Prasad Mason, Bakry Walid, Varua Maria Estela
Western Sydney University, School of Business, 169 Macquarie St, Parramatta, Locked Bag 1797, Penrith, NSW, 2751, Australia.
Heliyon. 2020 May 27;6(5):e03885. doi: 10.1016/j.heliyon.2020.e03885. eCollection 2020 May.
This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on return volatility. Analyst price targets (PTR) and Morningstar stock star ratings (MSR) were used as private information proxies while Australian Securities Exchange (ASX) announcements were used as the public information proxy. Daily data was collected for ASX 200 listed firms for the period 2013 to 2017. Analysis was conducted at both the aggregate market level and the sectoral level. Findings suggest that PTR have the largest effect on return volatility at both levels, with varied effects within each sector. This indicates that investors rely heavily on this information when undertaking investment decisions. In contrast, MSR had a negligible effect, likely due to the lower degree of informational content. Public information had a minor effect on return volatility at both the aggregate market and sectoral levels. These mixed results show that information flow varies depending on the information type (i.e. public or private) with each sector interpreting the same type of information differently. The research findings provide a valuable guide to investors regarding the appropriate information to generate excess returns as well as to hedge against future losses.
本文考察了信息披露在解释澳大利亚股票市场回报波动性方面的作用。该研究运用了更精确的代理变量来检验公开信息和私有信息对回报波动性的影响。分析师价格目标（PTR）和晨星股票星级评级（MSR）被用作私有信息的代理变量，而澳大利亚证券交易所（ASX）公告则被用作公开信息的代理变量。收集了2013年至2017年期间ASX 200家上市公司的每日数据。分析在总体市场层面和行业层面均有进行。研究结果表明，PTR在两个层面上对回报波动性的影响最大，且各行业内影响各异。这表明投资者在做出投资决策时严重依赖此类信息。相比之下，MSR的影响微不足道，可能是因为其信息含量较低。公开信息在总体市场和行业层面上对回报波动性的影响较小。这些混合结果表明，信息流因信息类型（即公开或私有）而异，且各行业对同一类型信息的解读也有所不同。研究结果为投资者提供了一份关于获取超额回报以及对冲未来损失的合适信息的宝贵指南。
