个人投资者能否识别经济关联?——基于行业内首次盈余公告的分析

Can Individual Investors Identify Economic Links?——Evidence from Initial Quarterly Earnings Announcements within Industries

本文研究我国资本市场中的个人投资者是否具有获取和解读同行业企业信息的能力。我们以2015-2017年行业内每季度首次盈余公告为研究事件,并利用投资者在雪球网的每日讨论频率来刻画其信息获取行为。研究发现,行业内首次盈余公告窗口期内,未公告企业的投资者对本企业的讨论频率显著增长,且公告企业与未公告企业之间的信息传递效应随着个人投资者信息获取行为的增加而变强。此外,当未公告企业的信息环境较差,以及未公告企业和公告企业之间的经济联系较强时,个人投资者对同行业企业信息的依赖和利用程度更高。本文说明我国的个人投资者具有一定程度的理性,同时也论证了信息技术发展下信息获取方式的多元化有助于提升资本市场的信息传播效率。

This study investigates whether individual investors in China have the ability to acquire and interpret the information of industry peers.Using a sample of Chinese listed firms during the period of 2015-2017,we analyze the response of individual investors of non-announcing firms to the first quarterly earnings announcement within an industry.We use individual investors’ daily discussion frequency on the Xueqiu platform to capture their information acquisition activities.We find that the frequency of individual investors’ discussions of non-announcing firms significantly increases around the first quarterly earnings announcement within an industry.Further,the intra-industry information transfer increases with non-announcing firms’ online discussion frequency.Cross-sectional analyses reveal that,when non-announcing firms have poorer information environment or have stronger economic links with the announcing firm,their individual investors rely upon information of the first announcer to a greater extent.Our study suggests that individual investors in China acquire and process information of economically-linked firms.Further,our findings also shed light on how technological advancement can improve information transmission in the capital market through shaping investors’ access to information.