Abstract: Innovation activities have high uncertainty and complexity, and external investors do not have enough understanding of the future benefits and risks implied by innovation activities. Such insufficient communication may lead to information problems. At present, the main channel for external investors to understand the innovation activities is the real innovation activity indicators such as R&D investment and patents. However, these quantitative indicators have certain limitations and can not reflect the entire process of innovation activities. Details about the utilization of new technologies after the introduction and the progress of research projects cannot be reflected. Therefore, it is difficult for quantitative information in financial statements to capture the complete status of corporate innovation activities. Investors need more innovation information to support corporate valuation, value investment and other decisions.
Qualitative innovation information is increasingly becoming important information source. Based on this, this paper selects as samples the annual report text information of A-share non-financial insurance listed companies from 2008 to 2018, and studies the impact of the descriptive innovation information on the pricing efficiency of the capital market. The study finds that thedescriptive innovation information can reduce the stock price synchronization. The impact mechanism test supports the “information efficiency view”, that is, the descriptive innovation information can provide investors with information on companies' characteristics, reducing the stock price synchronization, improving the capital market pricing efficiency, and eliminating the “irrationalfactor”mechanism from the perspective of investor sentiment and noise trading. Further research shows that the descriptive innovation information in the annual report is beneficial to the company, which is reflected in the fact that the descriptive innovation information will improve the company's innovation output level and R&D subsidy amount. After alleviating the endogeneity problems, replacing the stock price synchronicity, excluding the executive change samples, considering the interaction between the R&D expenditures and the descriptive innovation information, making allowance for the company-year level two-dimensional clustering effect, and performing the differential re-regression of variables, the research conclusion that the descriptive innovative information reduces the stock price synchronicity is still robust. The article enriches the study on the economic consequences of the descriptive innovation information. Most of the existing literature studies the quantitative innovation information in financial statements, but the quantitative information is difficult to capture the complete status of the company's innovation activities and has certain limitations. This study extends it to the textual information of annual reports, and explores the impact of the descriptive innovation information on the pricing efficiency of capital markets, which broadens the research boundary of the innovation information. Moreover, the study finds that the descriptive innovative information can reduce the synchronization of stock prices, thereby improving the efficiency of the capital market pricing, and excluding the “irrational factors” of investor sentiment and noise trading. The literature on influencing factors will be further studied.
This paper provides a reference for regulatory authorities to promote technology supervision. As an important “information product” in the “information market”, the text information affects investors' decision-making, the formation of stock prices, and the allocation of resources in the capital market. Therefore, regulatory authorities should strengthen the application of deep learning, big data and other intelligent technologies in capital market supervision, which improves the quality of companies' information disclosure.

Key words: Descriptive Innovation Information, Capital Market Pricing Efficiency, Stock Price Synchronization, Information Efficiency

摘要： 基于2008—2018年A股非金融保险类上市公司年报文本信息,研究了年报文本中的描述性创新信息对资本市场定价效率的影响。结果发现,描述性创新信息能够降低股价同步性。影响机理检验支持了“信息效率观”,即描述性创新信息能够为投资者提供公司特质信息,降低股价同步性,提升资本市场定价效率,并从投资者情绪和噪音交易角度排除了“非理性因素”机制。进一步的研究显示,年报中的描述性创新信息是对企业有利的信息,体现为描述性创新信息会提高企业的创新产出水平和研发补助金额。在缓解内生性问题、更换股价同步性、剔除高管变更样本、考虑研发支出和描述性创新信息的交互作用,考虑公司-年度层面的双维聚类效应以及变量进行差分再回归后,描述性创新信息降低股价同步性的研究结论依然稳健。文章丰富了对描述性创新信息经济后果和股价同步性影响因素的理论研究,为更深刻地理解描述性创新信息对资本市场定价效率的影响提供经验证据。

关键词: 描述性创新信息, 资本市场定价效率, 股价同步性, 信息效率