年报语调对资本市场定价效率的影响研究  

Influence of Annual Report Tone on the Pricing Efficiency of Capital Market

作　　者：许晨曦 杜勇 鹿瑶[1] XU Chenxi;DU Yong;LU Yao(School of Accounting,Capital University of Economics and Business,Beijing 100070,China;Guangdong University of Foreign Studies South China Business College,Guangzhou 510545,China;Guanghua School of Management,Peking University,Beijing 100871,China)

机构地区：[1]首都经济贸易大学会计学院,北京100070 [2]广东外语外贸大学南国商学院,广东广州510545 [3]北京大学光华管理学院,北京100871

出　　处：《中国软科学》2021年第9期182-192,共11页China Soft Science

基　　金：广东省普通高校重点项目(2019WZDXM027);2020年广东哲学社会科学共建项目“广东国有企业国有资本授权关系及实现模式研究”(GD20XGL09);首都经济贸易大学北京市属高校基本科研业务费专项资金(ZD202101,XRZ2020039)。

摘　　要：提高资本市场定价效率是完善我国资本市场基础制度的重要内容,年报作为上市公司信息披露质量重要部分,其文本信息含量将对资本市场定价效率产生重要影响。以2008-2019年沪深A股上市公司为研究样本,对上市公司年报文本信息语调对公司股价同步性的影响进行了实证分析。研究发现,年报超额净乐观语调与股价同步性呈现出显著正相关关系。年报超额净乐观语调含有较少的公司层面特质性信息,从而导致股价同步性的提高,损害了资本市场的定价效率。公司信息透明度可以有效抑制年报超额净乐观语调对企业股价同步性的正向作用。企业外部制度环境约束力度越大,年报超额乐观语调对股价同步性的正向作用越弱。Improving the efficiency of capital market pricing is an important part of perfecting the basic system of China's capital market and the multi-level capital market system.As an important part of the quality of information disclosure of listed companies,the text information content of the annual report will have an important impact on the pricing efficiency of the capital market.This article uses 2008-2019 Shanghai and Shenzhen A-share listed companies as a research sample to conduct an empirical analysis of the impact of excess net optimism in the annual report of listed companies on the synchronization of corporate stock prices.The results show that the annual report's excess net optimism tone and stock price synchronization show a significant positive correlation.It was found that the excess net optimistic tone of the annual report contained less company-level trait information,which led to an increase in stock price synchronization and further reduced the pricing efficiency of the Chinese capital market.The study found that company information transparency can effectively suppress the positive effect of excess net optimism in annual reports on the synchronization of corporate stock prices.

关 键 词：年报超额净乐观语调 股价同步性 定价效率 公司特质性信息 

分 类 号：F062.5[经济管理—政治经济学]