股吧评论、分析师跟踪与股价崩溃风险——关于模糊信息的信息含量分析

东方财富股吧等股票论坛日渐活跃,反映了投资者对获得上市公司真实、完整、及时信息的强烈需求。尽管股吧有助于促进信息传播,但仍是非正式的信息发布平台,股吧评论本质上是一种模糊信息。为探明股吧评论的信息含量,本文以2012—2017年A股上市公司为研究样本,研究股吧评论对股价崩溃风险的影响,以及同样属于模糊信息的分析师跟踪在这一过程中可能产生的作用。实证结果表明,股吧评论分歧越小,股价崩溃风险越大,并且分析师跟踪人数和研报数量在上述影响过程中发挥中介作用。研究结果有助于厘清股吧评论影响股价崩溃风险的路径和机理,既丰富了股价崩溃风险成因的研究,也揭示了股吧评论、分析师跟踪等模糊信息的信息含量。

Stock BBS Reviews,Analyst Coverage and Stock Price Crash Risk:Analysis on the Information Content of Ambiguous Information

The highly developed internet technology made stock BBS such as Eastmoney attract more investors’attentions,which reflects the strong demand of investors for obtaining real,complete and timely information of listed companies.As an informal platform for information release,although stock BBS contributes to the improvement of information transmission efficiency,reviews on stock BBS are essentially a kind of ambiguous information.In order to find out the information content of stock BBS reviews,this paper takes A-share listed companies from 2012 to 2017 as a sample to study the impact of stock BBS reviews on the stock price crash risk,and the possible role of other ambiguous information,analyst coverage,in this process.The empirical results show that the divergence of stock BBS reviews decreases the stock price crash risk.Besides,the analysts and research reports play an intermediary role in this process.The results are helpful in clarifying the mechanism of the impact of stock BBS reviews on the stock price crash risk,which not only enriches the study of the causes of stock price crash risk,but also reveals the information content of stock BBS reviews and analyst coverage as ambiguous information.