企业社会责任信息披露与股价同步性 ——基于NER和TF-BIDF文本技术的分析

Corporate Social Responsibility Disclosure and Stock Price Synchronicity: An Analysis Based on NER and TF-BIDF Textual Techniques

摘要:

基于 2008—2022 年上市企业公开发布的社会责任报告,利用命名实体识别(named entity recognition,NER)和词频-前逆文档频率(term frequency-back Inverse document frequency,TF-BIDF)技术对文本内容进行分析,探讨企业社会责任信息披露所传递信号对股价同步性的影响机制。企业通过社会责任报告向外界传递与经营相关的信号,这些信号会对企业股价同步性产生重要影响。研究表明,社会责任报告中反映出的两类信号——传递企业特异信息的异质性信号,以及体现企业传达一致性的跨期一致性信号——均有助于减轻企业与市场间的信息不对称,从而降低股价同步性。进一步分析显示,非国有企业的信号异质性对股价同步性的降低作用更加显著;企业实际履行社会责任的水平越高,异质性信息含量和跨期一致性指数越显著;而信息披露水平的提高可能在一定程度上削弱信号效应。此外,通过更换样本及采用PSM-DID和Heckman模型进行了稳健性检验,以确保结论的可靠性。从信号性质的不同维度出发,对社会责任报告进行了内部内容分析与外部纵向比较,为研究企业社会责任报告对市场表现的影响提供了新视角。研究成果不仅为提高中国资本市场的信息效率提供了理论支持,也为当前社会责任信息披露制度的完善提供了政策建议。

Abstract:

Based on corporate social responsibility (CSR) reports publicly released by listed companies from 2008 to 2022, the textual content was analyzed using Named Entity Recognition (NER) and Term Frequency-Back Inverse Document Frequency (TF-BIDF) techniques, and the mechanism explored through which the signals transmitted by CSR disclosure affect stock price synchronicity. The analysis showed that two types of signals play important roles. Heterogeneous information content transmits firm-specific information, and the intertemporal consistency index reflects consistent communication. Both signals reduce information asymmetry between firms and the market, thereby decreasing stock price synchronicity. Further analysis indicated that signaling heterogeneity is more significant in non-state-owned enterprises. Higher levels of social responsibility fulfillment strengthen the effects of heterogeneous content and consistency index, while higher disclosure levels may weaken the signaling effect. Robustness tests were conducted by replacing samples and applying the PSM-DID and Heckman models. From the perspective of signal characteristics, internal content analysis and external longitudinal comparison were employed. The findings provide a new perspective on the impact of CSR reports on market performance. The results also offer theoretical support for improving information efficiency in China’ s capital market and policy suggestions for enhancing the CSR disclosure system.