网络平台互动与股票异质性风险  

Online Platform Interactions and Stock Idiosyncratic Risks

作　　者：徐寿福[1] 郑迎飞[1] 罗雨杰 Xu Shoufu;Zheng Yingfei;Luo Yujie(School of Finance,Shanghai University of International Business and Economics,Shanghai 201620,China)

机构地区：[1]上海对外经贸大学金融管理学院,上海201620

出　　处：《财经研究》2022年第10期153-168,共16页Journal of Finance and Economics

基　　金：教育部人文社会科学研究规划基金项目(21YJA790067)。

摘　　要：深交所“互动易”和上交所“上证e互动”平台的上线,为上市公司与投资者之间的信息沟通提供了更加直接和快捷的渠道,但也可能会加剧信息传播的不平衡性,在互联网信息爆炸的现实背景下产生大量“噪音”信息。文章利用投资者与上市公司的互动问答数据,检验了网络平台互动对上市公司股票异质性风险的影响及其机制。研究发现,网络平台互动会放大投资者意见分歧,加剧上市公司的股票异质性风险。而卖空限制的放松、公司信息透明度的提高以及金融机构投资者持股,能够显著抑制网络平台互动加剧股票异质性风险的作用。文章丰富了股票异质性风险驱动因素和网络平台互动影响效应的研究,而且对于投资者、上市公司和监管层都具有重要的启示。Although the online operations of the Shenzhen Stock Exchange’s“Hudongyi”platform and the Shanghai Stock Exchange’s“SSE E-Interaction”platform provide more direct and immediate channels for the information communication between listed companies and investors,in the realistic background of the huge internet information and high proportion of retail investors in Chinese capital market,they may increase the unbalance of information diffusion and produce much“noise”.This will reshape the beliefs of investors in the process of valuation together with investors’limited attention and different ability of information processing,which affects investors’opinion divergence and in turn drives the changes of stock idiosyncratic risks.Stock idiosyncratic risks matter for asset pricing,corporate investment and financing,the stability of capital market and macro economy significantly.As a result,there is great importance to investigate the impact of online platform interactions on stock idiosyncratic risks theoretically and practically.By employing a textual analysis method,this paper constructs some proxies to measure the extent of online platform interactions and examines the impact of online platform interactions on the stock idiosyncratic risks of listed companies.The results show that online platform interactions between investors and listed companies will magnify investors’opinion divergence and in turn increase the stock idiosyncratic risks of listed companies.Furthermore,relaxation of short-selling restriction,increase of corporate information transparency and shareholdings of financial institutional investors will restrain the positive effect of online platform interactions on stock idiosyncratic risks significantly.This paper contributes to the literature in several aspects:First,different from exploring the single information transferring and searching behavior of investors,it provides richer explanation for the production of stock idiosyncratic risks from the perspective of interactive informati

关 键 词：异质性风险 网络平台互动 投资者意见分歧 

分 类 号：F832.5[经济管理—金融学]