研究供应链中企业新闻如何影响股价，发现消息传播有网络效应。
Stock Price Responses to Firm-Level News in Supply Chain Networks
- 用FinBERT分析新闻情绪，通过财报和调查识别供应链关系
- 新闻发布前后股价均与情绪相关，披露后关联性更强
- 日本企业上下游的股价反应比海外弱，可能受文化或制度影响
本研究考察了企业层面的正负面新闻与股价的关系，并分析这种关联是否通过供应链网络传递至供应商和客户。研究基于全球及日本上市公司的大规模样本，采用经金融文本微调的FinBERT模型衡量新闻情绪，供应链关系则来自全球企业的财务报表和日本的大规模企业调查数据。结果发现，即使在公开披露前，股价已系统性地对正负新闻产生反应；这种关联在披露前后均存在于供应商和客户中。总体而言，相较于披露前，披露后的关联性更强，且差异集中于新闻公开时刻附近。然而，对于日本企业，其供应商和客户的披露后关联性反而低于披露前，与非日本企业呈现相反趋势。
原文摘要 · Abstract (English)
This study examines how positive and negative news about firms is associated with stock prices and whether these associations extend to firms' suppliers and clients connected through supply chain relationships, using large samples of publicly listed firms worldwide and in Japan. News sentiment is measured using FinBERT, a natural language processing model fine-tuned for financial texts, and supply chain links are identified from financial statements for global firms and from large-scale firm-level surveys for Japanese firms. We find that stock prices exhibit systematic associations with positive and negative news even before public disclosure. These associations are also observed for suppliers and clients before and after disclosure. In general, relative to the pre-disclosure period, post-disclosure associations are larger, with the difference concentrated around the time of public news disclosure. However, for Japanese firms, the post-disclosure associations for suppliers and clients are smaller than the pre-disclosure associations, in contrast to the pattern observed for firms outside Japan.
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