非结构化信息与短期股价暴跌风险

Unstructured Information and Short-term Stock Price Crash Risk

时间维度是2021年中国人民银行界定系统性金融风险的主要因素之一,股票市场风险的长期和短期时间特征具有显著差异,长期暴跌风险是短期波动的叠加体现。不同于现有研究主要集中于长期股价暴跌风险,本文侧重短期股价暴跌风险。鉴于非结构化信息的增量作用,本文研究了上市公司年报文本语调对短期股价暴跌风险的影响机制。结果发现,上市公司年报积极的文本语调可以显著降低短期股价暴跌风险,且网络搜索能够增强年报文本语调对股价暴跌风险的抑制作用。异质性检验的结果显示,网络搜索指数在非国企以及媒体宣传力度较大的上市公司发挥的调节作用较强。机制检验结果表明,投资者信心能够发挥中介作用,即上市公司年报积极语调通过提高投资者对公司的信心达到降低短期股价暴跌风险的目的。因此,监管部门应当关注上市公司文本信息语调,构建对文本信息、网络信息、媒体的监管机制和规范体系,通过降低短期股价暴跌风险,从而实现“有效防范化解重大经济金融风险”的目标。

The time dimension is one of the main factors used by the People's Bank of China to define systemic financial risks in 2021.The long-term and short-term time characteristics of stock market risks are significantly different,and the long-term stock price crash risk is the superimposed reflection of short-term fluctuations.Different from the existing researches,which mainly focus on the long-term stock price crash risk,this paper focuses on the short-term stock price crash risk.In view of the incremental role of unstructured information,this paper studies the influence mechanism of the text tone of annual report of listed companies on the short-term stock price crash risk.The results show that the positive text tone of annual report of listed companies can significantly reduce the short-term stock price crash risk,and Internet search can enhance the inhibitory effect of the text tone of annual report on the stock price crash risk.The results of heterogeneity test show that Internet search plays a stronger moderating role in non-stateowned enterprises and listed companies with greater media publicity.Mechanism test shows that investor confidence can play an intermediary role,that is,the positive text tone of annual reports can reduce the short-term stock price crash risk by improving investor confidence in the company.Therefore,the regulatory authorities should pay attention to the tone of the text information of listed companies,strengthen the supervision mechanism and regulation system of the text information,Internet information and media,and achieve the goal of"effectively forestall and defuse major economic and financial risks"by reducing the short-term stock price crash risk.