数字技术信息披露对股价同步性的影响及机理研究

财经论丛 ›› 2024, Vol. 40 ›› Issue (2): 70-79.

数字技术信息披露对股价同步性的影响及机理研究

沙飞云, 徐晓东

上海交通大学安泰经济与管理学院,上海 200030

收稿日期:2023-02-05 出版日期:2024-02-10 发布日期:2024-02-05
通讯作者: 徐晓东(1968—),男,安徽桐城人,上海交通大学安泰经济与管理学院教授。
作者简介:沙飞云(1982—),男,江苏南京人,上海交通大学安泰经济与管理学院博士生。
基金资助:
国家自然科学基金项目(70772062;71772123)

The Impact of Digital Technology Disclosure on Stock Price Synchronization

SHA Feiyun, XU Xiaodong

Antai College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200030, China

Received:2023-02-05 Online:2024-02-10 Published:2024-02-05

摘要/Abstract

摘要： 本文以2010—2019年非金融类A股上市公司为样本,研究了数字技术信息披露对股价同步性的影响。结果发现,年报中披露的反映企业数字化转型的数字技术信息会降低企业的股价同步性。当企业处于高竞争行业或属于技术密集型行业时,降低作用更加明显。机理分析表明,数字技术信息披露通过缓解企业信息不对称、提升创新水平以及分析师关注进而降低了股价同步性。本文还发现,年报中披露的数字技术信息越多,企业未来收到的政府补助也越多;但“多言寡行”的披露模式对股价同步性的影响不显著。本文丰富了数字技术信息披露对资本市场影响的相关文献,为深刻理解文本信息对资本市场定价效率的影响提供了经验证据。

关键词: 数字技术信息, 股价同步性, 文本分析

Abstract: Using non-financial A-share listed firms from 2010 to 2019 as a sample, this paper conducts an in-depth researchand finds that the disclosure of digital technology information in the annual report reduces the synchronization of the enterprise's stock price and this effect is more pronounced for firms operating in competitive product markets or those categorized as technology-intensive enterprises. Mechanism analysis suggests that the disclosure of digital technology information reduces the synchronization of the stock price by reducing information asymmetry, enhancing innovation levels, and attracting analyst attention. Further research reveals a “more disclosure, more benefits” effect for the disclosure of digital technology information, as companies that disclose more digital technology information in their annual reports receive more government subsidies in the following three years. However, the impact of digital technology information disclosure on stock price synchronicity is not significant under the “more words, fewer actions” disclosure mode. This study expands the research boundaries on the impact of non-financial information disclosed by listed companies on stock price synchronicity. By providing theoretical support and empirical evidence, it sheds light on how digital technology information can offer incremental value-relevant information tomarket intermediaries, thereby enhancing the pricing efficiency of the capital market.

Key words: Digital Technology, Synchronicity, Text Analysis

中图分类号:

F272.5

沙飞云, 徐晓东. 数字技术信息披露对股价同步性的影响及机理研究[J]. 财经论丛, 2024, 40(2): 70-79.

SHA Feiyun, XU Xiaodong. The Impact of Digital Technology Disclosure on Stock Price Synchronization[J]. Collected Essays on Finance and Economics, 2024, 40(2): 70-79.

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