上市公司与投资者的互联网沟通具有信息含量吗?——基于深交所“互动易”的研究

Does Investors’ Communication with Listed Firms Have Information?——A Study on “Hudongyi” Online Communication System

本文以2010年1月1日至2015年9月30日之间深交所上市公司为研究对象,对"互动易"平台上公司董秘与投资者之间的互联网沟通的信息含量进行研究。研究发现:投资者提问和董秘回复的负面语气能够显著负向预测股票未来累计超额收益和意外盈余,说明上市公司与投资者基于互联网的沟通方式能够有效地传递公司信息。进一步研究表明,当董秘确认了投资者提问的问题时,市场对董秘回复的负面语气反应更大;机构投资者信息处理能力较强,能够更加充分地利用平台上的信息,当投资者提问或董秘回复的语气越负面时机构投资者的买入越少、卖出越多,表现为净卖出;个人投资者也能够利用深交所"互动易"平台上投资者提问的信息,当投资者提问语气越负面时其买入越少。

Using all the A-share companies listed in ShenZhen Stock Exchange from January 1, 2010 to September 30, 2015, we try to find out whether investors’ internet communication with listed firms can create useful information. We find that the negative tone of investors’ questions and board secretaries’ answers can negatively predict future stock cumulative abnormal return and earnings surprise. Moreover, when negative tone of secretaries’ answers is strongly correlated with the negative tone of investors’ questions, market will react more negatively to the secretaries’ answers;due to their strong information processing ability institutional investors net sell stocks when the tone of investors’ questions and board secretaries’ answers is negative;individual investors can also make use of the platform: they buy less stocks when the tone is more negative.