政府信息披露的特殊性与股票价格的同步性：来自中国地方政府工作报告的证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-17 DOI:10.1016/j.frl.2024.106463

Manning Gong , Chunfang Cao , Yuheng Zhang

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引用次数: 0

摘要

我们利用机器学习方法对中国城市政府工作报告进行文本分析，衡量政府信息披露的具体性，并研究这种具体性是否会影响股票定价效率。我们发现，地方政府披露的前瞻性信息越具体，地方上市公司的股价同步性就越低。这种影响对于在经济政策不确定性较高的环境中经营的公司更为明显。

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Government disclosure specificity and stock price synchronicity: Evidence from local government work reports in China

Using machine learning methods to conduct a textual analysis of city government work reports in China, we measure the specificity of government disclosures and examine whether this specificity affects stock pricing efficiency. We find that more specific forward-looking information disclosed by local governments is associated with lower stock price synchronicity among local listed companies. This effect is more pronounced for companies operating in environments with high economic policy uncertainty.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance