上市公司年报风险信息披露与市场风险——基于LDA主题模型的文本研究
Risk Disclosure in Annual Reports and Market Risk:A Text Research with the LDA Topic Model
宋军 1肖超1
作者信息
- 1. 复旦大学 经济学院, 上海 200433
- 折叠
摘要
上市公司年报中披露的文本风险信息分类多样,影响机制复杂.基于LDA主题模型,文章从上市公司风险文本中提取出 15 个主题风险,研究其披露程度对市场风险的影响.研究发现,风险披露程度的提升会在整体上显著提高市场风险,且不同主题的风险信息披露对市场风险的影响不同:宏观系统性风险和流动性风险的披露程度越高,市场风险越大;公司自愿披露的生产安全等风险的披露程度提高会显著降低市场风险;以"模板式"方式披露的风险披露程度对市场风险没有影响.监管部门在制定年报风险信息披露分类标准时,应更多考虑上市公司的实际情况,不断完善相关措施.
Abstract
The risks disclosed in the annual reports are complex,and the research on their impact is controversial.This paper uses the LDA topic model to extract 15 risk topics from the risk texts of listed companies and study their impact on market risk.The study found that:1)the increase of risk disclosure significantly increased the market risk as a whole;2)increased disclosure of systemic risks such as macroeconomic and policy changes and corporate liquidity risks,significantly increasing the market risk;increased voluntary risk disclosure,such as production safety,significantly reduced market risk;lastly,the disclosed of risk in a template manner had no effect on market risk.
关键词
年报/风险信息披露/市场风险/LDA主题模型Key words
annual report/risk disclosure/market risk/LDA topic model引用本文复制引用
基金项目
国家社会科学基金(23BTY117)
教育部人文社会科学研究规划基金(19YJA790104)
出版年
2024
NETL
NSTL
万方数据