社交媒体、投资者信息能力与盈余预期——来自上证e互.PDFVIP

社交媒体、投资者信息能力与盈余预期 ——来自“上证e 互动”平台的证据 丁慧、吕长江、黄海杰 复旦大学管理学院 摘要：投资者信息能力，作为市场效率的微观内容，是近年来学术界的研究热点和前沿课题。 鉴于目前文献缺少直接检验投资者信息能力的市场影响，本文利用上交所“上证e 互动”平 台提供的特有实验环境，研究投资者信息能力的变化对市场盈余预期准确性的影响。本文发 现，社交媒体环境下投资者信息能力的变化能够显著提高市场盈余预期准确性，产生盈余预 期修正作用。本文进一步发现上市公司机构投资者持股比例越低，这种盈余预期修正作用越 强。本文结论表明，利用信息技术提高投资者信息能力是优化市场效率的重要手段，这种市 场效率的提高方式能够在一定程度上与机构投资者的作用产生互补效果。本文的研究不仅为 市场效率研究提供了新的分析视角，同时还为投资者信息能力、社交媒体等热点问题提供了 新的理论解释和实证证据。 关键词：社交媒体；投资者信息能力；盈余预期；市场效率 Social Media, Investor Sophistication and Earning Expectation: Evidence from SSE E-Interaction Ding Hui, Changjiang Lyu and Haijie Huang (School of Management, Fudan University) Abstract: Investor sophistication, as the micro-component of market efficiency, is the hot issue of academic research. Regarding the lack of the direct test on the market effect of investor sophistication in the existing research achievement, we study the effect of the investor change on the accuracy of market earning expectation under the help of SSE online platform “SSE E-Interaction” which provides a natural experiment environment. We find that the investor sophistication change due to social media technology can improve the accuracy of market earning expectation significantly, which indicates the effect of market earning expectation modification. We further find the effect of market earning expectation modification can be stronger when the institutional ownership goes lower. Our finding implies it is an important method of improving market efficiency to enhance investor sophistication which complements the effect of institutional investors on the market efficiency. Our research work not only provides a new view on the market efficiency, but also provides some new theoretical analysis and empir