投资者风险关注的影响因素研究——基于业绩说明会问询端的文本分析

摘要/Abstract

摘要： 揭示投资者风险关注的影响因素，有助于更全面地把握投资者行为，从而提升上市公司投资者关系管理水平，促进企业健康可持续发展。本文利用A股上市公司2007—2021年业绩说明会相关数据，通过对投资者问询端文本进行风险含量分析，构建了新的投资者风险关注指标，并从基本面风险和信息风险两个视角较为全面地考察了其影响因素。研究发现，投资者风险关注随年报基本面风险和分析师预测偏差的增加而增加，随前期股票收益波动率和宏观经济政策不确定性的增加而减少。进一步分析发现，上述关系在规模较大、负债率较高、信息质量较高以及国有企业中更为明显。此外，对于投资者的风险关注，管理层会给予即时正向回应，显著降低投资者与管理层之间的信息不对称，并提高公司股票的市场定价效率。本文对于理解投资者风险关注的形成机制及信息效应具有重要参考价值。

关键词: 投资者风险关注, 基本面风险, 信息风险, 市场定价效率

Abstract: Understanding the determinants of investor risk concerns is crucial for comprehending investor behavior, improving investor relations management in publicly listed companies, and fostering sustainable corporate development. This study utilizes data from earnings communication conferences of A-share listed companies in China from 2007 to 2021. We construct a novel measure of investor risk concerns by analyzing the risk content within the text of investor inquiries, and comprehensively examine its determinants from the dual perspectives of fundamental risks and information risks. Our findings reveal that investor risk concerns increase with greater fundamental risk disclosed in annual reports and larger analyst forecast errors. Conversely, investor risk concerns decrease with higher prior stock return volatility and increased macroeconomic policy uncertainty. Further analysis indicates that these baseline findings are more pronounced in firms that are larger, have higher leverage, exhibit higher information quality, and are state-owned. Moreover, we find that management's timely and positive responses to investor risk concerns can significantly reduce the information asymmetry between investors and management and enhance the market pricing efficiency of the company's stock. This research provides valuable insights into the mechanisms driving investor risk concerns and their informational consequences.

Key words: investor risk concern, fundamental risk, information risk, market pricing efficiency

林乐, 李弄文. 投资者风险关注的影响因素研究——基于业绩说明会问询端的文本分析[J]. 管理评论, 2026, 38(3): 210-223.

Lin Le, Li Nongwen. Determinants of Investor Risk Concern: Textual Analysis Based on the Inquiry Texts from Earnings Communication Conferences[J]. Management Review, 2026, 38(3): 210-223.

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