投资者-上市公司线上互动与市场反馈效应

Investor-Listed Company Online Interaction and Market Feedback Effects

现代信息技术降低了投资者的信息处理成本,影响金融市场信息内容的生产。本文基于交易所网络互动平台的数据,研究投资者和上市公司的信息互动对市场反馈效应的影响。研究发现,投资者和上市公司互动提升了投资-股价敏感性,即市场反馈效应增强,管理层从股价中学习到了更多有利于投资决策的信息。当公司基本面波动风险较大、管理层对外部信息依赖程度较高、互动质量较高时,市场反馈效应的增强较显著。拓展性分析发现,投资者-上市公司线上互动促使机构投资者实地调研的次数增加、管理层自愿性业绩预告的频度增强、股票随意停牌的倾向降低,为管理层学习假说提供了支持性证据。研究表明,投资者和上市公司的线上互动提高了股价信息含量,通过市场反馈加强了资本市场对实体经济的引导作用,增强了股价的资源配置功能。

The financial market aggregates useful information from various market participants.Managers can learn from stock prices because the private information produced by investors does not fully overlap with what managers know.This learning channel is referred to as market feedback in the literature.Securities regulators have generally encouraged leveling the playing field among investors,in which information technology plays a crucial role.As lowering the disclosure cost affects investors'incentive to produce information,it may also change the amount of information a manager may learn from the market,which depends on the informativeness of stock prices.We investigate whether interactive investor platforms,which aim to reduce information processing costs for investors,impact managers'ability to learn information from stock prices when making investment decisions.Using non-financial A-share companies from 2010 to 2020 as our research sample,we find that interactions between investors and listed companies increase the corporate investment's sensitivity to stock price changes,indicating enhanced market feedback effects.To address endogeneity concerns,the study employs a difference-in-differences model with entropy balancing and an instrumental variable approach,and the findings are unaltered.Robustness tests show that the conclusions hold after changes in investmentcash flow sensitivity are examined,excluding alternative explanations such as eased financing constraints,and the impact of other information channels is controlled.We also find that the enhanced feedback effects are more pronounced for firms with greater fundamental volatility,managers who rely more on external information for investment decisions,and firms that respond more promptly.Further analysis shows that investor-company interactions enhance stock price informativeness.Consistent with the managerial learning hypothesis,online interactive platforms lead to more institutional investors'site visits,more voluntary earnings forecasts,and fewer arbitrary trading suspensions.This study contributes to the existing literature in three ways.First,it enriches the literature on interactive investor platforms.The study shows that lowered information processing costs motivate investors to produce useful information.This,in turn,enables management to learn information from stock prices when making investment decisions,thereby significantly increasing investment-price sensitivity.Second,this study offers new insights into the impact of modern information technology on investor information production.While previous research in mature markets finds that disclosure technologies that reduce processing costs tend to crowd out private information production and hinder managerial learning from stock prices,this study reveals that in emerging markets,reduced processing costs can enhance both information production and managerial learning.Third,the study suggests that regulators encourage investors to engage with companies via online interactive platforms and scrutinize the quality of corporate responses.