信息外溢性、信息成本与中小投资者利益保护分析

发布时间：2018-01-04 16:25

本文关键词：信息外溢性、信息成本与中小投资者利益保护分析　出处：《暨南大学》2013年博士论文　论文类型：学位论文

【摘要】：本文是从信息外溢性角度来研究股票市场上中小投资者利益的保护问题，主要分为三个部分来进行论述。首先，在分析了信息外溢性与证券市场的关系及信息外溢性与中小投资者认知风险的关系的理论基础上，并结合一些学者已经做的实证分析，提出了一个度量非理性的中小投资者收益的公式，从这个公式出发，中小投资者利益的保护分为外在保护与内在保护层面。接着本文从外在保护与内在保护层面两个层面对中小投资者利益的保护进行了理论与实证分析。最后，分析了外在与内在的交叉—社会经济网络与投资者行为与投资者利益的密切关系。具体来说，本文论述的主要内容可以分为以下五个方面：（1）信息外溢性与证券市场关系的基础理论的构建。提出了信息外溢性的概念以及信息外溢性的测度指标—信息报酬，分析了存在信息报酬时的资产定价，以及信息报酬的来源，信息报酬与信息成本之间的关系，并界定了证券市场上信息真实性的三种状态。（2）信息外溢性与中小投资者认知风险的关系的理论分析。用认知风险来度量投资者的非理性程度，投资者的认知风险可以分解为理性认识风险和基于中小投资者心理偏差的认知风险两部分之和，并证明了当证券市场存在正信息外溢性报酬时，投资者的证券投资认知风险较低，最后提出了一个关于中小投资者收益的一个公式。（3）信息外溢性角度下中小投资者利益外在保护层面的分析。用博弈论分析了内幕信息的监管及上市公司信息披露与投资者利益保护的关联，并实证分析了上市公司盈余管理与投资者保护的关系、分析师迎合股价的动机与中小投资者利益的关系以及投资者教育与中小投资者行为的关系。（4）信息外溢性角度下中小投资者利益内在保护层面的分析。中小投资者有其特定的学习方式及对信息的反应模式，中小投资者存在八种常见的非理性行为，并用问卷调查的方法指出了投资者存在着“后面有更好的”这种效应。构建了一个关于中小投资者积极投资的博弈，只有当证券市场存在正信息报酬时，投资者才能回归价值投资模式，并且投资者只有选择合适的投资方法与情绪控制能力才能保障自身的利益。（5）社会经济网络与投资者行为与投资者利益关系的分析。社会经济网络的结构以及网络的连接方式都会影响投资者的行为，，股市文化的构建即共识的形成与投资者的利益保护是密切相关的。
[Abstract]:This paper studies the protection of the interests of small and medium investors in the stock market from the perspective of information spillover . First , based on the analysis of the relationship between the information spillover and the securities market and the relationship between the information spillover and the cognitive risk of small and medium investors , the paper puts forward a formula for measuring the profit of small and small investors . Specifically , the main content discussed in this article can be divided into five aspects : ( 1 ) The construction of the basic theory of information spillover and security market relations . The concept of information spillover and the measure index of information spillover are put forward . The relationship between the pricing of assets and the source of information remuneration , information remuneration and information cost are analyzed , and three states of information authenticity on the stock market are defined . ( 2 ) Theoretical analysis of the relationship between the spillover of information and the cognitive risk of small and medium investors . Using the cognitive risk to measure the irrational extent of investors , the investors ' cognitive risks can be decomposed into the sum of the risk of rational cognition and the cognitive risk based on the psychological deviation of small and medium investors . ( 3 ) The analysis of the protection level of small and medium - sized investors under the information spillover angle . The relationship between the supervision of the insider information and the information disclosure of listed companies and the protection of investors ' interests is analyzed by game theory , and the relationship between the earnings management of listed companies and investor protection is analyzed . The relationship between the motivation of the stock price and the interests of small and medium investors and the relationship between investor education and the behavior of small and medium investors are analyzed . ( 4 ) The analysis of the internal protection level of small and medium - sized investors in the angle of information overflow . Small and medium - sized investors have the specific learning style and the reaction mode to information . Small and medium - sized investors have eight common irrational behaviors . ( 5 ) The analysis of the relationship between the social economic network and the investor ' s behavior and the investor ' s interest . The structure of the social economic network and the connection mode of the network will affect the investors ' behavior . The construction of the stock market culture is closely related to the investor ' s interests protection .

【学位授予单位】：暨南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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