信号还是噪声?——基于上市公司年报文本变动的研究

Signal or Noise?——Evidence from the Modification of MD&A

本文基于上市公司年报MD&A环节文本的相似性,构建衡量文本变动的指标,检验叙述性文本变动对股票价格信息含量的影响。研究发现,年报文本变动抑制了股票价格反映未来盈余信息的能力,削弱了价格信号配置资源的作用。当公司经营情况不佳或盈余操纵空间受限时,管理层利用文本变动干扰市场的意愿增强,股票价格信息含量进一步降低。本文丰富了中文语境下文本分析的研究,为进一步完善上市公司信息披露制度提供了适当的参考和借鉴。

In this paper,we exam whether the modification of MD&A section can improve the informativeness of stock prices.The ability of stock price to reflect future earnings information decreases as executives modify the narrative disclosure.This adverse effect is more pronounced for firms with losses or transient income or constrained in manipulating accruals.This paper complements the research on textual analysis and stock price informativeness in Chinese stock market,and provides appropriate suggestions on further improving the quality of information disclosure.