R2的复活——股价同步性研究评述与展望

R2是最近十几年迅速发展的一个研究课题,其研究取向从纯粹的计量经济学符号演变为股价同步性特征变量,并与公司特质信息含量联系起来,赋予了全新的内涵.学者们通过跨学科的交叉与融合,从法与金融理论、委托代理理论、信息不对称理论、公司治理理论等视角对R2背后的生成机制、作用渠道和影响后果展开富有成效的研究.本文首先梳理从资产定价模型到R2,再从R2到股价同步性中间的学理关系和因果顺承,接着回顾了关于R2形成机理与经济后果的相关讨论,然后对R2的学术争论进行总结和评述,最后就R2的溯源问题、以及文化与政治潜在影响对未来R2研究提出展望.

The resurgence of R2 : Review and prospect on the studies on stock price synchronicity

The research on R2 has grown fast in the past decades.R2 has evolved from a purely econometric symbol to a variable of stock price synchronicity,and is linked to firm-specific information content.Scholars explore the causes,consequences,and the generating mechanism behind the R2 from the law and finance theory,principal-agent theory,asymmetric information theory,corporate governance theory,and many other perspectives.The paper first reviews the causality association between asset pricing model,R2,and the stock price synchronicity,and then presents the findings on the causes and consequences of R2.After that the paper discusses the academic debate on R2.Based on the above,this paper looks forward to the future researches from the two aspects:the source of R2,and the potential effects of culture and politics on R2.