【作者】 雷东辉；

【导师】 樊行健；

【作者基本信息】 西南财经大学 ， 会计学， 2007， 博士

【摘要】 本论文基于信息不对称对权益资本成本影响的视角研究信息不对称、权益资本成本及资本市场效率的问题。论文的研究重点是信息不对称对权益资本成本的影响方向和影响量,兼评资本市场效率问题。国外关注这一课题始于上世纪60年代末,近几年对这一课题的研究成果在《the Accounting Review》、《Corporate Finance》等几乎每年都有。国内一些前沿的研究者也开始关注这一课题,并在《经济研究》、《管理世界》、《会计研究》等上面有了几项探索性研究文献。信息主要是对分析对象的新认知,新的认知会修正信息使用者的信念,是对决策真正有用的信息。信息不对称(Information Asymmetry)指在某种相互对应的经济人关系中,一方不具备或不完全具备另一方所拥有的信息,从而使各方在某些事件的认识上呈非对称分布。我们研究的信息不对称是对信息分布的客观状况的描述。信息不对称是常态,绝对的信息对称是不存在的。权益资本成本是普通股股东要求的最低报酬率,它是基于信息特别是会计信息而对未来的一种预期,资本成本研究的复杂性主要表现在权益资本成本上。在信息对称、市场完美的假设下,资本资产定价模型认为影响权益资本成本的是系统风险,通过对系统风险定价可以估计权益资本成本。但在我国资本市场中,由于信息不对称较为严重,依据资本资产定价模型估计得到的权益资本成本会偏低,以此贴现得到的评估价值会偏高,从而出现投资人的决策失误,影响到资本市场资源配置的效率。研究信息不对称对权益资本成本的影响的意义主要表现在价值评估中求解更合理的贴现率,得到更科学的评估价值,使投资更富效率。本论文的结构安排如下:第一章为导论。首先界定信息不对称、权益资本成本和资本市场效率的概念,明确本文所研究主题的内涵。从概念看出,信息不对称与权益资本成本内在联系就在于,权益资本成本是对必要报酬率的“预期”,这种未来预期必然受到资本市场信息分布状态的影响;资本市场的高效率需要信息公开和竞争公平的资本市场环境。接着说明了选择该课题的原因,并总结了前期调研情况,概括了从调研获知的信息,提出了要研究的问题。第二章是文献述评,并提出研究目的、思路等。现有理论分析主要从交易成本、流动性或风险溢价角度进行,具体分析方法有公开信息和私人信息、均衡价格、知情者和不知情者等;同时学者们探讨了国家、行业和公司层次的权益资本成本。本论文研究目的在于阐明信息不对称的诸要素对权益资本成本的影响方向和影响量,提出一种合理的方法,来对信息不对称带来的风险进行定价,并分析资本市场对效率损失,提出综合治理措施。研究思路为:通过理论分析,说明信息不对称影响权益资本成本的本质在于风险溢价,并分别三个因素分析;然后通过实证研究和实验方法对股票市场信息不对称与权益资本成本的关系进行分析,通过案例对项目投资价值评估中风险补偿率的问题进行分析;接着分析资本市场效率损失和综合治理问题;最后总结,提出创新点、局限性,并提出未来研究方向。第三章从理论上说明信息不对称对权益资本成本的影响机理。本部分在解释会计信息和信息不对称的基础上,从三个方面阐述信息不对称需要调高风险溢价:一是信息不对称环境下,分散非系统风险的资产组合一般是不可能的,因此需要补充非系统风险;二是信息不对称必要影响流动性,因此要求流动性溢价;三是信息不对称下的交易需要付出更大的交易成本,这会体现在对必要报酬率的要求上。然后把信息披露水平、信息传导机制、信息解读能力作为信息不对称的三个因素,分析对权益资本成本的影响。最后重点分析股票价值评估和项目投资价值评估,提出了风险因素赋值分析法。第四章为实证研究和实验分析。实证是从微观层次上信息不对称和权益资本成本关系的研究,用信息披露水平衡量信息不对称程度,并采用了国内独立研究机构“经济观察研究院”对上市公司的信任度评分;其他变量有股权结构、公司规模、系统风险等。结论显示信息披露水平每降低一分,权益资本成本会提高0.11%。当然,笔者认为这个数据关系要应用于实务,还不恰当。随着股票市场的发展,我们可以研究更多年份的数据,进一步实证二者之间的数据变化关系,并运用于价值评估实务。实验分析模拟一个资本市场,三个实验局设计包含了对国家层次和公司层次,以研究信息披露水平、信息解读能力因素对权益资本成本的可能关系。实验结论支持了信息披露水平、信息解读能力与权益资本成本的反向变动关系。第五章为案例分析。笔者以某知名国际投行M对甲光电股份公司的投资分析为例。根据甲公司出示的财务报告、存货和固定资产、财务预测和资本预算、风险提示等情况,M行进行收入费用、固定投入等方面的预测,并得出预计利润表、资产负债表、现金流量表,计算净现值,作出能否投资的决策。这里的关键是对获取及其加工的信息质量进行评估,根据其包含的风险因素,合理确定权益资本成本和加权平均资本成本。本案例反映了在项目投资价值评估中,根据现金流量包含的风险大小,通过分析宏观、中观、微观以及信息不对称的状况,投资者会根据风险大小提出更高的回报要求,表现在要调整权益资本成本,进而改变了贴现率和净现值。本案例中投资者从5个方面分别对信息不对称增加的风险赋值,共计提出了1.75%的风险补偿。第六章基于本研究,提出相关的资本市场效率损失的方面:减弱流动性、波动剧烈、导致“逆向选择”、优质资源外流等。接着提出了综合治理思路:监管机构通过制度建设,增强市场透明度,改善资本市场的投资环境;投资者通过提高信息解读能力,揭示和辨别各类风险;公司管理层应改善治理结构,重视投资者关系管理,加强财务预警分析。第七章是基本结论,并明确创新点、局限性,提出未来研究方向。本文基本结论如下:1、资本市场信息不对称来自信息披露水平、信息解读能力、信息传导机制三个方面,这三个方面与信息不对称程度是反向变化关系,信息不对称程度与权益资本成本成正方向变动。2、国家、行业和公司层次上都存在信息不对称现象,且都遵循信息不对称与权益资本成本的正向变动关系。公司层次上主要是信息披露水平;国家和行业层次要考虑三个方面,它们从不同角度影响信息不对称程度,进而对权益资本成本构成影响。3、微观层次上,量化了信息不对称程度对权益资本成本的影响值,结论显示信息披露水平每降低一分,权益资本成本会提高0.11%。该结论能否运用于指导实务中的权益资本成本取值,还有待更多的证据。4、在股票投资价值评估、项目投资价值评估中都可以采用“风险因素赋值分析法”来调整资本资产定价模型(CAPM)计算的权益资本成本,并用以贴现,计算净现值。风险因素中单独分析信息不对称是必要的,并且要尽可能的明细化。在价值评估中,分析师要有意识地认识包括信息不对称在内的各类风险因素,并赋予适当的比率。5、贴现率过高或过低都是对价值评估不利的,但目前并没有完全科学的追加风险利率的方法,不可避免地有一定的主观估计在内,但忽视信息不对称因素对权益资本成本的影响可能使投资者高估净现值。6、信息不对称严重,会导致企业较高的用资成本,这会导致资本市场效率损失。改善这一状况需要监管机构、投资者、管理层的共同努力,有为而治。本文的创新表现在:1、理论分析上的创新。一是三因素分析。在造成信息不对称的因素分析中,首次提出除信息披露水平外,应考虑信息解读能力、信息传导机制的因素,亦即全面考虑管理层、投资者、监管机构等各相关利益人的影响。二是补充非系统风险的观点。笔者从前人提出的“至少15种以上证券组合才能分散非系统风险”的角度,认为信息不对称环境下应补充非系统风险,而不只是对系统风险定价,这一理念和交易成本、流动性溢价共同构成“风险因素赋值分析法”的理论基础。2、实证研究变量设置和衡量方面的创新。笔者考虑我国特殊的制度背景,在计量模型中考虑股权结构的影响,并设计了流通股占全部股份的比例、前十大流通股东持股占流通股的比例两个指标;在信息披露水平的衡量上,采用了独立研究机构“经济观察研究院”的“中国上市公司信任度指数”,尽管有局限性,但在目前缺乏公认的权威评价情况下,是相对较优的选择,在国内属首次。3、提出了一种新的方法——“风险因素赋值分析法”。该法用于解决信息不对称影响权益资本成本的量化问题,适用于股票投资价值评估和项目投资价值评估等。本论文的局限性表现在:1、对上市公司和非上市公司在信息不对称影响权益资本成本的方面没有进行比较分析;而在股票价值评估和项目投资价值评估方面,前者是通过实证检验研究,后者通过案例分析来说明,没有在理论上做过多说明。2、笔者提出了“风险因素赋值分析法”,但是还没有能够提出明细化的科学方法,也没有能够设计一个一般的风险因素赋值分析法表。3、实证研究中涉及对信息披露质量的量化,笔者选取经济观察研究院2004年中国上市公司信任度指数,该指数从设计上看是较细的,但评估结果的科学性尚不好说;另外该指数评估依据以2003年财务报告为主,相应笔者其他变量的数据也为2003年数据,因此数据显得要早一些。该课题在国内刚刚起步,本论文不过是“抛砖引玉”。在未来的研究方向上,笔者提出信息披露指标的衡量、三因素分析及博弈论和契约论解释的深入、实证研究上的细化、风险因素的深入分析、资本市场效率和治理以及发展独立学科等方面。更多还原

【Abstract】 This paper focuses on information asymmetry, equity capital cost and capital market efficiency on the basis of that information asymmetry brings influences to equity capital cost. Overseas experts paid much attention to the task since 1960s, whose outcomes have been published in《the Accounting Review》、《Corporate Finance》,etc., during recent years. Meanwhile, the up-to-date domestic researchers start to concentrate on it, as well as come out with several pioneering articles on Journals such as《Economic Research》,《Management World》,《Accounting Research》,and so on.Information mainly means new recognition to analysis objective. The new recognition, which can be used to revise the old ideas, is precious“treasure”for users. Information asymmetry means one side generally has better information than other sides, so that information appears asymmetric on the whole. My research is to describe the objective situation about information asymmetry. Information asymmetry is constant. Absolut information symmetry doesn’t exist factly. Equity capital cost, the lowest return interest of common stockholders, is a kind of expectation according to information, especially accounting information. The complexity of capital cost research performs on equity capital costs mainly. Under both hypothesis of information symmetry and ideal market, CAPM regards system risk as the influential factor of equity capital cost. We can estimate equity capital cost via pricing system risk . Yet in domestic capital market, information asymmetry is more severe, so equity capital cost which is computed by CAPM would be lower and the discount valuation would be higher. This causes a serial of decision mistakes and influences capital market efficiency.The paper structure arrangement is as follows:The first chapter is introduction. Firstly, define the concepts of information asymmetry、the equity capital costs and capital market efficiency.There is intrinsic connection between information asymmetry and the cost of equity capital . Cost of equity capital is rate of necessary return , which is affected by the condition of capital market information distribution. Secondly, explain reasons of choosing the subject and summarize answers about the investigation.Chapter II is a review of literature, and points out research purposes. Existing theoretical analyses are mainly from perspective of transaction cost, liquidity or risk premium. There are a lot of specific analysis methods. Scholars probed into equity capital cost from country, industry and corporate levels. My purposes of the study are to clarify major elements of information asymmetry, propose a rational approach to price information asymmetry risk, analyze losses of capital market efficiency, and put forward comprehensive measures. I analyze risk premium in theory firstly. Use demonstration and experiment method to analyze the relation between information asymmetry and cost of equity capital on stock market. Then through a case, analyse risk-compensating rates in investment project value assessment. And then analyze the capital market efficiency loss and comprehensive measures. Finally point out the innovations, limitations.In the chapter III, I discuss how asymmetric information affects cost of equity capital. I explain from three aspects that information asymmetry needs to increase risk premium. Then I regard information disclosure level, information transmission mechanisms, information interpretation ability as three factors of asymmetric information. Finally my analyses focus on the value of the stock and project investment value assessment.Chapter IV is empirical research and experimental analysis. Empirical research is to probe into the relation of information asymmetry and equity capital cost in micro-level. The first important variable is information disclosure level; There are other variables including ownership structure, size of companies, system risks, and so on. Conclusions show that cost of equity capital will increase 0.11% when information disclosure level reduce 1 mark. Of course, I believe that the data is not appropriate in practice. Along with the development of stock market, we will acquire more years’data. Experimental analysis simulates a capital market. Three experimental designs include the country level and the company level. The experimental results support reverse relationship between information disclosure level、the ability to interpret information and equity capital cost.Chapter V is case analysis. The author introduce an example that a well-known international investment firm M invested a Photoelectric Ltd. Firm M was supplied with financial reports, inventory and fixed assets, financial forecasting and capital budget, and so on. The key is to acquire information and assess processing information quality. The case reflects that investors will require higher return according to risk in the cash flow of the project investment evaluation. In this case investors increased risk requirement from five aspects of information asymmetry. Total risk compensation is 1.75% from information asymmetry.In the sixth chapter, the author raises losses of capital market efficiency: high cost of utilizing capital, adverse selection, outflow of good resources and poor liquidity. Then I come up with a comprehensive management ideas: the regulatory organization build efficient system to enhance the transparency of capital market and improve investment environment; investors improve information interpreting capabilities to reveal and identify all types of risk; the company management improve management level, attach importance to investor relations, and strengthen financial warning analysis.The seventh chapter is basic conclusions and nnovations and limitations, and the author point out direction of future research. In this paper, the basic conclusion is as follows.1. In the capital market, information asymmetry comes from information disclosure level, information interpretation capacity, and information transmission mechanism. They are reverse with the degree of information asymmetry. Meanwhile ,the degree of information asymmetry is positive with equity capital cost.2. Information asymmetry exists in various levels, including country、industry and company level. Every level follows positive relation between information asymmetry and equity capital cost. In the company level, information disclosure is most important factor.3. In the micro level, the author weighs the degree of information asymmetry on the cost of equity capital in quantity. Result shows that the level of information disclosure reduce one mark, equity capital cost will increase 0.11%. It needs more evidences to testify whether the conclusion can apply to value assessment in practice.4. " Risk factors analysis method" can apply to adjust equity capital cost calculated by the capital asset pricing model (CAPM) and calculate the NPV. Analysis of information asymmetry should be included in risk factors.5.Too high or too low discount rates are detrimental to value assessment. There is no complete scientific method to calculate risk premium at present. Subjective estimates will be inevitable, but neglecting information asymmetry is likely to cause investors to overestimate net present value.6. Serious asymmetric information will lead to high cost of utlizing capital , which leads to efficiency losses of capital market. Regulatory organization, market investors and management need to make great efforts to improve the situation.The major innovations of this paper are as follows:1. Innovation of theoretical analysis. Three factors analysis is my first innovation. Non-systemic risk need supplement. At least 15 or more securities can be dispersed portfolio of non-systemic risk, so we should add non-system risk. We should not only price the systemic risk.2. Innovation about settings and measurement of variable in empirical study. The author consider a special system background in our country and design two variables:tradable shares to all of shares、10 largest tradable shares to all of the tradable shares. In the measurement of information disclosure, I used "Chinese listed companies confidence index" of the Economic Observation Research Institute which is independent research institutions. There are som limitations, however it is a better choice relatively at present. On the condition of lacking recognized authority assessment organizations , it is a good selection in present empirical studies in our country.3. Present a new method—“risk factors analysis”. The method was applied to solve the problem that the degree of information asymmetry affects quantities of cost of equity capital. It is a feasible way to value assessments in stocks and projects investment.In this paper, limitations display as follows:1. There is no comparative analysis between listed companies and non-listed companies. In the value assessment of stock and project investment, the former is studied through empirical testing, and the latter illustrates mainly by case studies. I don’t explain them detailedly in theory .2. The author has presented "risk factors analysis method", but fail to propose details of the scientific method. I am not able to design a general risk factor analysis table.3. In the empirical studies, the author selected confidence index of the Economic Observer Research Institute in 2004 listed companies in China. The assessment basis for the index is mainly financial reports in 2003, so the data appears to be earlier.The subject has just started in China. The paper "Use the little to get the big". In future research, the author will improve in measurement of information disclosure、three factors analysis、interpretation of game theory and contract theory、analysis of risk factors、capital market efficiency and the development of independent disciplines, and so on.更多还原