The Relationship Between Information Transparency and Stock Return

• Main Authors: Chen, Li-Ching, 陳俐靜
• Other Authors: Ho,Tzu-Ping
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/65059186885051347029

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 104 === According to efficient market hypothesis, fluctuation of stock prices reflects firm-specific and market wide risk. When investors make decisions based on comprehensive information about market risk and firm transparency, they can diversify the investment risk, and increase the return. This paper examines the impact of information transparency on stock price return. Specifically, it focuses on a disclosure ranking system, Information Transparency and Disclosure Ranking System (ITDRS) from 2012 to 2014. We use information transparency ranking factor and add it to Fama-French three-factor model in order to investigate the usefulness of such a factor in explaining the time-series variation of firm’s returns over and above the role of the original Fama and French factors. The empirical evidence indicates that information transparency negatively impacts investment returns significantly, showing that better-rated companies does not yield comparatively higher returns. However, this means that information transparency factors do have significant impact upon investment returns of rated companies, meaning that ITDRS has information value and that rating outcomes are correlated with stock returns. Therefore, investors may still refer to information published by ITDRS in order to make better informed decisions.