【摘要】 在数字技术深刻变革信息生产与传播机制的背景下，自媒体正日益成为资本市场中不可忽视的信息力量。本文基于13万余篇财经类微信公众号文章，创新性地构建了自媒体关注度相关指标，系统评估了自媒体在资本市场中的信息功能。研究发现，自媒体是兼具“市场发现”与“信息监督”功能的重要信息中介。首先，自媒体关注度通过加速信息传递和增加信息生产能够显著提高股价信息含量。其次，该效应在小规模公司和机构持股比例较低的公司，以及当自媒体的影响力较大、文章长度较短、内容效度较高时更加明显。进一步分析发现，自媒体与分析师之间存在较强替代性，而与新闻媒体之间的替代性较弱。最后，自媒体还具有一定的治理效应和预测价值：自媒体关注有助于纠偏分析师预测、促使公司提升可持续发展水平，而其文本情绪倾向对公司未来股价具有显著预测能力。本文对规范自媒体行业发展、完善资本市场信息生态与监管体系、推进数字中国建设具有重要启示。更多还原

【Abstract】 As one of the fastest-growing information intermediaries in the digital era, We-media has become a new informational force that capital markets can no longer ignore. On the one hand, by relying on low-cost online channels, plain-language communication, and broad user bases, We-media can alleviate information asymmetry and speed up information diffusion. On the other hand, some financial We-media platforms also face serious governance challenges, including the spread of false information, emotion-driven hype, and illicit stock-tipping, which disrupt the informational environment and erode market credibility. A careful assessment of the informational role of We-media in capital markets is therefore crucial for improving the efficiency of China’s capital markets, strengthening the ability of finance to serve the real economy, and advancing the broader Digital China agenda.This paper takes WeChat official accounts as a representative form of We-media. Using a web crawler, we collect more than 130, 000 firm-related articles about A-share listed companies posted between 2015 and 2019 on 3, 643 financial WeChat official accounts, and construct novel firm-level measures of We-media attention. We then use these measures to examine the informational role of We-media in capital markets. Our findings reveal that We-media is essential information intermediaries with substantive capabilities in market discovery and information monitoring. First, increased We-media attention significantly enhances stock price informativeness, primarily through accelerated information diffusion and augmented information production. This effect is more pronounced among smaller firms and those with lower institutional ownership, and is stronger when We-media platforms are more influential, article lengths are shorter, and content validity is higher. Further analyses reveal substantial substitution between We-media and analysts, but limited overlap with traditional news media. Moreover, We-media exhibit both governance and predictive functions. In terms of governance, heightened We-media attention helps correct analyst forecast biases and incentivizes listed firms to improve corporate governance and social reputation. In terms of prediction, the sentiment conveyed in We-media texts has significant forecasting power for future stock returns, but this predictive value weakens in the presence of extreme sentiment.Our findings yield several policy implications. First, regulators should recognize and guide We-media as a new type of information intermediary, and integrate it in an orderly way into the information ecosystem of capital markets. Second, regulators should devote greater institutional attention to “information-marginalized” firms, such as small and innovative companies, and leverage the comparative advantages of We-media in mitigating information asymmetry and accelerating information flow. Finally, regulators should design a multilayered framework for the monitoring and regulation of We-media that is aligned with the features of generative AI and emotion-driven content propagation.This paper makes three contributions. First, unlike the existing literature that mainly examines how listed firms or their executives use We-media as a disclosure channel, we take an external perspective and systematically study the informational role of We-media in capital markets, thereby enriching the literature on price efficiency and information intermediaries. Second, we provide a systematic comparison across different types of We-media and between We-media and traditional intermediaries such as analysts and news media, in terms of how they generate and disseminate information. This analysis offers both conceptual and empirical foundations for identifying the operating characteristics of heterogeneous information intermediaries. Third, we address the core questions of when We-media information is effective, why it is effective, and how large its effects are. These results generate concrete policy insights for regulating the development of the We-media sector and promoting the high-quality development of capital markets.更多还原