分析师文本语调会影响股价同步性吗?--基于利益相关者行为的中介效应检验  

Does textual tone in analyst reports affect stock price synchronicity?An analysis based on mediating effects of stakeholders' behavior

作　　者：吴武清[1] 赵越[1] 闫嘉文 汪寿阳 WU Wu-qing;ZHAO Yue;YAN Jia-wen;WANG Shou-yang(Business School,Renmin University of China,Beijing 100872,China;School of Economics and Management,Tsinghua University,Beijing 100084,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]中国人民大学商学院,北京100872 [2]清华大学经济管理学院,北京100084 [3]中国科学院大学经济与管理学院,北京100190 [4]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理科学学报》2020年第9期108-126,共19页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71871216);北京市社会科学基金资助项目(17GLB022);中国人民大学科学研究基金资助项目(16XNB025)。

摘　　要：文章考察了分析师研究报告的文本语调对股价同步性的影响与作用机制.首先爬取2006年至2018年中国A股上市公司377644份分析师研究报告,随机选出10434句文本并人工分为积极、中性、消极三类形成语料库,以此训练11种机器学习方法并比较各方法的预测准确性,最终选择朴素贝叶斯方法估计出分析师研究报告的文本语调.实证分析发现,分析师积极的文本语调显著降低了所追踪公司的股价同步性.这一结果与已有多数研究结论不同,但在做空机制欠发达的中国资本市场,个体选择性知觉理论为此提供了很好的解释.进一步地,中介效应检验结果表明,分析师积极的文本语调通过激励公司发布更多公告、引导机构投资者买入和吸引其他分析师发布研究报告,显著降低了股价同步性.该研究对于投资者关注研报语调指标、上市公司加强信息披露、政府部门完善资本市场制度均具有重要启示.This study explores the effects of textual tone in analyst reports on the stock price synchronicity.Based on 377644 sell-side analyst reports of Chinese listed firms from 2006 to 2018,10434 sentences from analyst reports are randomly selected and these training materials are manually classified into positive,neutral and negative categories.To compare superiority of different methods,11 machine learning algorithms are applied to train the labeled sentences,and Naive Bayes is finally used to measure the analyst report tone.The empirical results show that the tone of analyst report is negatively associated with the stock price synchronicity of the companies.Although the results are different from most of the conclusions of the existing researches,the results can be well explained by the individual selective perception theory in the capital market of China,where the short-selling mechanism is underdeveloped.Furthermore,the analyst's positive textual tone improves the information efficiency of the stock market by 1)stimulating the firms to issue more announcements,2)guiding institutional investors to buy and 3)attracting other analysts to release more reports.This study has important implications for investors to focus on the index of textual tone,for listed companies to strengthen the information disclosure management,and for government departments to improve the capital market system.

关 键 词：分析师文本语调 股价同步性 朴素贝叶斯 选择性知觉 中介效应 

分 类 号：F830.9[经济管理—金融学]