投资者情绪与股价:基于业绩说明会语调分析  

Investor Sentiment and Stock Price: Analysis Based on the Intonation of Performance Presentations

作　　者：张馨尉 孙乃立 潘阳 Zhang Xinwei;Sun Naili;Pan Yang(Business College,Jiangsu Normal University,Xuzhou 221116,China)

机构地区：[1]江苏师范大学商学院,江苏徐州221116

出　　处：《经济研究导刊》2023年第7期85-87,共3页Economic Research Guide

基　　金：江苏省大学生创新项目“基于自然语言处理技术的股价与股市行为预测研究”(202010320138Y);江苏高校哲学社科项目“信用违约互换对银行信用风险的影响机制研究”(2019SJA0916);企业横向项目“非上市中小企业内部审计信息化系统构建”(HX201999)。

摘　　要：投资者作为股票市场的重要参与者,会对股票市场产生重要影响。为考查业绩说明会中投资者情绪对股价的影响,基于2014—2020年业绩说明会文本和股票交易数据,利用自然语言处理技术统计文本中积极和消极语调,并分析与股票累计超额收益率的关系。实证结果表明,投资者在业绩说明会上使用的消极语调词汇越多,会后股票累计超额收益率下降越大,但积极词汇对收益率没有显著影响。此结果进一步丰富了我国股票市场的定价机制相关研究。As an important participant in the stock market,investors will have a significant impact on the stock market.In order to examine the impact of investor sentiment on stock prices in the performance briefing,based on the performance briefing text from 2014 to 2020 and stock trading data,natural language processing technology was used to count the positive and negative tones in the text,and analyze the relationship with the cumulative excess return of stocks.The empirical results indicate that the more negative tone words investors use in performance briefing meetings,the greater the decrease in cumulative excess return of stocks after the meeting,but positive words have no significant impact on returns.This result further enriches the research on pricing mechanisms in China’s stock market.

关 键 词：语调 投资者情绪 累计超额收益率 业绩说明会 

分 类 号：F832.5[经济管理—金融学]