声誉事件对股价的影响及溢出效应研究——以中国人寿“张某丹事件”为例

The Impact and Spillover Effect of Reputational Events on Stock Price——A Case Study of the Jane Zhang Incident of China Life Insurance

本文以2021年中国人寿员工举报事件为例,基于主动学习思想,采用人机结合的方式构建双层语料库,对公众评论进行情感分类,并合成公众情感曲线,分析声誉风险事件对涉事公司股价的影响及对非涉事公司产生的溢出效应。研究发现,公众情绪对中国人寿异常收益率存在显著影响,在控制了监管行为变量后,其对异常收益率影响的显著性不发生改变。公众作为公司重要的利益相关者,在声誉事件中产生的情绪会影响其决策行为,从而改变资本市场对涉事公司保持未来现金流稳定的预期,进而影响公司股价。本次事件中还观察到了以竞争效应为主的溢出效应,这种溢出效应产生需要具备的客观条件和主观条件分别是:涉事公司与非涉事公司要存在一定的相似性,这种相似性要能够被利益相关者群体所感知。相似性越小,感知度越差,越会呈现出以竞争效应为主的溢出效应。

This paper takes the 2021 China Life employee whistleblower incident as a case.Based on the idea of active learning,this paper uses the two-layer corpus constructed by a human-machine co-working method to classify public comments at the sentimental level and synthesize public sentiments into a curve to analyze the impact of reputation risk events on the stock price of the involved company and the spillover effect on non-involved companies.The research discovers that public emotions have a significant impact on the abnormal return of China Life.Even after controlling for regulatory variables,the significance of its impact on abnormal returns remains unchanged.As important stakeholders of the company,the public may get emotional in reputation events and the emotion can influence their decision-making behavior,thereby changing the market’s expectation of the involved company’s future cash flow stability and subsequently impacting the company’s stock price.This incident also displays a spillover effect mainly driven by competitive effects.The objective and subjective conditions required to generate such spillover effects are:the involved company and non-involved companies must have a certain degree of similarity,and this similarity must be perceived by stakeholder groups.The less similarity and perception,the more prominent spillover effect and particularly competitive effects.