管理层语意与未来股价崩盘风险——基于投资者情绪的中介效分析

Management Meanings and Stock Price Crash Risk:The Mediating Role of Investors Sentiments

文章基于2010~2014年我国上市公司业绩说明会上的非财务信息披露数据,采用LSTM深度学习技术对管理层回复内容进行文本分析,考察管理层语意对未来股价崩盘风险的影响,以及投资者能否感知并发挥抑制未来股价崩盘风险的中介效应。研究发现,管理层语意越正向,越能化解未来股价崩盘风险,且这主要是通过投资者情绪所做出的积极反应所致。投资者能够明显感知管理层语意并修正其情绪偏差,化解未来股价崩盘风险,这说明投资者情绪在管理层语意和未来股价崩盘风险之间发挥了中介效应。本文的研究对于认识非财务信息在资本市场中的作用,以及规范非财务信息披露的内容和质量、抑制未来股价崩盘风险、促进资本市场健康有序发展具有重要的理论与实践意义。

Based on the management answering data in earnings communication conferences of Chinese listed companies from 2010 to 2014,this paper applies the long-short term memory deep learning technique to analyze the effect of management meanings on the stock price crash risk.It finds the empirical results that management meanings is negatively associated with its future stock price crash risk,and the result is driven by the positive reaction by investors sentiments.The investors can distinguish the real meanings from the information conveyed by the top management team and can adjust their sentiment bias to alleviate the future stock price crash risk.It has important theoretical and real significance to the recognition of the role on nonfinancial information in capital market and how to improve nonfinancial information disclosure content and quality,reduce future stock price crash risk and advance the stable development of capital market.