互联网沟通如何影响股票定价效率?——基于投资者关注的机制检验  

How does Online Communication Affect Stock Price Efficiency:A Mechanism Test Based on Investor Attention

作　　者：罗靖怡 任飞[1] 陈张杭健 熊熊[3] Luo Jingyi;Ren Fei;Chen Zhanghangjian;Xiong Xiong(School of Business,East China University of Science and Technology,Shanghai 200237;School of Economics,Anhui University,Hefei 230601;College of Management and Economics,Tianjin University,Tianjin 300072)

机构地区：[1]华东理工大学商学院,上海200237 [2]安徽大学经济学院,合肥230601 [3]天津大学管理与经济学部,天津300072

出　　处：《管理评论》2024年第7期96-112,共17页Management Review

基　　金：国家自然科学基金面上项目(71871094);国家自然科学基金重大专项项目(72141304);国家自然科学基金重大项目(71790594);国家自然科学基金青年项目(72201003);华东理工大学中央高校基本科研业务费青年团队培育项目(JKN02212304)。

摘　　要：互联网沟通平台为上市公司与投资者开辟了双向交流渠道,从信息发布与接收两个方面优化信息传递过程。本文结合东方财富网股吧中“问董秘”和“热帖”模块数据,同时度量互联网沟通中的信息发布与接收情况,检验互联网沟通的作用及其实现机制。首先,以管理层回复度量信息发布情况,从信息价值角度,将回复分为正面与非正面回复,分别考察互联网沟通中不同质量的管理层回复对股票定价效率的影响。进一步,以投资者关注反映信息接收情况,对互联网沟通影响股票定价效率的作用机制进行检验。研究结果表明,管理层正面与非正面回复分别提高与降低了股票定价效率。机制检验结果显示,管理层正面回复将提高投资者关注度,进而提高股票定价效率。此外,在管理层正面回复对股票定价效率的影响中,投资者信息关注发挥的中介作用强于噪声关注。Online communication system has opened up a two-way communication channel for listed companies and investors by optimizing the information dissemination process on both the sending side and the receiving side.This paper combines the data in the“ask board secretary”and“hot post”modules of Eastmoney,to measure the information release and reception,and test the function and implementation mechanism of online communication.First,the information release is measured by management replies.From the perspective of information value,this paper divides the replies into direct and indirect replies,and examines the impact of replies with different qualities on the stock price efficiency respectively.Further,we use investor attention to reflect information reception,and test the mechanism of online communication influencing the stock price efficiency.The results show that direct management replies will improve the stock price efficiency,but indirect replies will reduce it.The results of mechanism test show that direct management replies will increase investor attention,and further improve the stock price efficiency.In addition,it is found that in the impact of direct management replies on the stock price efficiency,investor information attention plays a stronger mediating effect than noise attention.

关 键 词：互联网沟通 投资者关注 股票定价效率 

分 类 号：F832.51[经济管理—金融学] F49