平台经济反垄断、政策不确定性与股票价格波动

Antitrust in the Field of Platform Economy,Policy Uncertainty and Stock Price Volatility

本文以平台经济反垄断作为政策事件,研究政策不确定性对上市公司股票价格的影响。研究发现:(1)平台型上市公司对反垄断政策的市场反应显著为负,表明政策不确定性对股票价格波动产生了异质性影响;(2)政策不确定性主要通过折现率效应引起股票价格波动,现金流量效应与股票误定价的影响不显著;(3)在政策不确定条件下投资者对信息披露的需求增加,但是上市公司管理层并未显著提高政策风险的披露。本文从公司层面研究政策不确定性对股票价格产生的异质性影响,不仅丰富了政策不确定性与资产定价的研究文献,而且深化了对其作用机制以及股价波动信息含义的理解。研究结论对降低政策不确定性造成的不利影响、提高政策工具的传导效果以及实现政策目标具有重要的现实意义。

Taking antitrust in the field of platform economy as a policy event and using cross-sectional data,this paper examines the impact of policy uncertainty on the stock prices of listed companies in China.The research finds that:the market response of platform economy firms to antitrust policy releases was significantly negative,along with insignificantly lower expected cash flows.It suggests that policy uncertainty causes stock price volatility primarily through the effect of discount rate rather than cash flow.Stock price volatility of platform economy companies is not the result of stock mispricing,on the contrary,the decline in stock price implies the information that platform economy companies will be exposed to more policy risks in the future.Under the condition,investor's demand for information disclosure has increased,but the management of platform economy companies has not significantly improved disclosure of policy risks.From the company level,this paper examines the heterogeneous effects of policy uncertainty on stock prices,which not only adds to the“policy uncertainty and asset pricing”literature,but also deepens the understanding of its mechanism of action and the information implications of stock price volatility.The conclusion has important practical implications for reducing the adverse effects caused by policy uncertainty,improving the transmission effects of policy instruments,and achieving policy goals.