互动式信息披露质量对股价延迟的影响:来自“互动易”平台的经验证据

Impact of Interactive Disclosure Quality on Stock Price Delay:Evidence from the“Hudongyi”Platform

上市公司高质量的信息披露是提高资本市场定价效率的一剂良药。基于2012—2020年深交所A股上市公司在“互动易”网络互动平台上的问答数据,构建了互动式信息披露质量综合指标,并实证检验了上市公司互动式信息披露质量对股价延迟的影响及其传导机制。结果表明,高质量的互动式信息披露对股价延迟水平具有显著的降低作用。进一步研究发现,降低市场信息不对称是高互动式信息披露质量缓解公司股价延迟现象的潜在机制;在媒体关注度、机构投资者持股比例及投资者关注越低的上市公司中,高质量的互动式信息披露对股价延迟的降低作用更明显。研究结论对于全面认识互动式信息披露质量在资本市场中的作用以及如何缓解股价延迟现象具有重要的理论和现实意义。

High-quality information disclosure by listed companies is an effective cure to improving the pricing efficiency of capital market.This paper constructs a comprehensive index of interactive information disclosure quality based on the Q&A data of A-share listed companies on the“Hudongyi”platform of SZSE from 2012 to 2020,and then empirically examines the impact of interactive information disclosure quality on stock price delay and its impact mechanism.The results show that high-quality interactive disclosure has a significant effect on stock price delay.Further research finds that reducing market information asymmetry is a potential mechanism for high-quality interactive disclosure to mitigate the phenomenon of stock price delay.Moreover,among listed companies with lower media attention,institutional investor shareholding and investor attention,high-quality interactive disclosure has a more pronounced effect on the reduction of stock price delay.The findings of the study have important theoretical and practical implications for a comprehensive understanding of the role of interactive disclosure quality in the capital market and the way to mitigate the phenomenon of stock price delay.