管理层—投资者互动与股票流动性——来自上市公司年度业绩说明会的经验证据  

Management-investor Interaction and Stock Liquidity:Evidence from Performance Briefings of Listed Firms in China

作　　者：卞世博[1] 管之凡 奚欢 张德崴 Shibo Bian;Zhifan Guan;Huan Xi;Dewei Zhang(School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai 200433,China;Department of Statistics,Shanghai University of Finance and Economics Zhejiang College,Jinhua Zhejiang 321013 China;School of Statistics and Mathematics,Shanghai Lixin University of Accounting and Finance,Shanghai 201209,China)

机构地区：[1]上海财经大学统计与管理学院,上海200433 [2]上海财经大学浙江学院统计系,浙江金华321013 [3]上海立信会计金融学院统计与数学学院,上海201209

出　　处：《会计与经济研究》2024年第3期76-100,共25页Accounting and Economics Research

基　　金：上海市哲学社会科学规划课题(2021BGL004)。

摘　　要：文章以中小板和创业板上市公司召开的年度业绩说明会为研究样本,利用文本分析方法对业绩说明会上管理层-投资者互动质量进行度量,实证考察管理层-投资者互动质量与股票流动性的关系。研究发现,管理层-投资者互动质量与股票流动性呈显著的正相关关系,即管理层与投资者的互动质量越高,股票流动性越好。中介效应检验发现,管理层与投资者的高质量互动可以降低知情交易比例,并通过该路径影响股票流动性。进一步分析发现,当管理层信息供给能力或投资者信息挖掘能力较高时,管理层-投资者互动质量对股票流动性的影响更为显著。This study investigates the relationship between the quality of manage-ment-investor interactions and the stock liquidity by analyzing performance briefings of firms listed on the SME and GEM boards.Using textual analysis to measure the quality of management-investor interactions during these briefings,we find a significantly positive correlation between the management-investor interaction quality and the stock liquidity.Specifically,higher-quality interactions are associated with improved stock liquidity.Me-diation effect test reveals that high-quality management-investor interactions reduce the proportion of informed trading,thereby influencing the stock liquidity.Further analysis indicates that the effect of the interaction quality on the stock liquidity is more significant when the management's information supply ability or investors'information mining abil-ity is high.

关 键 词：业绩说明会 互动质量 文本分析 股票流动性 信息不对称 

分 类 号：F830.91[经济管理—金融学]