新媒体能缓解信息传染效应吗——基于环境污染曝光的事件研究

Can New Media Help Alleviate the Contagion Effect?——Evidence from Environmental Violations

信息传染效应源于股价未能充分反映公司特质信息,鲜有研究从投资者差异的角度研究其缓解机制。本文借助2010-2018年间83起环境污染曝光事件,利用投资者网络互动平台,验证新媒体环境下投资者信息解读能力对信息传染效应的缓解作用及其机制。研究结果显示,新媒体显著降低了信息传染效应;横截面分析为信息机制提供了证据支持,即在公司特质信息使用程度较低、同行业信息与公司特质信息相关性较强、及同行业信息关注度较高时,新媒体作用更强;事件严重程度及行业竞争程度也强化了新媒体的作用;路径检验证明,促进公司特质信息融入股价是其作用机制;我们还发现新媒体显著降低了反转效应。以上结果表明,新媒体能够有效缓解信息传染效应、提高资本市场信息效率。本文从投资者信息解读的角度,拓展了信息披露的相关文献、提供了缓解信息传染效应的新思路、丰富了新媒体应用后果的研究,对于提高资本市场的信息效率具有重要意义。

The contagion effect stems from the failure to fully incorporate firm-specific information into stock price,however few studies considered characteristics of the investors as an important factor to mitigate this problem.Based on 83 environmental violation events of listed companies in China from 2010 to 2018,we exploit the investor online interaction platform to study whether and how the information assimilation improved by new media can help alleviate the contagion effect.We find that new media significantly alleviates the contagion effect.Moreover,the cross-sectional analysis provides evidence consistent of the hypothesis of information channel,that is,the impact of new media is more pronounced when investors put less weight on the firm-specific information,when the correlation between the firm-specific information and the peer information is higher,and when the peer information receives higher attention.Besides,both the severity of the events and the competition in the industry amplify the relationship between new media and the contagion effect.We also conduct a path analysis to verify that new media can help facilitate the incorporation of firm-specific information,which is the mechanism that new media alleviates the contagion effect.Further analysis also shows that new media reduces the reversal effect.Overall,these findings together indicate that new media can help alleviate the contagion effect,and thus enhance capital market efficiency.From the perspective of information assimilation,we expand the large literature on the role of disclosure and dissemination,provide a new way to alleviate the contagion effect,and also make a useful addition to the positive economic consequences of new media.Hence,this paper is of great significance to the improvement of market efficiency.