摘要
业绩预告作为提示风险、调整市场预期的关键信息,从前瞻性视角为提高资本市场效率提供了条件。面对我国投资者信息解读不足的情况,如何积极发挥业绩预告的有效性成为亟待解决的问题。本文以官方社交新媒体平台“投资者e互动”为背景、采用文本度量方法检验信息技术环境下,投资者信息能力对业绩预告市场反应的影响,以此来研究资本市场效率问题。研究发现,投资者e互动显著降低了业绩预告市场反应,提高了资本市场效率,且在损失厌恶程度较高、信息环境质量较差时作用更为显著。进一步分析表明,投资者e互动通过增加投资者信息能力和交易行为,促进了盈余信息的价格发现过程。本文结论表明,社交新媒体是提升市场有效性、减弱信息披露市场冲击的重要制度安排,为全面深化市场化改革提供了微观思路。
Earnings forecasts,as an important source of forward-looking information,are intended to provide value-related information for investors to judge the company’s prospects.The disclosure of earnings forecasts can release risks in advance and adjust market expectations in a timely manner,thus achieving the goal of improving the completeness of information and increasing the efficiency of capital markets.However,in recent years,large-scale explosions of earnings forecasts and stock price crashes of listed companies in China have become commonplace,seriously jeopardizing the interests of investors.This may be a risk warning to investors,or it may be opportunistic behavior by informed traders taking advantage of their information.In the long run,this will not be conducive to the healthy development of the capital market.So,how to increase the effectiveness of earnings announcement and realize the goal of improving the efficiency of capital market?This paper attempts to explore the impact of investor sophistication on the effectiveness of earnings forecasts from the perspective of information receivers,with a view to expanding the research on increasing capital market effectiveness based on a forward-looking perspective.This paper uses 3658954 Q&A records in the“Q&A”section of the official social media platforms Investor E-Interaction(i.e.,SSE E-Interaction and SZSE E-Interaction)as the source of data to measure interactivity,and examines the impact of investor sophisti-cation on the market reaction to earnings forecasts after the launch of Investor E-Interaction(SSE E-Interaction went live on July 5,2013,and SZSE E-Interaction went live on January 1,2010).We find that Investor E-Interaction can reduce the market reaction to management earnings forecasts by increasing the level of investor sophistication.In cross-sectional tests,we find that Investor E-In-teraction can significantly moderate the negative market reaction of bad news.Also,this moderate effect is more pronounced when information environment is more opaque.In addition,Investor E-Interaction increases the level of investor sophistication and the trading volume of capital market,making a timelier price discovery of earnings forecasts.The research contribution of this paper lies in the following three areas.First,this paper verifies the positive impact of investor so-phistication on the efficiency of capital market and enriches the literature related to earnings announcements from investors’perspec-tive.Previous literature has explored how to increase information efficiency based more on historical information or information en-vironment perspectives,and little literature has focused on the impact of the external environment of the capital market,investor so-phistication,on earnings forecasts.Using Investor E-interaction as a technological background,this paper verifies the positive impact of social media,an institutional innovation,on increasing the effectiveness of earnings forecasts,expanding the research on increas-ing market effectiveness based on investor perspectives.Second,this paper adds relevant research on the economic consequences of social media.While previous literature has mostly explored the impact of the social media on investors’information flow,this paper gives a further answer on how the social media affects the disclosure effect based on the volatility and forward-looking nature of the information content,reflecting the decision-usefulness of ex-ante information.Third,this paper is instructive for China’s regulators.Regulators should strengthen the supervision and management of the interactive process,urge listed companies to actively utilize the interactive platform to narrow the internal and external information gap,ensure the truthfulness and effectiveness of the information flow,and actively play the role of information increment of social media.
作者
陈皓雪
吕长江
范琳珊
Chen Haoxue;Lv Changjiang;Fan Linshan(School of management,Fudan University)
出处
《南开管理评论》
CSSCI
北大核心
2023年第6期116-127,I0021,I0022,共14页
Nankai Business Review
基金
国家自然科学基金项目(71672039)资助。
关键词
业绩预告
资本市场效率
投资者信息能力
社交新媒体
Management Earnings Forecasts
Capital Market Efficiency
Investor Sophistication
Social Media
作者简介
陈皓雪,复旦大学管理学院博士研究生,研究方向为会计与资本市场;通讯作者:吕长江,复旦大学管理学院教授、博士,研究方向为会计与资本市场;范琳珊,复旦大学管理学院博士研究生,研究方向为会计与资本市场。
