微博、特质性信息披露与股价同步性

发布时间：2018-01-30 23:59

本文关键词： 微博股价同步性分析师　出处：《金融研究》2015年11期 　论文类型：期刊论文

【摘要】：R~2(股价同步性)差异是源于公司特质性信息多寡,还是非理性噪声交易,学术界尚没有统一的结论。一个重要的原因是,无论是公司特质性信息的多寡,抑或是非理性因素的多少,通常都无法直接度量。随着信息技术的发展,上市公司通过微博披露了大量的、及时的、新增的、非财务的特质性信息。这一事实为我们区分R~2背后的两种经济学解释提供了极好的研究样本。研究发现:(1)开通微博的公司股价同步性更低;(2)微博信息的披露有利于显著提高分析师盈余预测精度。以上两个结论说明R~2的差异是源于公司特质性信息的多寡;(3)投资者对于微博发布的信息无法准确理解,此类信息主要通过分析师的信息解读作用进入股价。本文的研究结论对于监管部门制定基于微博的社交网络信息披露准则具有一定的现实意义。
[Abstract]:The difference between RX2 (stock price synchronism) is due to the amount of company characteristic information or irrational noise trading, the academic community has not yet unified conclusion. One important reason is whether it is the amount of company characteristic information or not. With the development of information technology, the listed companies have disclosed a large number of, timely, new through Weibo. The fact that non-financial information is idiosyncratic. This fact provides an excellent sample of research to distinguish between the two economic explanations behind the RP2. The study found that the stock price of the company that opened Weibo was less synchronized; 2) the disclosure of Weibo information is helpful to improve the accuracy of analyst earnings forecast. The above two conclusions show that the difference of RG-2 is due to the quantity of characteristic information of the company; Investors can't understand exactly what Weibo has published. This kind of information mainly enters stock price through the information interpretation function of the analyst. The conclusion of this paper has certain practical significance for the regulatory department to formulate the social network information disclosure standard based on Weibo.
【作者单位】：上海财经大学金融学院;江西财经大学金融学院;
【基金】：国家自然科学基金项目(71102135) 上海市浦江人才计划(11PJC062) 上海财经大学研究生创新基金项目(CXJJ-2013-319) 上海财经大学金融学院互联网金融课题组资助
【分类号】：F832.51;F275
【正文快照】： 一、引言Roll(1988)发现个股收益率波动中只有很少一部分能被市场和行业因素所解释。进一步的,Roll(1988)指出,R2的差异可能是“特质性信息或其他与具体信息无关的偶发狂热因素”导致的。基于此推断,对于股价同步性(也称R2,即个股收益率波动中能被市场和行业因素所解释的部分)

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