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《Journal of Financial Research》 2015-11
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Weibo,Firm- Specific Information Disclosure and Stock Price Synchronicity

HU Jun;WANG Zhen;School of Finance,Shanghai University of Finance and Economics;School of Finance,Jiangxi University of Finance and Economics;  
In the extant literature there is no unanimous conclusion on whether the variation of R~2 is due to the difference in firm- specific information or that in the irrational frenzy. One possible reason is that neither the amount of firm- specific information nor the degree of frenzy can be measured directly. Due to the dramatic development of information technology,weibo has been widely used by both public and companies. With the advent of the new technology,the amount of information disclosed by companies proliferates; the types of information released through it differ greatly from the conventional ones; even the way in which information is disseminated changes drastically. The popularity of weibo provides an excellent setting to distinguish between the above two explanations for R~2. We find that:( 1) R~2 decreases after a company initiates its weibo,and( 2) the average forecasting error of analysts decreases afterwards. The above results indicate that companies disclose firm-specific information through weibo,which has significant impacts on R~2;( 3) individual investors cannot fully understand the information disclosed through weibo. The fact that weibo information can be incorporated into stock price timely reflects the " information intermediary" role of financial analysts.
【Fund】: 国家自然科学基金项目(71102135);; 上海市浦江人才计划(11PJC062);; 上海财经大学研究生创新基金项目(CXJJ-2013-319);; 上海财经大学金融学院互联网金融课题组资助
【CateGory Index】: F832.51;F275
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