Does Investor Network Interaction Affect Stock Mispricing?

With the rapid development of network information technology and the rapid expansion of social media,the advantages of the Internet in promoting the flow of information and accelerating the efficiency of information dissemination have gradually become prominent,and it has played an indispensable role in stimulating investors’ ability to obtain and interpret information.In order to better guide investors to express their emotions and make scientific investor decisions,and establish a good network voice and exploration environment for investors,Shenzhen Stock Exchange and Shanghai Stock Exchange established a more professional network communication platform called "Interactive Easy" and "eInteractive" in 2010 and 2013,respectively,to deliver customized and targeted information about corporate characteristics to investors,bringing significant changes to the efficiency of information dissemination in the capital market,It has been widely concerned by securities market participants and scholars,but there is still insufficient attention on how to affect the stock pricing in the capital market.Most scholars are more concerned about how the services provided by external intermediaries such as analysts,auditors,institutional investors and the information generated affect the pricing bias in the stock market.The change of information transmission mode and its economic impact have not yet aroused widespread attention in the academic community.The investor network interaction is a reliable channel for small and medium-sized investors to actively obtain information,Few scholars have paid attention to the impact of the services they provide on stock mis-pricing.This paper uses the interactive communication data of the two major exchange network platforms to study whether the improvement of interactive information communication on the ability of external investors to obtain and interpret information can contribute to stock mis-pricing.This paper provides a useful reference for mining the information acquisition ability of investors,improving the information dissemination efficiency of listed companies,and strengthening the information construction of the capital market.Based on the efficient market theory,information asymmetry,signal transmission theory,and investors’ limited attention,this paper puts forward this hypothesis,and takes the A-share listed companies from 2010 to 2020 as the research sample to empirically test the relationship between investors’ network interaction and stock mispricing.First of all,it examines the impact of investors’ online interaction on stock mis-pricing from three aspects: the number of investors’ questions,the number of responses from listed companies and the quality of interaction,as well as the changes in the relationship between the two under the condition of opening We Chat,Weibo and We Media;Secondly,we study the impact of the response rate of interaction characteristics,the response time interval,whether the Secretary is the Gold Secretary and the significant change of interaction frequency on the stock mispricing;Furthermore,it examines the financial distress of enterprises and agency costs to verify the impact on the relationship between them;Finally,from the perspective of the information effect of investors’ network interaction,this paper examines the mechanism of its effect on stock mispricing.The research conclusions are as follows:(1)The more investors ask questions on the interactive platform,the more listed companies respond to questions,and the deeper the degree of interaction,the lower the level of stock mispricing,which indicates that investors’ online interaction has played a positive role in the stock market.This conclusion is still valid after a series of robustness tests such as instrumental variable method,Heckman test,changing sample interval,and propensity score matching;(2)The information released by We Chat and Weibo from Wemedia and the information released in the Q&A of the online interaction platform form a hedging effect,offsetting the impact of investors’ online interaction on the wrong pricing of stocks.In companies that have not opened We Chat or Weibo,investors can play a more effective role through the functionality of online interaction;(3)The higher the interactive response rate,the shorter the response interval,and the larger the gold medal board secretary’s response and interactive increase,the more obvious the inhibition effect on stock mispricing;(4)The negative correlation between investor network interaction and stock mispricing is more significant in companies with stable financial conditions and high agency costs;(5)The analysis of the mechanism of action shows that investors’ network interaction has an information effect,and enterprises with more interaction can effectively reduce the degree of information asymmetry correcting the deviation of stock price from value.The conclusion shows that investors can excavate the characteristic information of companies and transmit it to the capital market through network interaction,which provides a new perspective for market efficiency research.