实地调研信息披露对股票知情交易概率的影响

Impact of Information Disclosure of Site Visits on the Probability of Informed Stock Trading

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摘要对公司进行实地调研赋予调研者信息优势,加剧其与未调研者之间的信息不对称。中国深圳证券交易所与上海证券交易所在是否需要披露调研活动的选择上存在差异,同时,2012年7月起深圳证券交易所将调研披露要求由在年报中集中披露改为在每次调研结束后两个交易日内披露调研细节,这为研究是否应该披露、应如何披露调研活动以减少前述信息不对称效应这一重要问题提供了准自然实验。公司的股票知情交易概率反映其信息不对称程度,通过对比2012年7月前后实地调研活动对深圳证券交易所上市公司股票知情交易概率的影响变化,以及深圳证券交易所与上海证券交易所公司股票知情交易概率的相对差异变动,探讨实地调研信息披露对股票知情交易概率的影响。以公司总部所在城市的极端天气情况作为公司被机构投资者或分析师实地调研频率的工具变量,解决调研者的调研对象偏好与公司信息不对称程度之间的内生性问题,建立调研活动与公司股票知情交易概率的因果关系。研究结果表明,深圳证券交易所上市公司的股票知情交易概率与其被调研频率显著正向相关。但2012年7月后,前述正向关联显著弱化,且相对于无需披露接待调研情况的上海证券交易所的上市公司,深圳证券交易所上市公司的股票知情交易概率显著下降;在要求及时披露调研活动细节后,相对于机构投资者,分析师参与调研对被调研公司股票知情交易概率的抑制作用更显著,且调研中提的问题数量越多、问题的字数或对问题的回答字数越多,即调研挖掘并披露的公司价值相关信息越多,被调研公司股票知情交易概率的下降程度越高。及时披露调研细节有助于将机构投资者或分析师通过调研挖掘的与公司价值相关的信息迅速扩散到整个市场,抑制其进行知情交易的空间,显著降低市场参� Corporate site visits offer visitors information advantages and increase the information asymmetry between visitors and non-visitors.There are differences between Shenzhen Stock Exchange(SZSE)and Shanghai Stock Exchange(SSE)in the choice of whether to disclose such visits.Since July 2012,SSE has changed the disclosure requirements from centralized disclosure in the annual report to the disclosure of visit details within two trading days after the end of each visit.The differences in disclosure requirements and the reform offer a quasi-natural experiment to study the critical question of whether and how corporate site visits should be disclosed to mitigate the information asymmetry caused by such visits.The probability of informed trading(PIN)is a valid indicator of information asymmetry.The aforementioned question can be answered by comparing the impact of corporate site visits on PIN before and after July 2012,and by showing the change in the relative PIN level between SZSE firms and SSE firms.Using extreme weather conditions of cities where firms′headquarters are located as the instrument of the frequency by which firms are visited by institutional investors or analysts,we address the endogeneity concern about the relationship between visitors′visiting preferences and the information asymmetry of firms visited,and,thus,establish the causality between site visits and PIN.We find a significant and positive impact of corporate site visits on PIN of visited firms.However,after July 2012,the above positive correlation was significantly weakened,and the probability of informed trading of stocks of SSE companies decreased significantly compared with SSE companies that did not need to disclose the visits.After requiring timely disclosure of the details of the visits,and compared with institutional investors,analysts′participation in the visits has a more significant inhibitory effect on the probability of informed trading of the stocks of the visited companies.The more questions raised in the visits,the more word

作者向诚杨俊 XIANG Cheng;YANG Jun(School of Economics and Business Administration,Chongqing University,Chongqing 400044,China)

机构地区重庆大学经济与工商管理学院

出处《管理科学》 CSSCI 北大核心 2022年第4期127-142,共16页 Journal of Management Science

基金国家自然科学基金(71973018) 重庆市社会科学规划英才计划(2021YC040)

关键词实地调研信息披露信息不对称知情交易概率机构投资者分析师 site visits information disclosure information asymmetry probability of informed trading institutional investors analysts

分类号 F832.51 [经济管理—金融学]