投资者听得懂“言外之意”吗?——基于业绩说明会的经验分析  

Can Investors Read Between the Lines?-An Empirical Analysis on Earnings Conferences Call

作　　者：陈志娟[1] 计和平 马长峰 张顺明[4] CHEN Zhijuan;JI Heping;MA Changfeng;ZHANG Shunming(School of Finance,Zhejiang Gongshang University,Hangzhou 310018;Xinyuan Zhenghe(Hangzhou)Private Equity Fund Management Co.,LTD,Hangzhou 311215;The Digital Finance Research Center of Shanghai National Accounting Institute,Shanghai 201702;School of Finance,Renmin University of China,Beijing 100872)

机构地区：[1]浙江工商大学金融学院,杭州310018 [2]信远正合(杭州)私募基金管理有限公司,杭州311215 [3]上海国家会计学院数字金融研究中心,上海201702 [4]中国人民大学财政金融学院,北京100872

出　　处：《系统科学与数学》2024年第11期3257-3280,共24页Journal of Systems Science and Mathematical Sciences

基　　金：教育部规划基金项目(21YJA790008);国家自然科学基金面上项目(72173125);国家自然科学基金重点项目(72233003);浙江工商大学泰隆金融学院资助课题。

摘　　要：文章使用文本向量化方法将业绩说明会文本数字化,在此基础上分析上市公司高管是否策略性选择语调以及投资者对此做出的反应.首次将管理层语调提炼为市场语调,行业语调和公司语调三个维度.研究发现,业绩说明会上管理层的行业语调比公司语调明显负面,表明高管会根据自身的需求对语调进行策略性的安排;公司的净正面语调在长窗口期对股价上涨具有显著预测能力;在市场和行业语调处于平均水平情况下,投资者能通过分析市场语调和高关注度公司的公司语调获得超额收益.文章证明上市公司业绩说明会的文本具有信息含量,并且为管理层语调分析提供了新的视角;同时在中国高度依赖语境的文化背景下,为投资者获取、解读信息能力提供了新的证据.This paper uses the textual vectorization method to digitize the text of earnings conference call of Chinese listed firms,and then analyzes whether managers choose the tone strategically and how investors respond to it.It is the first time that the management tone is refined into market,industry and corporate component.We find that managers strategically arrange their tones for their own interests at earnings conference call;and the net positive market tone moves the stock price up in the long window of the event.Furthermore,investors can gain from analyzing the corporate tone of firms with high investor attention during normal market and industry situations.This paper shows that the text messages disclosure on earnings conference call can provide a valuable information,and also provides a new perspective for management tone analysis.In addition,under the highly dependence of semantics on context within Chinese cultural background,this paper provides new empirical evidence for such hot issues as investors'information acquisition and comprehension.

关 键 词：管理层语调 业绩说明会 文本分析 文本向量化 

分 类 号：F832.51[经济管理—金融学]