证券信息交流家乡偏误及其对股票价格的影响:来自股票论坛的证据

The Home Bias in the Exchange of the Stock Information and its Impact on Stock Prices: Evidences fro the Stock Forum

本文选用沪深A股中注册地在四川和辽宁两省的109家上市公司数据和东方财富网股吧发贴数据,对信息交流中"家乡偏误"的存在性、影响因素及其对资产定价的影响进行了研究。实证结果表明:证券信息交流中存在"家乡偏误"现象,股票论坛中投资者以更大的概率参与本地股票信息的交流;在有限注意作用下,公司基本面、业务本地化程度对信息交流"家乡偏误"产生影响,每股收益对本地交流比例具有显著负向影响,而公司业务的本地化比例对本地交流比例有显著正向影响;信息交流"家乡偏误"对股票价格有显著影响,信息交流的本地投资者比例越大,股票价格越高。

By the use of the data,of A shares of Shanghai Securities Market and Shenzhen Securities Market,of 109 listed companies registered in Sichuan Province and Liaoning Province,and the data posted on East-money Forum Bar,we have,in this article,made a study on the existence of the home bias in the exchange of information,its influencing factors and its impact on the pricing of assets.The results of our study show that there exists a home bias,that in the exchange of the stock information,that,in the forum about stock,investors have a great probability to participate in the communication in the information on local shares,that,with limited attention,the fundamentals and the localization degree of impact on the home bias in communication,that earnings per share has a significantly negative effect on the ratio of the local communication,that the proportion of the localization of company’s operation of business has a noticeable positive bearing on the proportion of the local communication,that the home bias in the exchange of information has a noteworthy influence on stock prices,and that,the greater the proportion reached by the local investors in the exchange of information,the higher the stock prices.