信息环境、上市公司增量信息披露与资本市场定价效率——基于MD&A文本相似度的研究  

Information Environment,Incremental Information Dis-closure of Listed Companies and Capital Market Pricing Efficiency:A Study Based on MD&A Text Similarity

作　　者：宋昕倍 陈莹 逯东 程杰[1] Song Xinbei;Chen Ying;Lu Dong;Cheng Jie(School of Accounting,Chongqing Technology and Business University;School of Accounting,Southwestern University of Finance and Economics)

机构地区：[1]重庆工商大学会计学院 [2]西南财经大学会计学院

出　　处：《南开管理评论》2024年第5期30-39,共10页Nankai Business Review

基　　金：国家自然科学基金项目(71972157)资助。

摘　　要：本文基于2007—2020年中国沪深两市A股上市公司的样本,采用文本分析方法,以当期年报中管理层讨论与分析(MD&A)文本与上一期MD&A文本的相似度衡量上市公司增量信息披露水平,深入考察了上市公司增量信息披露与资本市场定价效率的关系。研究发现,公司披露的MD&A文本相似度越高,即增量信息披露越少,公司的股价同步性越高,股价崩盘风险也越大。进一步研究发现,当公司披露的MD&A可读性较低、新媒体运用较少、审计质量较低、媒体报道较少,即内外部信息环境较差时,MD&A文本相似度提高公司股价同步性与股价崩盘风险的作用加剧。本文的研究对如何提高上市公司信息披露水平,改善信息环境,进而促进资本市场的良好运行提供了新的经验证据。The quality of accounting information disclosure by listed companies directly affects the interests of information users and determines the efficiency and effectiveness of the capital market.Although China has already constructed a system of securities information disclosure system including Securities Law and Administrative Measures for Information Disclosure of Listed Companies,cases of illegal and irregular disclosure of information by listed companies are still emerging one after another,which seriously hit the confidence of investors and damage the ecological environment of the capital market,so how to improve the pricing efficiency of the capital market from the perspective of information disclosure has become an urgent problem to be solved.The voluntary disclosure of information by the company can effectively alleviate the degree of asymmetry between the company and the information users,and thus enhance the pricing efficiency of the capital market.The annual report,as an important document disclosed by the company,contains information on the company's financial position,operating results and cash flow for the entire fiscal year,which is a bridge for communication between management and investors and one of the most important ways for investors to obtain information.Further,management discussion and analysis(hereinafter referred to as MD&A),as the essence part of non-financial information in the annual report,includes both the explanations and analyses by the management of the listed company of the company's historical operating information,as well as the forecasts and outlooks of the opportunities,risks and challenges facing the company's future development,and its disclosure quality will alleviate the asymmetry of information to varying degrees.Based on a sample of A-share listed companies in China's Shanghai and Shenzhen markets from 2007 to 2020,this paper uses text analysis method to investigate the relationship between incremental information disclosure and capital market pricing efficiency,and measu

关 键 词：信息环境 文本相似度 股价同步性 股价崩盘风险 

分 类 号：F832.51[经济管理—金融学] F275