交易所问询函监管、上市公司信息披露质量与股票市场定价效率

股票市场定价效率不仅决定资源配置是否高效，而且直接关乎金融风险。本项目基于党中央、国务院高度重视金融风险防范的战略背景，从交易所问询函这一创新监管方式切入，以上市公司定量信息披露质量和定性信息披露质量为中介，系统揭示问询函监管对股票市场定价效率的影响和作用机理。鉴于此，本课题借助爬虫、机器学习和文本分析等技术，综合运用调研访谈和实证研究等方法，试图解答：（1）我国问询函监管具有怎样的制度背景与现状？（2）问询函监管发挥作用的理论框架及衡量指标如何构建？（3）问询函监管是否提高了上市公司定量信息披露质量？（4）问询函监管是否提高了上市公司定性信息披露质量？（5）问询函监管是否以及如何影响股票市场定价效率？本课题的开展有助于深化对股票市场定价效率影响因素的认识，推动问询函监管经济后果的相关研究，并为监管层进一步创新监管方式、提高股票市场定价效率、打好防范化解金融风险攻坚战提供决策支持。

Stock markets pricing efficiency not only determines whether the resources allocation is efficient or not, but has a direct relation with financial risk as well. Based on the strategy that the Central Committee and the State Council attach great importance to preventing financial risk, our study notice a new regulatory act of stock exchanges called comment letters. Using it as a pointcut, we systematically reveal the influence of the comment letters on the stock pricing efficiency and its mechanisms of action with the quantitative and qualitative information disclosure quality of listed companies as a medium. Specifically, we manage to answer the following questions through technologies such as web crawler, machine learning, text analysis and methods including investigations, interviews, and empirical researches. (1) What is the institutional background and current situation of the comment letters regulation in China? (2) How to construct the theoretical framework and indicators to measure the effect of comment letters? (3) Do comment letters improve the quantitative information disclosure quality of listed companies? (4) Do comment letters improve the qualitative information disclosure quality of listed companies? (5) Do comment letters affect the pricing efficiency of stock markets and how? Our study contributes to the literature in several ways. First, it adds to a growing literature investigating the determinants of stock markets pricing efficiency, contributing to the emerging research on the economic consequences of comment letters. Moreover, it provides decision supports for authorities to further innovate supervision models so as to improve stock markets pricing efficiency and win the battle of preventing and defusing financial risks.