作者：孙刚
摘要/Abstract
股价中包含了较多的企业特质信息或者信息噪声都可能导致企业股价非同步性现象。企业透明度越高，其股价吸收企业特质信息的效率也就越高。借鉴Faulkender and Wang(2006)和Dittar and Mahrt Smith(2007)提出的衡量企业现金持有价值的方法，以操控性应计盈余和盈余稳健性程度代理企业透明度，系统检验了2003～2006年我国A股上市企业的股价非同步性与资金效率的关系。实证检验发现，其他情形相同的情况下，股价非同步性与企业现金持有价值呈显著正相关关系，然而这种显著的正相关关系主要体现在透明度较高的企业组中。可见，高透明度的财务报告环境有助于增进股票市场对企业特质信息的吸收效率，缓解信息不对称并优化企业现金资产配置。
Stock price nonsynchronicity may be attributed to more firm specific information or noise impounded into price. The more transparent of corporate reporting, the more efficient of firm specific information impounded into stock price. Following Faulkender and Wang(2006) and Dittar and Mahrt Smith(2007) methods of measuring the valuation of cash holdings, using discretionary accruals and earning conservatism as proxies for corporate transparency, the paper examines association between valuation of cash holdings and stock price nonsynchronicity among Ashare listed firms within sample year 20032006. Ceteris paribus, The findings indicate that there is a significantly positive relationship between stock price nonsynchronicity and the valuation of cash holdings and the positive relationship increases with corporate transparency. The findings can be explained that higher corporate transparency contributes much to firm specific information impounding efficiency and then enhance stock price informativeness and optimize insiders’ efficient use of cash by reducing information asymmetry.