关键词: 风险信息披露, 市场流动性, 投资者情绪

Abstract: This paper empirically examines the relationship between corporate risk information disclosure and stock market liquidity by taking Chinese A-share listed firms from 2012 to 2018 as the survey sample and measuring the level of risk information disclosure by extracting risk-related words with textual analysis and regular match expression in the annual report.The results show that risk information disclosure is negatively correlated with stock market liquidity,indicating that more risk information disclosed leadstoa stronger market risk perception,a more cautious trading behavior of investors,and a lower stock market liquidity. Investor sentiment plays an incomplete intermediary role in the proces of risk information disclosure affecting stock liquidity.The negative correlation between risk disclosure and liquidity is more significant in enterprises with characteristics of non-state-owned nature,low information quality, and poor regional legal environment, compared with state-owned enterprises, enterprises with a higher information quality and a better regional legal environment. The tone and non-templating degree of risk disclosure are Related to a higher liquidity. The relationship between risk disclosure and short-term abnormal liquidity is distinctly different from the relationship with long-term liquidity. This paper systematically analyzes the impactofrisk disclosure in the China’s stock market, and enriches the literature on risk factor disclosure and market liquidity. Based on the empirical evidence, this paper proposes policy recommendations to strengthen the supervision of risk information disclosure of listed firms,improve the quality of information disclosure,and enhance marketr egulations, so as to better protect the benefit of investors and improve the efficiency ofmarket resource allocation.

Key words: risk disclosure, stock liquidity, investor sentiment