年报与分析师报告语调差异对权益资本成本的影响——基于自然语言处理技术

The Effect of Differences in Tone between Annual Reports and Analyst Reports on the Cost of Equity Capital——Based on Natural Language Processing Technology

已有文献多聚焦单语调信息环境下投资者决策行为,而本文认为,信息是多元的,不同语调之间的差异也可能会对投资者决策产生影响。本文以2010~2021年我国沪深A股上市公司为研究样本,利用自然语言处理技术构建语调差异量化指标,研究年报与分析师报告语调差异对企业权益资本成本的影响。研究发现,年报与分析师报告语调差异越大,企业权益资本成本越高。进一步研究发现,信息不对称在两者之间发挥了部分中介作用。异质性检验发现,在非国有企业、分析师能力较强以及盈利能力较差的样本组中,两者关系更加显著。经济后果检验发现,年报与分析师报告语调差异提高了企业权益资本成本,从而降低了企业价值。

The existing literature mostly focuses on investor decision-making behavior in a monotone information environment,but this paper argues that information is multifaceted and the differences between different tones may have an impact on investor decision-making.This paper takes China's A-share listed companies in Shanghai and Shenzhen from 2010 to 2021 as a research sample,and utilizes natural language processing technology to construct a quantitative indicator of tone differences,and studies the impact of tone differences between annual reports and analysts'reports on the cost of equity capital.It is found that the greater the difference in tone between annual reports and analysts'reports,the higher the cost of equity capital of enterprises.Further research finds that information asymmetry plays a partial mediating role between the two.The heterogeneity test finds that the relationship is more significant in the sample groups of nonstate-owned firms,more competent analysts,and less profitable firms.The economic consequences test finds that the difference in tone between annual reports and analysts'reports raises the cost of equity capital and thus reduces firm value.