The Influence Of Listed Companies' Information Disclosure Mood On Stock Price

The popularity and convenience of the media has attracted the influx of many listed companies.The self-media platform can increase the company's exposure and timely transmit information to investors.Will this new way of information disclosure have a certain impact on the stock price of the company? By using the technology of web crawler to grab posts of A shares of listed companies(removal of ST stock)registered in the company's official microblog company from 2011 to 2017.Through the text analysis of each micro-blog content listed companies posted by NLP technology,and building micro-blog sentiment index,to study the impact of mood of information disclosure of listed companies on stock price effect in the selfmedia platform.By using the data from the A share market from 2011 to 2017,and the Fama-Macbeth regression method is used to verify the scale effect and BM effect in China's A share market.Significant scale effect is found,but no significant BM effect is found.After controlling the book market value factor and market value factor,it is found that there is a significant negative relationship between the monthly stock return and the monthly micro-blog sentiment,that is,the micro-blog information released by the listed company will affect the stock yield of the company in the current period.In other words,investing in listed companies that posted the objective and calm micro-blog information can earn better yield.Then micro-blog emotional factor(PMN)has been constructed and added into the Fama-French three factor model to regress,it is found that the size of the book market ratio(HML),the market value factor(SMB)and micro-blog emotion factor(PMN)could explain the excess return rate of stock.Four factor model,including Fama-French three factors together with the micro-blog emotion factor improved the explanatory power of classic Fama-French three factor model.In addition,this paper observes the explanatory power of different industries and different markets.It is found that except for the financial industry and the public utilities industry,the other industries can pass the significance test.When the market is verified,Shanghai stock market A share,Shenzhen A share and gem have passed significant test,and micro-blog sentiment factor has the biggest influence on Shanghai stock market.The research conclusion has certain theoretical and practical significance.The latest stock data is used to verify the adaptability of Fama and French three factors model in China's A share market,and the influence of mood of information disclosure through self-media on stock market is also studied from another perspective.In terms of practical significance,the conclusions of this paper have an inspiring effect on how the listed companies can make better use of the selfmedia platform for information disclosure.