The Effect Of Risk Disclosure In Annual Reports On Firm-level Investor Sentiment

In recent years,the economic scale of China’s stock market has grown rapidly by238.9%,ranking second in the world,with more than 200 million stock investors.Stock investors have an increasingly strong demand for heterogeneous risk information,and there is an information asymmetry between listed companies and stock investors.The risk information disclosure of the annual report of listed companies is one of the important sources of information,which can alleviate the degree of information asymmetry.Therefore,the CSRC and other departments require listed companies to disclose risk information in the future outlook section of their annual reports,and encourage voluntary disclosure.However,the risk information disclosed in the annual report will affect investors’ risk perception.Whether enterprise risk information disclosure provides investors with useful market information to reduce investment risk or magnifies investors’ risk perception to cause panic psychology,clarifying the mechanism of the impact of annual report risk information disclosure on investor sentiment has important theoretical value and practical significance for promoting the healthy and sustainable development of China’s capital market.This paper uses the data of A-share listed companies from 2008 to 2020,and uses the time and individual dual fixed model to deeply analyze the economic consequences of annual report disclosure of risk information on investors.This paper examines the internal mechanism of information utility and risk utility of annual report risk information disclosure,as well as the adjustment mechanism of penalty for non-compliance disclosure,managers’ myopia and analysts’ attention,and explores the heterogeneity of firms(state-owned enterprises vs non-state-owned enterprises)and investors(institutional investors and retail investors).Empirical studies have found that:(1)there is an inverted U-shaped relationship between annual report risk information disclosure and investor sentiment,and the impact of annual report risk information disclosure on investor sentiment is first information effect and then risk utility;(2)The penalty for illegal disclosure will reduce the information utility of annual report risk information disclosure and improve investors’ risk perception of annual report risk information disclosure;(3)Managerial Myopia will also reduce the information utility of annual report risk information disclosure and improve the risk utility of annual report risk information disclosure;(4)Analysts following to the information utility and risk utility of annual report risk information disclosure as an intermediary for public information dissemination;(5)There are differences between state-owned and non-state-owned enterprises,and in state-owned enterprises,the annual report risk information disclosure is only informational utility;(6)There are differences between institutional investors and retail investors,retail investors for the annual report risk information disclosure of cognition first information view is risk view.