2026, 39(3): 104-122

投资者金融素养与股票特质风险：基于股吧文本分析

Investor Financial Literacy and Stock Idiosyncratic Risk: A Text Analysis Based on Stock Forum Posts

DOI：10.3969/j.issn.1672-0334.2026.03.007

中国分类号：F830.2

作者：

尹海员 陕西师范大学 国际商学院，西安 710119

翟宇航 陕西师范大学 国际商学院，西安 710119

基金项目：教育部人文社会科学研究规划项目 (22XJA790008)；陕西省自然科学基础研究项目 (2023JCYB622)；中央高校基本科研业务专项资金 (24ZYZD003)

中文摘要：

股票特质风险是资本市场非有效性的重要表征，个体投资者的非理性交易行为是诱发股票特质风险的关键因素，而金融素养偏低则是导致个体投资者做出非理性投资决策的核心症结。已有研究多从公司和市场层面探讨股票特质风险的影响因素，对微观投资者金融素养的作用关注不足，且传统金融素养测度方法存在样本量有限、时效性滞后等局限，难以适配资本市场海量投资者的研究需求。基于此，以2019年至2023年沪深300指数成分股为研究对象，爬取东方财富网股吧中样本股票的日度发帖文本，运用字典匹配法构建个体投资者金融素养指标，基于CAPM模型、Fama-French三因子及五因子模型测度股票特质风险，实证检验个体投资者金融素养对股票特质风险的影响效应。实证检验发现，个体投资者金融素养的提升对股票特质风险具有显著的负向抑制效应，该结论在一系列内生性处理和稳健性检验下依然成立；此外，中介机制分析表明，投资者金融素养主要通过降低投资者情绪波动、缓和投资者意见分歧等渠道抑制股票特质风险；异质性分析结果表明，线上投教基地的建立、新闻对公司信息关注度的提升、公司对外信息披露可读性的增强会显著强化上述抑制效应，而分析师和券商研报的关注发挥了替代作用，新闻情感倾向的积极化则会削弱该抑制效应。研究结果从微观投资者特征视角丰富了股票特质风险影响因素的研究，突破了传统金融素养测度方法的局限，基于网络股吧文本分析构建更贴合资本市场实际的金融素养指标，为理解投资者行为与资本市场风险的内在关联提供了新的经验证据。研究结果为监管部门加强投资者教育、优化市场信息环境、完善资本市场风险防控体系，以及维护资本市场稳定运行提供了有益的政策启示和实践参考。

关键词：投资者金融素养；股票特质风险；股吧文本；投资者教育；意见分歧

英文摘要：Stock idiosyncratic risk serves as a critical manifestation of capital market inefficiency. Irrational trading behaviors of individual investors constitute a key factor triggering idiosyncratic risk, while low financial literacy represents the core crux leading individual investors to make irrational investment decisions. Existing studies predominantly explore the influencing factors of stock idiosyncratic risk from the firm and market levels, paying insufficient attention to the role of micro-level investors′ financial literacy. Moreover, traditional measurement methods of financial literacy suffer from limitations such as limited sample size and time lag, making them difficult to adapt to the research demands of the massive number of investors in the capital market. In view of this, this study takes CSI 300 Index constituent stocks from 2019 to 2023 as the research sample. It crawls daily posting texts of the sample stocks from the East Money Stock Forum and constructs an indicator of individual investors′ financial literacy using the dictionary matching method. Stock idiosyncratic risk is measured based on the Capital Asset Pricing Model (CAPM), Fama-French three-factor and five-factor models, and the impact of individual investors′ financial literacy on stock idiosyncratic risk is empirically examined. Empirical tests reveal that the improvement of individual investors′ financial literacy exerts a significant negative inhibitory effect on stock idiosyncratic risk, and this conclusion remains valid after a series of endogeneity treatments and robustness tests. In addition, mediation mechanism analysis shows that investor financial literacy suppresses stock idiosyncratic risk mainly through channels such as reducing investor sentiment volatility and alleviating investor opinion divergence. Heterogeneity analysis indicates that the establishment of online investor education bases, the enhancement of news attention to corporate information, and the improved readability of corporate external information disclosure significantly strengthen the above inhibitory effect. Meanwhile, the attention from analysts and securities firm research reports plays a substitution role, while the positive tendency of news sentiment weakens this inhibitory effect. From the perspective of micro-level investor characteristics, the findings enrich the research on the influencing factors of stock idiosyncratic risk, break through the limitations of traditional financial literacy measurement methods, and construct a financial literacy indicator more in line with the reality of the capital market based on online stock forum text analysis, providing new empirical evidence for understanding the intrinsic correlation between investor behavior and capital market risk. The conclusions also offer useful policy implications and practical references for regulatory authorities to strengthen investor education, optimize the market information environment, improve the capital market risk prevention and control system, and safeguard the stable operation of the capital market.

Key words: financial literacy of investors|stock idiosyncratic risk|stock bar text|investor education|dispersion of opinions