信息要素大循环下的资本市场定价效率研究:基于高铁开通的准自然实验

李梦, 朱翊茗, 舒苏, 王愉靖

系统工程理论与实践 ›› 2023, Vol. 43 ›› Issue (7) : 1910-1926.

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系统工程理论与实践 ›› 2023, Vol. 43 ›› Issue (7) : 1910-1926. DOI: 10.12011/SETP2022-1973
论文

信息要素大循环下的资本市场定价效率研究:基于高铁开通的准自然实验

    李梦1, 朱翊茗1, 舒苏2, 王愉靖3
作者信息 +

Pricing efficiency of capital market under the circulation of information factors: A quasi-natural experiment based on the opening of high-speed railway

    LI Meng1, ZHU Yiming1, SHU Su2, WANG Yujing3
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文章历史 +

摘要

交通基础设施快速发展是我国经济要素循环畅通的基础和保障, 是构建要素大循环新发展格局的重要支撑. 基于2007-2017年我国地级市高铁开通和A股上市公司数据, 本文采用双重差分模型实证检验城市高铁开通对上市公司股价信息含量的影响, 并运用企业信息透明度、机构持股和分析师实地调研等数据, 从改善市场信息不对称、提升市场信息效率角度验证机制. 研究发现, 上市公司所在城市开通高铁能显著降低股价同步性, 该实证发现在引入企业固定效应、控制飞机出行、互联网基础设施建设等因素后依旧稳健. 机制分析表明, 城市高铁开通显著降低资本市场的信息获取成本, 提升股价信息含量和市场定价效率, 对信息透明度和信息披露水平较低以及外部信息环境较差的企业影响更大. 进一步分析表明, 高铁开通可以显著增加分析师实地调研活动, 提升分析师报告句子数和涉及财务信息句子数, 以增加股价中企业特有信息含量. 研究结果揭示了城市开通高铁促进上市公司信息跨地区流动和传播的经济功能, 为交通基础设施建设助力畅通国内大循环、有效提升资本市场效率提供经验证据.

Abstract

The expeditious development of transportation infrastructure constitutes the bedrock and assurance for the unimpeded circulation of economic factors in China and is also crucial for the establishment of a novel development framework for factor circulation. This paper examines the empirical impact of urban high-speed railway (HSR) on the information content of stock prices for A-share listed companies in China, based on data from the opening of HSR in prefecture-level cities from 2007 to 2017, using the difference-in-difference model. Additionally, it verifies the mechanism of market information asymmetry and efficiency improvement from various perspectives, such as diaphaneity of enterprise information, institutional investors' holdings, and analysts' field research. The study reveals that the opening of HSR in the city where the listed company is located significantly diminishes the synchronization of stock prices. The empirical findings remain robust even after considering regional factors like corporate fixed effects, control of aircraft travel, and internet infrastructure construction. The mechanism analysis indicates that the introduction of HSR can considerably decrease the cost of acquiring information for investors and enhance the content of information and pricing efficiency of stock prices in the capital market. The impact of reducing the synchronization of stock prices is more pronounced for companies with an inadequate information environment. Furthermore, additional analysis demonstrates that the opening of HSR can significantly amplify the number of analyst report sentences, increase sentences involving financial information, and intensify analysts' field research activities. This augments the company-specific information content in stock prices. The research outcomes expose the economic function of the opening of HSR in urban areas, facilitating the cross-regional flow and distribution of information on listed companies, and providing empirical evidence for the construction of transportation infrastructure to facilitate the smooth circulation of economic factors and to effectively enhance the efficiency of the capital market.

关键词

高铁 / 股价同步性 / 信息不对称 / 分析师实地调研

Key words

high-speed railway / stock price synchronicity / information asymmetry / analysts' corporate site visits

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李梦 , 朱翊茗 , 舒苏 , 王愉靖. 信息要素大循环下的资本市场定价效率研究:基于高铁开通的准自然实验. 系统工程理论与实践, 2023, 43(7): 1910-1926 https://doi.org/10.12011/SETP2022-1973
LI Meng , ZHU Yiming , SHU Su , WANG Yujing. Pricing efficiency of capital market under the circulation of information factors: A quasi-natural experiment based on the opening of high-speed railway. Systems Engineering - Theory & Practice, 2023, 43(7): 1910-1926 https://doi.org/10.12011/SETP2022-1973
中图分类号： F832.5   

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基金

国家自然科学基金 (71901017, 72273146); 北京市社会科学基金(19JDYJB018)
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