摘要：The question whether R2 represents information or noise is still a fundamental question in the study of stock price synchronicity. There are two main difficulties. Firstly, the trait information of a company is hard to measure; Secondly, the investors’ sophistication is ignored when we discuss the effectiveness of market. Through the study of Chinese SSE E-interaction platform and the measurement by textual analysis method, this article argues that the improvement of investors’ sophistication has negative association with stock price synchronicity. This result is more salient in companies with lower opacity or with higher corporate governance. This paper contributes to the deepen understanding of stock price synchronicity and new method of measuring trait information of companies.
关键词：Investor Sophistication;Stock Price Synchronicity;E-Interaction;Textual Analysis;Chinese Capital Market
