嘉宾介绍：窦超，中央财经大学商学院副教授，硕士生导师。清华大学经济管理学院博士，新加坡管理大学（厂惭鲍）访问学者。主要研究领域为公司财务、资本市场与财务会计。
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Abstract:Managers often hype their firms’ corporate business plans and strategies in their management statements, using terms related to innovative cutting-edge techniques and business models to attract market attention. However, the impact of disclosure hype remains unknown. We posit that the interpretation of disclosure hype could be heterogeneous for different investors and test the effects based on transactional-level trading data. Our study first defines key terms related to technology and business model innovation in government work reports as annual trending words based on the unique features of China’s top-down system. We then propose to measure the disclosure hype as the abnormal frequencies of trending words appearing in the management statements. Using a unique transactional-level trading dataset, we find evidence that the level of disclosure hype is positively associated with differences in net buying between small and large investors leading to wealth transfer accordingly during the sampled event window. The impact of disclosure hype is shown to be effectively mitigated by improved information transparency, investor protection, and innovation capacity; however, it becomes more pronounced for firms with a higher possibility of tunnelling. Our evidence also shows that investor sentiment is the economic channel through which investor disagreement is affected by disclosure hype. Our conclusions are robust to a series of robustness tests.
