年报文本信息复杂性与资产误定价——基于文本分析的实证研究

财经论丛 ›› 2020, Vol. 36 ›› Issue (9): 64-73.

年报文本信息复杂性与资产误定价——基于文本分析的实证研究

贺康¹, 宋冰洁¹, 刘巍²

1.西南财经大学会计学院,四川成都 611130;
2.厦门大学管理学院,福建厦门 361005

收稿日期:2019-11-19 出版日期:2020-09-10 发布日期:2020-09-27
作者简介:贺康(1989-),男,四川内江人,西南财经大学会计学院博士生;宋冰洁(1990-),女,四川雅安人,西南财经大学会计学院博士生;刘巍(1991-),女,内蒙古赤峰人,厦门大学管理学院博士生。
基金资助:
中央高校基本科研业务费项目(JBK2007126)

Complexity of Annual Report and Asset Mispricing ——Empirical Research Based on Text Analysis

HE Kang¹, SONG Bingjie¹, LIU Wei²

1. School of Accounting,Southwestern University of Finance and Economics,Chengdu 611130,China;
2. School of Management,Xiamen University,Xiamen 361005,China

Received:2019-11-19 Online:2020-09-10 Published:2020-09-27

摘要/Abstract

摘要： 本文以2007~2017年沪深两市A股上市公司年报为研究样本,实证检验年报文本信息复杂性对资产误定价的影响,并考察其作用机制。研究发现:(1)年报文本信息复杂性与资产误定价之间显著正相关,即年报文本信息复杂性越高,资产误定价的可能性越大;(2)通过中介效应模型发现,信息不对称是年报文本信息复杂性影响资产误定价的一个机制;(3)当机构投资者持股比例越高、新闻媒体报道越多时,年报文本信息复杂性对资产误定价的影响会被削弱,说明机构投资者和新闻媒体起到了稳定资本市场股票价格的作用。本文首次从年报文本信息披露质量的视角解释了我国证券市场资产误定价现象产生的原因,为监管部门有效缓解资产误定价提供参考。

关键词: 年报复杂性, 资产误定价, 文本分析, 信息披露

Abstract: With the help of text analysis technology, this paper takes the annual reports of A-share listed companies in Shanghai and Shenzhen Stock Exchanges from 2007 to 2017 as research samples to empirically test the relationship between the complexity of annual reports and asset mispricing. The results are as follws: (1) There is a significant positive correlation between the complexity of annual report and asset mispricing. (2)Through the mediation effect model, it is found that information asymmetry is a mechanism by which the complexity of annual report text information affects the mispricing of assets.(3) Further studies show that when institutional investors hold more shares and media report more, the influence of the complexity of the annual report text on the mispricing of assets will be weakened, indicating that institutional investors and media play a role in stabilizing the stock price of the capital market. This paper explains the causes of asset mispricing in China's securities market from the perspective of the quality of annual report text information disclosure, and provides a basis for regulators to effectively alleviate asset mispricing.

Key words: Annual Report Complexity, Mispricing of Assets, Text Analysis, Information Disclosure

中图分类号:

F275

贺康, 宋冰洁, 刘巍. 年报文本信息复杂性与资产误定价——基于文本分析的实证研究[J]. 财经论丛, 2020, 36(9): 64-73.

HE Kang, SONG Bingjie, LIU Wei. Complexity of Annual Report and Asset Mispricing ——Empirical Research Based on Text Analysis[J]. , 2020, 36(9): 64-73.

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