高质量的互动可以提高股票市场定价效率吗?——基于“上证e互动”的研究  

Can High-quality Interaction Improve the Stock Market Pricing Efficiency?——Evidence from SSE E-Interaction

作　　者：卞世博[1] 陈曜 汪训孝 SHIBO BIAN;YAO CHEN;XUNXIAO WANG(Shanghai University of Finance and Economics)

机构地区：[1]上海财经大学统计与管理学院

出　　处：《经济学（季刊）》2022年第3期749-772,共24页China Economic Quarterly

基　　金：上海市哲学社会科学规划课题(2021BGL004);国家自然科学基金项目(72171139,71701118);上海财经大学创新团队支持计划(2020110930)的资助。

摘　　要：本文对“上证e互动”中上市公司与投资者之间的互动质量进行度量,研究了互动质量与股价同步性和股价崩盘风险之间的关系。结果发现:上市公司与投资者之间的高质量互动可显著降低股价同步性和崩盘风险,提升股票市场定价效率,且对于机构投资者持股比例较高、分析师关注度较高以及媒体关注度较高的公司,此影响尤为明显。最后,进一步发现上市公司与投资者之间的高质量互动可降低信息不对称水平,并通过该路径影响股票市场定价效率。We measure the management-investor interaction quality on the SSE e-interaction.Then we examine the relationship among the interaction quality,stock price synchronicity,and stock price crash risk.We find that high-quality interaction between management and investors can significantly reduce the stock price synchronicity and crash risk,and improve the stock market pricing efficiency.We also find that this negative relation is more pronounced for companies which have more institutional shareholders and gain higher attention from analysts and the media.Further,we show that high-quality interaction can reduce the level of information asymmetry,which in turn affects the stock market pricing efficiency.

关 键 词：上证e互动 互动质量 定价效率 

分 类 号：F832.51[经济管理—金融学]