第三方平台线上销售数据发布与股价崩盘风险

The Aggregate Release of Third-party Online Sale Data and Stock Price Crash Risk

商业和社会的广泛深度数字化带来的另类数据快速增加及其治理效应愈来愈引起学者的关注。本文从股价崩盘风险的角度系统检验了中国市场独特的另类数据——第三方平台线上销售数据的治理效应。基于Wind资讯2018年首次发布相关公司线上销售数据的双重差分法,检验发现有线上销售数据公司的股价崩盘风险在2018年以后的降幅更大,上述结果在一系列稳健性检验和内生性测试后依然存在。分组研究发现,线上销售数据的治理效应主要体现在外部治理机制较弱和内部代理问题严重的公司中。随后的机制检验发现,线上销售数据的发布和传播会通过吸引证券分析师跟踪、专业媒体报道以及提升内部信息披露质量两条途径发挥作用。经济后果检验结果还表明,随着线上销售数据的发布和传播,理性投资者会对此做出积极的反应。

The profound digital transformation within business and society has garnered escalating attention from both industry and academia towards the rapid expansion of alternative data and its governance effect.This study systematically investigates the governance effect of distinctive alternative data on stock price crash risk,specifically focusing on the aggregate release of third-party online sales data.Employing a difference-in-differences model based on the initial release of online sales data by Wind in 2018,the results demonstrate a notably greater reduction in the stock price crash risk for firms that have their online sales data public post-2018.These findings remain robust after undergoing a series of robustness tests to ensure their validity and addressing potential endogeneity concerns.Cross-sectional tests suggest that the governance effects stemming from the release of online sales data are particularly pronounced in firms characterized by weaker external governance mechanisms and substantial internal agency problems.Subsequent mechanism tests indicate that the dissemination of online sales data serves to attract securities analysts for monitoring purposes,secure professional media coverage,and enhance internal information quality.Further tests also indicate that rational investors eexhibit a positive response to the release and dissemination of online sales data.