描述性创新信息能提高资本市场定价效率吗?——基于股价同步性的分析  

Can Descriptive Innovation Information Improve the Efficiency of Capital Market Pricing?--Analysis Based on Stock Price Synchronization

作　　者：韦琳 肖梦瑶 WEI Lin;XIAO Mengyao(School of Accounting,Tianjin University of Finance and Economics,Tianjin 300222,China)

机构地区：[1]天津财经大学会计学院,天津300222

出　　处：《财经论丛》2022年第8期58-68,共11页Collected Essays on Finance and Economics

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。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 allevi

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 

分 类 号：F230[经济管理—会计学]