date: semptember 30, 2021
time: 14:00 pm
venue: room 0411, teaching building 0#, jiuli campus
event details:
lecturer: associate professor dong dayong
about the lecturer:
dong dayong, associate professor and doctoral supervisor, teacher of the department of finance and finance, published more than 60 papers in academic journals. research direction: behavioral finance, asset pricing.
about the lecture:
this lecture takes our country’s a-share listed companies from 2012 to 2018 as a research sample, uses text analysis technology to retrieve and extract risk disclosures in company annual reports, and uses risk-related words to measure the degree of risk disclosure in annual reports, and empirically examines the relationship between risk information disclosure and stocks liquidity levels. the research results show that: (1) risk information disclosure is negatively related to stock liquidity. the more risks disclosed, the more cautious investors’ trading behavior and the lower stock liquidity; (2) when risk disclosure affects stock liquidity, the sentiment of the investors has played an incomplete intermediary role; (3) compared with state-owned enterprises with higher information quality and better regional legal environment, in non-state-owned enterprises with lower information quality and poor regional legal environment, the negative correlation between the risk disclosure and liquidity is more significant; (4) the tone of risk disclosure and the degree of non-templating are related to higher liquidity; (5) different from the negative correlation between risk disclosure and long-term liquidity, risk disclosure is positively correlated to short-term abnormal liquidity. the research systematically examined the impact of risk information disclosure in the annual report text on market liquidity, and enriched the literature on risk information disclosure and market liquidity.
