都披露等于都没披露？数据资产信息披露、投资者有限注意力与资本市场定价效率
Is Universal Disclosure Equivalent to No Disclosure? Data Asset Disclosure, Investors’ Limited Attention and Capital Market Pricing Efficiency

摘要: 本文利用中国A股上市公司数据，基于有限注意力理论，重新审视了数据资产信息披露对资本市场定价效率的影响。研究发现，数据资产信息披露的经济后果并非静态不变，而是随着市场整体披露水平的提升呈现显著的边际递减特征。具体而言，在市场整体披露水平较低时，企业披露数据资产信息能够通过增加特质信息供给、增强信息扩散及加速信息融入来显著降低股价同步性，提高资本市场定价效率。然而随着近年来披露行为的普遍化，没有证据表明上述机制仍然有效。进一步分析表明，仅在市场整体数据资产信息披露水平较低，且企业披露的特质信息相对较少、信息传播环境优越或机构投资者注意力未被过度分散的情境下，披露行为才能维持其正向效应。本文拓展了有限注意力理论的边界，将研究视角延伸至同质化信息对投资者注意力的分散这一维度，揭示了数据资产信息披露在市场普遍化情境下面临的价值稀释问题。 下载中文论文

Abstract: This paper utilizes data from Chinese A-share listed companies and, based on the limited attention theory, re-examines the impact of data asset disclosure on capital market pricing efficiency. The study finds that the economic consequences of data asset disclosure are not static but exhibit a significant marginal decreasing feature as the overall market disclosure level rises. Specifically, when the overall market disclosure level is low, corporate disclosure of data asset information can significantly reduce stock price synchronization and enhance capital market pricing efficiency by increasing the supply of idiosyncratic information, enhancing information diffusion, and accelerating information integration. However, with the recent widespread disclosure behavior, there is no evidence that the above mechanisms remain effective. Further analysis indicates that disclosure behavior can maintain its positive effect only when the overall market disclosure level of data assets is low, and the firm’s disclosed idiosyncratic information is relatively limited, the information dissemination environment is favorable, or institutional investor attention is not excessively diffused. This paper expands the boundaries of the limited attention theory, extending the research perspective to the dimension of the dispersion of investor attention by homogenized information, and reveals the value dilution problem faced by data asset information disclosure in the context of universalization. Download English Paper