互动式交流质量与股价特质信息含量——来自交易所线上互动平台的证据

Interactive Communication Quality and Stock Price Idiosyncratic Information Content——Evidence from the Exchange’s Online Interactive Platform

中小股东信息不对称一直是困扰中国资本市场的难题,而成立投资者线上互动平台则是具有创新性的监管尝试。本文利用2009年~2020年中国上市公司与投资者的593万余次线上互动文本数据,构建投资者线上互动质量综合指数,研究了中国资本市场上市公司与投资者线上互动的特质信息含量。研究显示,中国上市公司与投资者的线上互动质量呈上升趋势,年均复合增长率达到了8.06%,但互动质量较高的上市公司较少、整体互动质量偏低。上市公司与投资者的线上互动式交流质量越高,股价对公司特质信息的融合效率越高;线上互动质量对公司股价特质信息含量的正向影响持续3个季度。机制分析表明,线上互动质量通过降低财务信息披露和股价信息反应时滞、吸引分析师关注等方式促进股价特质信息含量的提升;并且,在散户投资者多、投资者情绪低迷等外部环境下,互动质量的提升能产生更强的特质信息效果。本文的研究为完善投资者线上互动平台、实现高质量互动以助推资本市场信息效率提升提供了有益的借鉴。

The information asymmetry of retail investors has always been an issue that plagued China’s capital market,while the establishment of an online interactive platform for investors is an innovative regulatory pilot to alleviate this problem.This paper uses the text data of more than 5.93 million online interactions between Chinese listed companies and investors from 2009 to 2020 to construct a comprehensive index of investors’online interaction quality,and studies the idiosyncratic information content of online interactions between listed companies and investors in China’s capital market.Results show that the quality of online interaction between listed companies and investors is on the rise,with an average annual compound growth rate of 8.06%,but there are fewer listed companies with higher interaction quality,and the overall interaction quality is still low.The study also shows that the higher the quality of online interaction between listed companies and investors,the higher the integration efficiency of stock price with the company’s idiosyncratic information;the quality of online interaction has a stable and continuous positive impact on the stock price’s idiosyncratic information content,with a duration of up to 3 quarters.The mechanism analysis shows that the quality of online interaction promotes the improvement of the idiosyncratic information content of stock price by reducing the time lag of financial information disclosure and stock price information response,and attracting the attention of analysts.Moreover,in an external environment with low investor sentiment,the improved quality of interaction can produce stronger idiosyncratic information effects.This study provides a useful guideline for improving the online interactive platform for investors and realizing high-quality interaction to boost the information efficiency of the capital market.