上市公司互动式信息沟通能够降低股票错误定价吗?

Can Listed Companies’Interactive Information Communication Reduce Stock Mispricing?

资本市场本质上是一个信息市场,信息是决定上市公司股票价值最重要的因素之一。随着信息技术的运用和市场成熟度的提高,上市公司与投资者之间的信息传递模式正在由“单向式信息披露”向“互动式信息沟通”转变。本文考察了我国上市公司与投资者新型互动式信息沟通行为对股票市场定价效率的影响。研究发现:上市公司与投资者的互动式信息沟通行为越积极,即回复率越高、回复越及时,公司股票的错误定价程度越低;公司与投资者的积极互动沟通行为主要通过减少投资者异质信念、增加股价信息含量和改善公司信息环境来降低股票错误定价水平;进一步结合我国股票市场特征发现,这种互动沟通产生的定价效率优化效应在投资者情绪较强、机构投资者持股较少的公司中更加显著。本文的研究结论证实了我国交易所监管下互动沟通平台的市场有效性,同时也为进一步优化市场资源配置的效果提供了新的经验证据。

One of the foundations for the optimal allocation of capital market resources is that the stock market price can reasonably reflect the market value of market participants,particularly listed companies.The long-term deviation of the market value reflected by the stock prices of listed companies from their intrinsic value,i.e.,stock mispricing,not only poses a serious risk management challenge to listed companies,investors and regulators,but also leads to inefficient investment at the micro-firm level and hinders the resource allocation function of the securities market at the macro level.Hence,whether and how stock mispricing can be improved through the disclosure,communication,and regulation of company information has long been a topic of concern for academics and market practitioners.The capital market is essentially an information market,and information is the most important factor in determining the stock value of listed companies.Fundamentally,information asymmetry and uneven distribution of information lead to long-term deviations of listed companies’stock prices or market value from their intrinsic value,resulting in stock mispricing.With the utilization of information technology and the improvement of market maturity,the information transmission mode between listed companies and investors is changing from“one-way information disclosure”to“interactive information communication”.In this context,the SZSE and SSE established the interactive information communication platforms of“SZSE Interactive Easy”and“SSE E-Interaction”in 2010 and 2013 respectively.In recent years,scholars have also begun to pay attention to the impact of the establishment of interactive communication platforms in China’s capital market on investors,firms and the market.However,existing literature has rarely addressed the impact of behavioral characteristics such as the timeliness of responses and response rates in interactive communication by listed companies,nor has it directly examined the impact of interactive communication behavior on stock market mispricing.In this context,this paper utilizes data from non-financial A-share listed companies from 2014 to 2019 to examine the relationship between companies’interactive information communication behavior and its stock mispricing.In measuring companies’interactive communication behavior,this paper uses firms’response frequency and response timeliness in interactive Q&A with investors to measure firms’positive interactive behaviors.For measuring stock mispricing,this paper references the work of RHODES-KROPF et al.(2004),using the market-to-book ratio decomposition method to derive and calculate stock mispricing.After controlling a series of influencing factors,this paper constructs a regression model to test the main research relationships.In addition,this paper also uses the Sobel mediation test proposed by BARON and KENNY(1986)to test the mechanism effect by modeling the equations and estimating the significance level of the Sobel Z value.Furthermore,in the robustness test,the paper employs PSM,Heckman’s two-stage and DID methods to mitigate the endogeneity problem and derives more robust findings by altering the measurement of key indicators,controlling stock pricing efficiency at the industry level,and comparing different China’s Exchanges.The results of this paper indicate that the more active the behavior of listed companies in interactive information communication with investors,i.e.,the higher the interaction frequency and timeliness of interaction,the lower the degree of deviation of the company’s stock market price from its intrinsic value,and the lower the degree of stock mispricing.The mechanism of the effect shows that company’s positive interactive communication behaviors reduce the degree of stock mispricing by reducing heterogeneous investor beliefs,increasing the information content of the stock price and optimizing the company’s information environment.In addition,given that market participants in interactive platforms are predominantly small and medium-sized investors,further research also finds that the positive governance effect of company-investor interactive communication on stock mispricing will be more prominent when investor sentiment is stronger and the proportion of institutional investors’shareholding is smaller.The findings of this paper confirm the market effectiveness of interactive communication platforms under the supervision of China’s Exchanges,and also provide new evidence for optimizing the means to further improve the efficiency of market resource allocation.