风险信息披露与股票流动性——基于中国A股上市公司年报文本分析

以2012～2018年中国A股上市公司作为研究样本，采用文本分析技术，利用正则表达式检索和提取公司年报风险段落，并以风险关联词度量年报风险披露的程度，实证检验了风险信息披露与股票流动性水平的关系。研究结果表明：风险信息披露与股票流动性负相关，说明披露的风险越多，市场风险感知越强，投资者交易行为更加谨慎，股票流动性越低；在风险披露影响股票流动性的过程中，投资者情绪起到了不完全中介作用；相比于国有、信息质量较高以及地区法律环境较好的企业，在非国有、信息质量较低以及地区法律环境较差的企业中，风险披露与流动性的负相关关系更加显著；风险披露语调和非模板化程度同更高的流动性相关；不同于风险披露与长期流动性的负相关关系，风险披露与短期异常流动性正相关。系统性地检验了中国风险信息披露对市场流动性的影响，丰富了风险信息披露与市场流动性相关的文献。在实证基础上，指出中国风险信息披露现有不足，建议加强上市公司风险披露监管力度，提高信息披露质量，完善市场制度规范的政策，以更好地保护投资者基本利益，提高市场资源配置效率。

Risk InformationDisclosureand Stock Liquidity:Based onTextual AnalysisofAnnualReportofA-shareListed Firmsin China

This paper empirically examines the relationship between corporate risk information disclosure and stock market liquidity by taking Chinese A-share listed firms from 2012 to 2018 as the survey sample and measuring the level of risk information disclosure by extracting risk-related words with textual analysis and regular match expression in the annual report.The results show that risk information disclosure is negatively correlated with stock market liquidity,indicating that more risk information disclosed leadstoa stronger market risk perception,a more cautious trading behavior of investors,and a lower stock market liquidity. Investor sentiment plays an incomplete intermediary role in the proces of risk information disclosure affecting stock liquidity.The negative correlation between risk disclosure and liquidity is more significant in enterprises with characteristics of non-state-owned nature,low information quality, and poor regional legal environment, compared with state-owned enterprises, enterprises with a higher information quality and a better regional legal environment. The tone and non-templating degree of risk disclosure are Related to a higher liquidity. The relationship between risk disclosure and short-term abnormal liquidity is distinctly different from the relationship with long-term liquidity. This paper systematically analyzes the impactofrisk disclosure in the China’s stock market, and enriches the literature on risk factor disclosure and market liquidity. Based on the empirical evidence, this paper proposes policy recommendations to strengthen the supervision of risk information disclosure of listed firms,improve the quality of information disclosure,and enhance marketr egulations, so as to better protect the benefit of investors and improve the efficiency ofmarket resource allocation.