文章基于2017-2022年全部A股（剔除货币金融服务行业）上市公司年报及半年报中“管理层讨论与分析（MD&A）”的文本语调，研究其对公司股票的影响。研究表明，MD&A语调与报告发出后的5/10/20/40/60/120日股票表现均显著正相关，语调越正面，则股票存在越高的超额收益率。背后的机制在于文本语调具有“增量信息”，投资者对此进行了识别和反应。并且，回归结果表明文本语调与公司未来业绩存在显著的正相关关系，即文本语调对公司基本面可能也具有一定前瞻效果。此外，正负面语调的影响存在非对称性，负面语调相较于正面语调有更大更显著的影响，即中国股市整体体现为“杠杆效应”。在机构持股比例更低的散户组股票中，正面语调的影响得到加强，散户由于非理性的投资行为，使得股票趋于表现“反杠杆效应”。本文还进行了多项异质性分析，如文本相似度、是否为国企、近一年是否受罚，结果显示文本相似度高、是国企、近一年受罚的公司，MD&A语调对股票的影响更弱，解释为增量信息不足或可信度低。本文也通过采用文本语调的其他衡量方法和进行样本处理，证明基准回归结果具有稳健性。
The study, based on the textual tone of "Management Discussion and Analysis (MD&A)" sections extracted from the annual and semi-annual reports of all A-share listed companies (excluding the monetary financial services industry) from 2017 to 2022, investigates its impact on the company‘s stock performance. The research reveals a significant positive correlation between MD&A tone and the stock performance at 5/10/20/40/60/120 days after the report release, with a more positive tone associated with higher excess returns. The underlying mechanism lies in the "incremental information" embedded in the textual tone, which investors identify and react to. Moreover, regression results indicate a significant positive correlation between textual tone and future company performance, suggesting that textual tone may have a predictive effect on both the stock prices and fundamentals of the company. Additionally, there is an asymmetric effect between positive and negative tones, where negative tones have a greater and more significant impact compared to positive tones, reflecting a "leverage effect" in the overall Chinese stock market. In stocks with lower institutional ownership, the impact of positive tones is strengthened, indicating a "counter-leverage effect" driven by irrational investment behavior among retail investors. The study also conducts various heterogeneity analyses, such as text similarity, state-owned enterprise status, and recent penalties, revealing that companies with higher text similarity, state-owned status, and recent penalties exhibit weaker effects of MD&A tone on stock performance, attributed to insufficient incremental information or lower credibility. Additionally, the study demonstrates the robustness of the baseline regression results by employing alternative measures of textual tone.
