引入信息成本的信息结构与股权融资成本

中国管理科学 ›› 2014, Vol. 22 ›› Issue (9): 10-17.

引入信息成本的信息结构与股权融资成本

晏艳阳, 周志

湖南大学金融与统计学院, 湖南长沙 410006

收稿日期:2012-08-24 修回日期:2013-04-07 出版日期:2014-09-20 发布日期:2014-09-27
作者简介:晏艳阳（1962-），女（汉族），湖南益阳人，湖南大学金融与统计学院党委书记、教授、博士生导师，研究方向：金融市场与投资.
基金资助:
国家自然基金重点项目（71031004）；教育部博士点基金项目（20110161110023）；国家自然基金创新群体（71221001）；教育部创新团队（IRT0916）；湖南省自然基金创新群体（09JJT02）

Information Structure and Cost of Equity—When Information Cost Presents

YAN Yan-yang, ZHOU Zhi

College of Finance and Statistics, Hunan University, Changsha 410006, China

Received:2012-08-24 Revised:2013-04-07 Online:2014-09-20 Published:2014-09-27

摘要/Abstract

摘要： 本文放松了Easley和O’Hara信息成本为0的假设，在他们的信息结构模型的理论框架下，构建了一个引入信息成本因素的信息结构模型。从信息结构的四个方面：信息成本、信息风险、信息披露的质量和先验信息质量研究了信息结构与股权融资成本之间的关系，得出了四个推论，从而拓展了信息结构模型。在进一步的实证研究中，选取市场微观结构理论中的逆向选择成本、知情交易概率—PIN分别作为信息成本和信息风险的衡量指标，研究发现：信息成本与股权融资成本之间呈倒‘U’型曲线关系；信息风险越高的股票股权融资成本越高；信息披露质量越高的公司，股权融资成本越低；先验信息质量越高，股权融资成本越低；从而对推论进行了有效验证。本文与Easley和O’Hara最大不同在于引入了信息成本因素，并且用实证方法对推论进行了验证，具有一定的开创性。

关键词: 股权融资成本, 信息成本, 信息风险, 信息披露的质量, 先验信息质量

Abstract: Relaxing the assumption that information is free,a information structure model is developed adding a new factor—information cost, under the theoretical framework of information structure model created by Easley and O'Hara. The equilibrium model is established between information structure and four aspects of information structure, including information cost, information risk, quality of information disclosure and prior information.The results are concluded in four propositions. In empirical research, by selecting adverse selection cost as the proxy of information cost and choosing probability of informed trading(PIN) to measure information risk, it is found that the relation between information cost and equity cost is an inversed U shaped curve. Higher information risk is accompanied with higher cost of equity. Better quality of information disclosure and prior information means lower equity cost. The empirical results are consistent with the former four propositions.The initiative difference from Easley and O'Hara are that adding information cost into the theoretical model and provide empirical results.

Key words: cost of equity, information cost, information risk, quality of prior information, quality of information disclosure

中图分类号:

F830.9

晏艳阳, 周志. 引入信息成本的信息结构与股权融资成本[J]. 中国管理科学, 2014, 22(9): 10-17.

YAN Yan-yang, ZHOU Zhi. Information Structure and Cost of Equity—When Information Cost Presents[J]. Chinese Journal of Management Science, 2014, 22(9): 10-17.

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