The annual report tone and return Comovement—Evidence from China's stock market |
| |
| Institution: | 1. School of Accounting, Nanjing University of Finance and Economics, Nanjing 210046, China;2. School of Economics, Sichuan University of Science and Engineering, Sichuan, China;3. Department of Economics and Finance, SHU-UTS SILC Business School, Shanghai University, Shanghai 201800, China;1. School of Economics, Jiaxing University, Jiaxing 314001, China;2. China-ASEAN Institute of Financcial Cooperation, Guangxi University, Nanning, Guangxi, China;3. School of Economics, Guangxi University, Nanning, Guangxi, China;5. Shenzhen International Graduate School, Tsinghua University, Shenzhen, Guangdong, China;6. Guangxi University of Finance and Economics, Graduate School, Nanning, Guangxi, China;1. School of Public Administration, Nanjing university of Finance and Economics, China;2. Department of History of Science, Technology and Medicine, Peking University, China;1. College of Finance, Nanjing Agricultural University, Nanjing 210095, China;2. School of Advanced Agricultural Sciences, Peking University, Beijing 100871, China;3. Business School, Hohai University, Nanjing 211100, China;2. EBS Universität für Wirtschaft und Recht, Oestrich-Winkel, Germany;3. Department of Economics & Management, University of Trento, Trento, Italy |
| |
| Abstract: | Our paper uses A-share firms listed on Shanghai Stock Exchange (SSE) and Shenzhen Stock Exchange (SZSE) to explore the role of the textual tone of Chinese listed companies' annual reports on Chinese equities' return comovement. Our paper finds that the tone embedded in A-share companies' annual reports significantly increases Chinese stocks' return comovement as the tone exacerbates information asymmetry and reduces the quality of information. In addition, the annual report tone has a prominent effect on Chinese stocks' return comovement for stocks with low institutional ownership, private ownership stocks, and stocks with low market shares. Further investigation shows that the impact of the tone of the annual report on Chinese stocks' return comovement is strong during economic expansions, and when investor sentiment is high. An additional examination on hidden information in the textual tone suggests that published financial data do not explain a substantial part of the textual tone that is associated with the increase in the comovement, suggesting that private information should enhance informational opaqueness in the stock market. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
