Investors’ Online Searching, Regulatory Inquiry Letters and Market Reactions to M&A Announcements

›› 2020, Vol. 36 ›› Issue (6): 63-73.

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Investors’ Online Searching, Regulatory Inquiry Letters and Market Reactions to M&A Announcements

FU Xiangfei¹,ZHENG Lei²,ZHAO Libin³

1.School of Accounting,Nanjing Audit University,Nanjing 211815,China;
2.School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China;
3.Accounting College,Wuhan Textile University,Wuhan 430073,China

Received:2019-10-15 Online:2020-06-10 Published:2020-06-16

投资者网络搜索、监管问询与并购公告市场反应

傅祥斐¹,郑雷²,赵立彬³

1.南京审计大学会计学院,江苏南京 211815;
2.北京交通大学经济管理学院,北京 100044;
3.武汉纺织大学会计学院,湖北武汉 430073

作者简介:傅祥斐(1991-),女,山东青岛人,南京审计大学会计学院讲师;郑雷(1994-),男,陕西乾县人,北京交通大学经济管理学院博士生;赵立彬(1984-),男,河北南和县人,武汉纺织大学会计学院副教授。
基金资助:
国家社会科学基金项目(19CJY006);国家自然科学基金项目(71402130);中国博士后科学基金项目(2019M650495)

Abstract

Abstract:

Based on the big data of online search, this paper studies the impact of investors’ online searching on the market reactions to M&A announcements, and reveals the behavioral mechanism underlying the process from online searching to decision-making. It further examines the governance role of the regulatory inquiry on the market pricing bias caused by investors’ online searching. The research findings are as follows: (1)The increase of investors’ online searching results in more positive market reactions to M&A announcements, which is driven by the effect of attention-induced price increase, while at the later stage it is reversed, indicating that the effect results in the market pricing bias. (2)Regulatory inquiry letters weaken the unilateral positive pricing bias effect, indicating that the front line regulation of exchanges represented by the regulatory inquiry fully reveals the risk to investors and guides the market pricing back to rationality. The research provides reference for guiding rational pricing of the market and promoting healthy development of the capital market with key system innovation under the background of registration system reform.

Key words: Investors&rsquo, online Searching, M&, A Announcements, Market Reactions, Regulatory Inquiry Letters, Governance Role

摘要：

基于搜索引擎大数据,研究投资者网络搜索对并购公告市场反应的影响,揭示投资者从网络搜索到决策的行为机制。进一步地,研究交易所监管问询对由投资者网络搜索所致市场定价偏差的治理作用。研究发现:(1)在注意力引致价格上涨的效应驱动下,投资者网络搜索增加导致更为正向的并购公告市场反应,且股价后期出现逆转,表明投资者网络搜索的“注意力效应”导致了并购公告事件中股票定价的偏差;(2)监管问询函削弱了投资者网络搜索对并购公告市场反应单边为正的定价偏差效应,表明以监管问询为代表的交易所一线监管发挥了向投资者充分揭示风险、引导市场定价回归理性的独特作用。本研究为注册制改革背景下引导市场理性定价、以关键制度创新促进资本市场健康发展提供决策参考。

关键词: 投资者网络搜索, 并购公告, 市场反应, 监管问询函, 治理作用

CLC Number:

F275

FU Xiangfei,ZHENG Lei,ZHAO Libin. Investors’ Online Searching, Regulatory Inquiry Letters and Market Reactions to M&A Announcements[J]. , 2020, 36(6): 63-73.

傅祥斐,郑雷,赵立彬. 投资者网络搜索、监管问询与并购公告市场反应[J]. 财经论丛, 2020, 36(6): 63-73.

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Investors’ Online Searching, Regulatory Inquiry Letters and Market Reactions to M&A Announcements

投资者网络搜索、监管问询与并购公告市场反应

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