CAJ | 학술논문

摘要：本文分析和检验了企业层面的透明度对股价波动性的影响。使用A股上市公司数据，我们发现当前更高的盈余质量、更好的信息披露水平、更多的分析师跟踪、更准确的分析师盈余预测和国际四大审计，同未来更低的个股回报方差相联。采用工具变量回归，二者的负相关系依然存在。进一步研究发现，透明度同股价波动性的负相关关系在代理问题更为严重以及机构持股比例更高的样本组中表现更为明显。
적요：본문분석화검험료기업층면적투명도대고개파동성적영향。사용A고상시공사수거，아문발현당전경고적영여질량、경호적신식피로수평、경다적분석사근종、경준학적분석사영여예측화국제사대심계，동미래경저적개고회보방차상련。채용공구변량회귀，이자적부상관계의연존재。진일보연구발현，투명도동고개파동성적부상관관계재대리문제경위엄중이급궤구지고비례경고적양본조중표현경위명현。
This paper investigates whether firm-level transparency affects the stock return volatility. Using a sample of A-share listed firms, we document lower variance of market-adjusted returns are association with higher earnings quality, better information disclosure, more analyst following, more accurate analyst forecast, and higher quality auditors. Using a two stage least squares （2SLS） estimator, the negative relation between transparency and volatility still holds. Further study suggests that the relation between transparency and vola- tility is more pronounced when agency problems embedded in the ownership structures are more severe and when institutional ownership is higher.