投资者关注与年报问询函市场反应投资者关注与年报问询函市场反应--价格压力还是信息传递

Investors' Attention and Market Reaction to Comment Letters on Annual Reports: Price Pressure or Information Transferring

根据现有理论,投资者行为可能给市场带来价格压力,同时信息搜索行为会产生信息传递,从而降低市场信息不对称。本文以2015-2017年沪深交易所公开披露的年报问询函为事件背景,以超额百度搜索指数为投资者关注的衡量变量,对投资者关注对问询函公告日市场反应的影响进行检验。结果发现,投资者关注削弱了市场对问询函事件的负面反应,这说明"价格压力"与"信息传递"可能同时存在。经过进一步验证,本文证实了中国市场投资者关注行为降低了市场信息不对称程度。在进一步分析中发现,投资者关注降低了收到函件公司的信息补救成本。研究结论旨在为信息披露监管层面及投资者行为等研究领域提供政策启示及研究方向。

Investors' attention has been a hot topic in the research on capital markets in recent years.However,there is rarely literature focusing on how investors' attention impacts on market reaction to regulatory events.Prior studies provide us with two theoretical explanations of investors' attention.One is that investors' attention will bring the "Price Pressure" to the market therefore the price of securities with more attention paid will go up;the other is based on information asymmetry which indicates that investors' attention will enhance "Information Transferring".Using the issued comment letters on annual reports by stock exchanges in China as the research setting,measuring investors' attention by calculating the abnormal searching volume of Baidu Index,we examine the impact of investors' attention on market reaction to comment letters.We find that there is significantly positive relationship between investors' attention and the negative cumulative abnormal returns around the events of comment letters.This suggests that either "Price Pressure" or "Information Transferring" works,or both.We further test on reversal effect of investors' attention on the short-term ex post stage of issuance of comment letters and do not find any reversals.Therefore,investors' attention in Chinese capital market is mainly dominated by information transferring.Additional analyses on the impact of investors' attention on firm-level characteristics also find that firms with more attention paid by investors have lower cost of information remediation.The conclusions may be reference to further regulatory policies or future academic research.Since the reviewing process of inquiry letters has not been studies as extensively as other aspects of emerging capital markets regulations.We propose a novel dataset of sample firms that has been issued inquiry letters by Shanghai or Shenzhen stock exchanges to set up a special experimental setting with bad news. Prior work has done bulk of research claiming that the traditional thoughts about investors were wrong.Instead of being rational individuals and investing passively,they behave very differently and have their attention focused on the stocks where their interests locate.In other words,investors do not focus all their attentions on the information they get access to.In most literature of "Attention Economy",attention is considered as a precious resource.With information overloaded in capital markets,the attention is what makes decisions to be made.Capital market participants have their own different ways of searching information for investment decisions,among which are individual retail investors.Unlike institutional investors who are more sophisticated with financial information analyses and more experienced in stock investment,the information seeking by individual investors are mostly through Google or other search engines.As a result,the searching trends or searching volume indexes have been widely used in the literature as measures of investors' attention (Da et al.,2011;Jun et al.,2018).However,most studies are focusing on the relationship between investors' attention and market reaction to positive signals or good news (IPO or earnings announcements). Our contributions are as follows and might be of interest to both academic researchers and accounting professionals.First,our study contributes to the investor behavior literature (Da et al.,2011) by capturing the abnormal searching volume around two phases of information shocks.Second,this study contributes to the growing literature on how market responds to public news by specifically examining the regulatory oversight process like inquiry letters or comment letters (Cassell et al.,2013;Johnston and Petacchi,2017).Using market-adjusted abnormal returns,we document the market reaction to inquiry letters is statistically and significantly negative over a couple of windows.Third,our study provides evidence to the nascent literature which examines the relationship between individual investors' attention and corporate reporting regulatory regime.Previous studies find that investor attention is significantly associated with firms' announcement of good news like earnings announcement or IPO events whereas how retail investors' attention impact the market reaction to bad news has been rarely done.Based on two mostly recognized mechanisms in the investor attention literature,we find that investor attention is significantly related to less negative market reaction.In additional tests,we also compliment Cassell et al.(2013) by testing whether investor attention lowers the costs of information remediation of reviewed firms and if investors focus more attention on firms with inferior information environment,and our results provide consistent evidence from emerging markets.