摘要
本文使用自然语言处理方法从MD&A展望信息中提取出信息含量指标和信息增量指标。经过实证分析发现,MD&A展望信息含量对股价表现具有显著正向影响,即披露信息含量越高,股票次年收益越高波动越小,这一关系在机构持股比例低、高收益的股票中更加显著。MD&A展望信息增量对股价表现具有显著负向影响,尤其是在低收益股票中表现更加显著。拓展研究发现,MD&A展望信息可以通过影响投资者情绪进而影响股价表现。
This paper uses natural language processing method to extract information content index and information increment index from forward-looking MD&A disclosures. Through empirical analysis, it is found that the forward-looking MD&A information has a significant positive impact on stock price performance, that is, the higher the disclosure information content, the higher the stock return, and the smaller the volatility. This relationship is more significant in stocks with low institutional shareholding ratio and high return. The increment of forward-looking MD&A disclosures has a significant negative impact on stock price performance, especially in low-return stocks. The expansion study found that the forward-looking MD&A information can affect stock price performance by affecting investor sentiment.
出处
《投资研究》
CSSCI
北大核心
2022年第7期61-73,共13页
Review of Investment Studies
关键词
管理层讨论与分析
股票市场
自然语言处理
Management discussion and analysis
Stock market
Natural language processing
