transaction behavior as the research perspective and takes the Shenzhen listed company as the research sample to study the impact of the quantity and quality of the value information disclosure on the trading spread, the trading volume, the trading volume, the turnover ratio and the earnings volatility. The results show that the level of disclosure of value information of listed companies in our country has a certain impact on the trading behavior of investors. The higher the disclosure level of the company’s value information, the lower the bid-ask spread of the company’s stock, the more the transaction volume, the turnover and the turnover rate The higher the quality of company value information disclosure, the lower the company’s stock return volatility. Therefore, improving the quantity and quality of information disclosure and increasing penalties for the disclosure of information on the value of violations have a positive effect on protecting the interests of investors.