上市公司自媒体信息披露与股价崩盘风险——信息效应抑或情绪效应?

We-media Information Disclosure of Listed Companies and Stock Price Crash Risk——Information Effect or Sentiment Effect?

针对微博作为公司自愿性信息披露的自媒体,是否能够影响公司股价崩盘风险,及其发挥作用的渠道进行了探讨。研究发现:微博的影响机制包括信息效应和情绪效应,信息效应表现为自媒体信息披露通过加速信息的扩散和传播,降低信息不对称而降低股价崩盘风险;情绪效应表现为自媒体信息披露通过平抑、引导投资者情绪而降低股价崩盘风险。进一步通过爬虫和手工处理方式,获取我国A股上市公司的微博开通和使用情况,运用双重差分模型,发现微博信息披露显著降低了上市公司的股价崩盘风险,其中信息效应和情绪效应均发挥了重要作用,而且对于国有企业的影响更加显著。

This paper studies whether Weibo,as a We-media for voluntary information disclosure,can affect the stock price crash risk and the channel through which it exerts its influence.It s found that the influencing mechanism of Weibo includes both the information effect and the sentiment effect.The information effect is that the We-media information disclosure reduces the stock price crash risk by accelerating the information dissemination and reducing the information asymmetry,whereas the sentiment effect is that the We-media information disclosure reduces the stock price crash risk by calming down and guiding investors sentiment.By reptiles and manual handling,we obtained the Weibo opening information and usage of A-share listed companies in China.Using double difference model,the study finds that the Weibo information disclosure reduces the stock price crash risk significantly,which has a more significant impact on state-owned enterprises.Both the information effect and the sentiment effect play an important role.