基于信息不对称测度模型的投资者关注与股价崩盘风险

曹  纳; 田高良

基于信息不对称测度模型的投资者关注与股价崩盘风险

引用本文：曹纳，田高良.基于信息不对称测度模型的投资者关注与股价崩盘风险[J].财经理论与实践,2023,(6):51-58

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作者	单位
曹纳，田高良	（西安交通大学管理学院,陕西西安 710049）

中文摘要:选取2011—2019年沪深A股上市公司为研究样本，利用双边随机前沿模型构建出信息不对称测度模型，在信息不对称测度模型的基础上研究投资者关注与股价崩盘风险的关系。研究结果表明：投资者关注能够显著降低企业股价崩盘风险；投资者更偏向关注国有上市公司，国有上市公司股价崩盘风险更低；此外，投资者关注后所获得的信息相比于管理层隐藏的负面信息，前者对股价崩盘风险的抑制作用更强。

中文关键词:投资者关注股价崩盘风险信息不对称

Investors’ Attention and Stock Price Crash Risk Based on Information Asymmetry-Measurement Model

Abstract:This paper selects A-share listed companies in Shanghai and Shenzhen from 2011 to 2019 as the research sample, uses the bilateral stochastic frontier model to construct the information asymmetry measurement model, and studies the relationship between investors’ attention and stock price crash risk on the basis of the information asymmetry measurement model. The results show that investors’ attention can significantly reduce the risk of stock price crash; Investors tend to pay more attention to state-owned listed companies, and the risk of stock price collapse of state-owned listed companies is lower; In addition, compared with the negative information hidden by the management, the information obtained by investors after paying attention has a stronger inhibitory effect on the risk of stock price crash.

keywords:investors’ attention stock price crash risk information asymmetry

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