上市公司自媒体信息披露与股价崩盘风险——信息效应抑或情绪效应？

财经论丛 ›› 2019, Vol. 35 ›› Issue (5): 53-63.

上市公司自媒体信息披露与股价崩盘风险——信息效应抑或情绪效应？

黄宏斌¹, 牟韶红², 李然¹

1(天津财经大学会计学院,天津 300222)
2(山东财经大学会计学院,山东济南 250014)

收稿日期:2018-05-28 出版日期:2019-05-10 发布日期:2019-05-15
作者简介:黄宏斌(1980-),女,天津市人,天津财经大学会计学院副教授,博士后,天津财经大学无形资产评价协同创新中心研究人员;牟韶红(1977-),女,山东烟台人,山东财经大学会计学院副教授,博士;李然(1992-),女,河南永城人,天津财经大学会计学院硕士生。
基金资助:
国家自然科学基金资助项目(71872121;71402115);中国博士后科学基金资助项目(2017T100156;2015M570227);天津财经大学优秀青年学者资助计划(YQ1507)

We-media Information Disclosure of Listed Companies and Stock Price Crash Risk—— Information Effect or Sentiment Effect?

HUANG Hongbin¹, MU Shaohong², LI Ran¹

1(Accounting School,Tianjin University of Finance and Economics, Tianjin 300222, China)
2(Accounting School, Shandong University of Finance and Economics, Jinan 250014, China)

Received:2018-05-28 Online:2019-05-10 Published:2019-05-15

摘要/Abstract

摘要： 针对微博作为公司自愿性信息披露的自媒体,是否能够影响公司股价崩盘风险,及其发挥作用的渠道进行了探讨。研究发现:微博的影响机制包括信息效应和情绪效应,信息效应表现为自媒体信息披露通过加速信息的扩散和传播,降低信息不对称而降低股价崩盘风险;情绪效应表现为自媒体信息披露通过平抑、引导投资者情绪而降低股价崩盘风险。进一步通过爬虫和手工处理方式,获取我国A股上市公司的微博开通和使用情况,运用双重差分模型,发现微博信息披露显著降低了上市公司的股价崩盘风险,其中信息效应和情绪效应均发挥了重要作用,而且对于国有企业的影响更加显著。

关键词: 自媒体信息披露, 股价崩盘风险, 信息不对称, 投资者情绪

Abstract: This paper studies whether Weibo, as a We-media for voluntary information disclosure, can affect the stock price crash risk and the channel through which it exerts its influence. It's found that the influencing mechanism of Weibo includes both the information effect and the sentiment effect. The information effect is that the We-media information disclosure reduces the stock price crash risk by accelerating the information dissemination and reducing the information asymmetry, whereas the sentiment effect is that the We-media information disclosure reduces the stock price crash risk by calming down and guiding investors' sentiment. By reptiles and manual handling, we obtained the Weibo opening information and usage of A-share listed companies in China. Using double difference model, the study finds that the Weibo information disclosure reduces the stock price crash risk significantly, which has a more significant impact on state-owned enterprises. Both the information effect and the sentiment effect play an important role.

Key words: We-media Information Disclosure, Stock Price Crash Risk, Asymmetric Information, Investor Sentiment

中图分类号:

F832.5

黄宏斌, 牟韶红, 李然. 上市公司自媒体信息披露与股价崩盘风险——信息效应抑或情绪效应？[J]. 财经论丛, 2019, 35(5): 53-63.

HUANG Hongbin, MU Shaohong, LI Ran. We-media Information Disclosure of Listed Companies and Stock Price Crash Risk—— Information Effect or Sentiment Effect?[J]. , 2019, 35(5): 53-63.

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