管理层讨论与分析披露的信息含量与股价崩盘风险——基于文本向量化方法的研究

发布时间：2018-07-04 16:40

本文选题：管理层讨论与分析 + 股价崩盘风险　；参考：《中国工业经济》2017年12期

【摘要】：本文采用文本向量化的方法 ,对2007—2015年中国A股上市公司年报的管理层讨论与分析(MDA)所披露的信息含量加以度量,研究其对股价崩盘风险的影响。研究发现,MDA的信息含量越高,未来股价崩盘风险越低。将MDA进一步划分为回顾部分和展望部分后发现,仅有展望部分中的信息含量能够显著降低未来股价崩盘风险。在控制内生性问题之后,本文的结论依然成立。本文还分别从文本可读性和信息不对称的角度出发,研究它们对二者关系的影响。结果表明,信息的可读性越高,信息不对称程度越高,展望部分的信息含量对股价崩盘风险的降低作用越大。在重新定义股价崩盘风险的计算区间以及控制股价同步性之后,MDA展望部分的信息含量依然能够显著降低股价崩盘风险,表明本文的结论是稳健的。本文从文本信息的角度丰富了股价崩盘风险影响因素的研究,同时也从增量信息的角度完善了MDA信息有用性的研究,具有重要的理论和现实意义。
[Abstract]:This paper uses the method of text vectorization to measure the information content disclosed by the management discussion and analysis (MDA) of the annual report of Chinese A-share listed companies from 2007 to 2015, and to study its influence on the risk of stock price collapse. The study found that the higher the information content of MDA, the lower the risk of future stock price collapse. After further dividing MDA into review and outlook sections, it is found that only the information content in the outlook section can significantly reduce the risk of future stock price collapse. After controlling the endogenous problem, the conclusion of this paper is still valid. From the perspective of readability and information asymmetry, this paper also studies their influence on the relationship between the two. The results show that the higher the readability of information, the higher the degree of information asymmetry, and the greater the effect of information content on the risk of stock price collapse. After redefining the calculating range of stock price crash risk and controlling stock price synchronism, the information content of MDA forecast part can still significantly reduce the stock price crash risk, which shows that the conclusion of this paper is robust. This paper enriches the research on the risk factors of stock price collapse from the perspective of text information, and improves the research on the usefulness of MDA information from the perspective of incremental information, which has important theoretical and practical significance.
【作者单位】：中国人民大学商学院;中国注册会计师协会党委办公室(综合部);
【基金】：国家自然科学基金面上项目“卖空机制、私有信息与知情交易”(批准号71772174);国家自然科学基金青年项目“机构投资者股权集中度影响股价崩盘风险的传导路径研究”(批准号71602053) 财政部全国会计科研课题重点项目“会计信息化发展研究”(批准号2015KJA010)
【分类号】：F275;F832.51

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