Name | Definition |
SYN | Stock price synchronicity, the co-movement of individual volatility and market volatility of stock price. Equation (5) demonstrates the calculation. |
inf | Trait information, calculated from normalized text vector of questions and answers records in e-interaction platform. Equation (3) demonstrates the calculation. |
std | General information, calculated from normalized text vector of questions and answers records in e-interaction platform. Equation (3) demonstrates the calculation. |
size | The logarithm of the book value of total asset for the current year. |
lev | Firm leverage, measured as total debt divided by total asset for the current year. |
roa | Return of asset, measured as net profit divided by total asset for the current year. |
bm | Book-to-market assets ratio, measured as book value of asset divided by market value of asset. |
turnover | Monthly averaged turnover of company for the current year |
age | Firm listing history, measured as the natural logarithm of the year number that firm is listed on A share market. |
soe | Stated owned enterprise, measured as 1 if the controlling owner is State Asset Regulatory Commission, and 0 otherwise. |
abs_da | Accounting information quality, measured through Modified Jones model |
top1 | Share proportion of the biggest shareholder |
big10 | Auditing quality, measured as 1 if annual report is audited by big10 auditor. The rank of auditors is based on the rating result of China Certified Public Accounting Association. |
record | The amount of public disclosure issued by company in official publication channel. |