非言语维度的信息重要吗?--基于投资者电话交流会信号博弈的实证研究

Do nonverbal clues matter?An empirical study on the signaling game of investors'telephone communication conference

针对中国资本市场中自愿信息披露的非言语维度信息有效性问题,利用电话交流会的“信号博弈”问题展开了理论分析与实证研究:首先,本文构建了一个信号传递博弈模型对其中存在的委托代理问题进行理论分析;然后,基于分析结果,本文整理了2013年-2016年中国上市公司召开的投资者电话交流会的相关音频文件,在文本分析的基础上,通过声音情绪的维度进行了实证检验.研究发现:1)会议中高管的声音维度的确含有文本之外的重要增量信息;2)理论和实证均发现,相较于正面情绪,投资者更倾向通过高管的负面情绪对信息进行识别;3)一些外界因素例如压力会导致高管释放更多负面情绪并能被投资者识别.综上,非言语维度确实含有增量信息,可以缓解管理层-股东之间的委托代理问题.

This paper empirically investigates the effectiveness of the non-verbal information of voluntary infor-mation disclosure in China's capital market,by using the“signal game"of the telephone exchange meetings.First,a signaling game model is conducted to theoretically analyze the principal-agent problem involved in the information disclosure.Next,the relevant audio files of the investor telephone exchange meeting held by Chi-nese listed companies from 2013 to 2016 are sorted.Based on the text analysis,the empirical test is carried out through the dimension of voice emotion.The paper finds that:1)The voice tone of executives contains im-portant incremental information other than the text intonation,and the voice sentiment of the executives is sig-nificantly related to company future performance;2)The capital market will also react asymmetrically to the voice sentiment of the executives:Investors are more inclined to react strongly to the negative voices of execu-tives,which is consistent with the inference of the theoretical model;3)In the question and answer session of the telephone exchange meeting,or when the performance is not up to expectations,the executives will face greater pressure and are more likely to show their negative sentiment,which would be identified by investors.Our findings show that voice channel is non-negligible for the information communication in China's stock market and manager's voice sentiment have unique information;investors can use the information contained in the negative voice sentiment to improve their return.Further,non-verbal information could be used to alleviate principal and agent conflicts between shareholders and executives.