Abstract We use a unique data set of 6,954 firm-year observations to investigate the information content of comment letters released by the Shenzhen Stock Exchange (SZSE). The information role appears to be negatively associated with institutional investors’ informed trading. The comment letters, which increase more media coverage, decrease the institutional investors’ informed trading. Our results are robust across alternative measures and the propensity score matching (PSM) method. The negative relationship is more pronounced in firms with low analysts’ coverage, non-big 4 auditors, non-SOEs, and transient institutional investors. Our results suggest that comment letters are able to decrease information asymmetry and the stock exchange can play an active regulatory role to improve the stock market.

中文翻译：

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评论信的信息作用：机构投资者知情交易的证据

摘要我们使用一个独特的数据集，该数据集包含6954个企业年度的观察数据，以调查深圳证券交易所（SZSE）发布的评论信的信息内容。信息作用似乎与机构投资者的知情交易负相关。评论信增加了媒体的报道，减少了机构投资者的知情交易。我们的结果在其他方法和倾向得分匹配（PSM）方法中均很可靠。负相关关系在分析师覆盖率较低的公司，非四大审计师，非国有企业和临时机构投资者中更为明显。我们的结果表明，评论信能够减少信息不对称，证券交易所可以发挥积极的监管作用来改善股票市场。