一叶知秋:情感语调信息具有同业溢出效应吗?——来自业绩说明会文本分析的证据  

Does a Small Sign Indicate a Great Trend? The Spillover Effect of Management Tone: Evidence from the Textual Analysis of Earnings Communication Conferences

作　　者：钟凯 董晓丹 彭雯 陈战光 Zhong Kai;Dong Xiaodan;Peng Wen;Chen Zhanguang(Business School,University of International Business and Economics,Beijing 100029,China;Business School,Beijing Technology and Business University,Beijing 100048,China;School of Economics and Management,Tsinghua University,Beijing 100084,China)

机构地区：[1]对外经济贸易大学国际商学院,北京100029 [2]北京工商大学商学院,北京100048 [3]清华大学经济管理学院,北京100084

出　　处：《财经研究》2021年第9期48-62,共15页Journal of Finance and Economics

基　　金：国家社会科学基金重大项目(19ZDA101);国家自然科学基金青年项目(71902028);教育部人文社会科学基金青年项目(19YJC630232)。

摘　　要：文章基于业绩说明会的文本分析,考察了管理层情感语调信息是否具有同业溢出效应。研究发现,管理层净正面语调与同业公司股票超额回报显著正相关;区分正面和负面语调之后,同业公司股价对负面语调的反应更加强烈。这表明管理层情感语调具有外部性,蕴含更多行业前景信息,且投资者更加重视其中的负面信息。此外,共同分析师跟踪、股价同步性越强以及龙头公司行业地位越高,管理层情感语调的同业溢出效应越强;当管理层情感语调与财务信息相互印证时,同业溢出效应更加显著。文章研究表明,业绩说明会情感语调能够为同业公司投资者提供增量信息,降低信息获取成本与投资不确定性,提升投资决策效率;同时,业绩说明会这种信息披露方式有助于塑造良好的市场信息环境,对于加强信息披露监管具有一定借鉴意义。With the normalization of information disclosure and the development of textual information mining technology, investors pay more attention to the incremental information value of textual information such as management tone. Investment decisions not only depend on quantitative financial information, but also consider the role of qualitative textual information like management tone. It is unclear that whether management tone can be perceived by the investor of peer firms. This paper investigates the externality of management tone and the potential mechanism with the unique setting of earnings communication conferences.Using the approach of event study, we examine the spillover effect of management tone with the stock return reaction of peer firms to the management tone of industry leaders during the window of earnings communication conferences. It shows that the association between the stock return of peer firms and the net tone in earnings communication conferences of industry leaders is significantly positive. After being divided into the positive and negative tone, the stock price of peer firms reacts stronger to the negative tone of industry leaders,indicating that the externality of management tone reflects industry prospect information and investors focus more on negative industry information. Further studies show that the spillover effect is more pronounced for firms with the same analyst following, high stock price synchronicity and industry leaders with strong market shares. As well, the spillover effect is stronger when management tone is credible. This study implies that management tone can provide incremental information for peer investors, which helps to reduce information acquiring costs and investment uncertainty, and strengthen the supervision of information disclosure.This article makes some contributions in the following aspects: First, based on the previous studies which mainly consider the spillover effect of quantitative financial information such as earnings announcements and earnings forecas

关 键 词：情感语调 业绩说明会 溢出效应 外部性 文本分析 

分 类 号：F275.5[经济管理—企业管理]