[文萃]丁慧 等：社交媒体、投资者信息获取和解读能力与盈余预期

    原文标题：社交媒体、投资者信息获取和解读能力与盈余预期——来自“上证e互动”平台的证据
    内容提要：作为投资决策的基础内容，投资者的信息获取和解读能力是近年来学术界的研究热点和前沿课题。鉴于目前缺少文献直接检验投资者信息获取和解读能力的市场影响，本文利用上交所“上证e互动”平台提供的特有实验环境，研究投资者信息获取和解读能力的提高对市场盈余预期准确性的影响。本文发现，社交媒体背景下投资者信息获取和解读能力的提高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；并且机构投资者持股比例越低，这种盈余预期修正作用越强。本文进一步发现，社交媒体背景下投资者信息获取和解读能力的提高能够显著降低盈余公告期的信息不对称。本文结论表明，利用信息技术提高投资者信息获取和解读能力是优化市场效率的重要手段，能够降低市场信息不对称，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获取和解读能力、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 信息获取和解读 盈余预期 市场效率
    Social Media，Investor Sophistication and Earning Expectation：Evidence from SSE E Interaction
    DING Hui(a)，LYU Changjiang(a) and HUANG Haijie(b)
    (a.Fudan University; b.East China Normal University)
    Summary：Investor sophistication is defined as how smart investors can be in the process of information acquisition and interpretation (Tan et al., 2014; Kalay, 2015). Information technology is changing the process of investors’ information acquisition and interpretation and thus can change the corresponding smartness of the investors. Therefore，research on how market efficiency is influenced by the change in investor sophistication due to information technology is considerably important for academia and policy.
    SSE E Interaction，a Chinese security themed social media platform operated and regulated by the Shanghai Stock Exchange (SSE)，is aimed at facilitating the process of investors’ information acquisition and interpretation by allowing online interaction between investors and the listed firms. This online interaction is organized such that investors ask the listed firms questions and the SSE asks the listed firms to answer these questions according to their disclosed information. According to the SSE requests，a listed firm has the obligation to answer the questions from investors on the SSE E Interaction，and the answers of the listed firms should not contain any private information or false information.
    Here，we studied how the accuracy of the market earnings expectation is influenced by the change in investor sophistication due to information technology，which is proxied by the online interactions on SSE E Interaction. Two competing theories may be related to the market consequence of investor sophistication. The market efficiency hypothesis (Fama，1998) argues that market prices fully reflect all publicly available information. Conditional on this hypothesis，the improvement of investor sophistication makes no difference to market efficiency. In contrast，the incomplete revelation hypothesis (Bloomfield，2002) asserts that statistics that are more costly to extract from public data are less completely revealed in market prices. Conditional on this hypothesis，the improvement of investor sophistication can speed up the incorporation of information into prices.
    In this study，we found that when there were more words in the listed firms’ answers on SSE E Interaction，the market earnings expectation was more accurate，and the effect was more pronounced when the institutional ownership was lower. We also found that when there were more words in the listed firms’ answers on SSE E Interaction，the information asymmetry was lower during the earnings announcements. Our findings suggest that the market efficiency can be improved by the investor sophistication improvement due to information technology. Our findings are robust to different measurements of the interactions of the listed firms，different earnings expectation models，and different measurements of information asymmetry during the earnings announcements. One endogenous problem of this study lies in the incentive issues of the listed firms’ interactions. The market efficiency may be improved by the incentive issues of the listed firms’ interactions rather than by the interactions themselves. To solve this endogenous problem，we provide evidence that disclosure quality has no correlation with the listed firms’ online answers. The problem of endogeneity is a limitation of this study，as we did not filter out other potential incentive issues related to the listed firms’ answers.
    This study mainly makes the following contributions. First，our study shed light on the potential limitation of the efficient market hypothesis with the empirical evidence that the market efficiency could be improved by the improvement of investor sophistication due to information technology. Second，in our study of investor sophistication，we use the online interaction of social media as a proxy for investor sophistication improvement due to information technology，which provides more details of the information acquisition and interpretation process than the traditional proxy of institutional ownership. Third，by illustrating how information technology has changed the information environment of the capital market，we provide empirical evidence that information technology can facilitate the information acquisition and interpretation of investors through online interactions.
    Keywords：Social Media; Investor Sophistication; Earnings Expectation; Market Efficiency
    作者简介：丁慧，复旦大学管理学院会计系博士研究生；吕长江（通讯作者），复旦大学管理学院；黄海杰，华东师范大学经济与管理学部。
    项目：本文得到国家自然科学基金项目（71672039）资助。
    期刊责任编辑：陈辉  校对：曹帅
    【文摘】
    投资者信息获取和解读能力是投资决策的基础内容，也是近年来学术界的前沿问题，相关学术研究对于完善“有效市场理论”假设、提高市场效率研究具有重要意义。“有效市场”理论下的市场效率研究往往假设投资者信息获取和解读能力充分、有效，这样的假设与现实存在偏差。信息技术的发展改变了投资者信息获取和解读的方式、方法，提高了投资者信息获取和解读能力，为投资者信息获取和解读能力的研究提供契机。那么，信息技术背景下投资者信息获取和解读能力的变化是否能够提高市场效率？本文借助我国特有的社交媒体平台“上证e互动”试图找到答案，并解释两者的关系。
    盈余预期准确性是市场效率的重要体现，与若干市场异象紧密相关。以往研究发现投资者使用的信息集越综合，盈余预期越接近真实盈余，市场效率越高。但是文献没有解释为什么投资者的信息集会有差异。基于社交媒体技术的“上证e互动”平台提高了投资者信息获取和解读能力，为市场盈余预期问题提供了新的研究视角和理论解释。

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