基于盈利预测的机构投资者非理性自利行为研究

发布时间：2018-01-24 19:01

本文关键词： 机构投资者盈利预测非理性自利行为　出处：《湖南大学》2012年博士论文　论文类型：学位论文

【摘要】：客观可靠的信息是资本市场企业价值评判的基础,是资本市场价格机制正常运转和实现有效资源配置的前提。而盈利预测信息是关于企业价值最核心的信息,因此是资本市场最重要的信息内容之一,有助于指引普通投资者进行投资,进而引导市场市场实现资源优化配置。机构投资者作为维护市场运行的金融中介,具有规模、信息和知识的优势,是资本市场天然的信息“权威”,是市场上普通投资者最重要的信息源。理性的机构投资者发布客观可靠的盈利预测,指引普通投资者进行投资,可以实现市场资源配置的优化,维护资本市场的秩序。但如果机构投资者表现出非理性自利行为,发布错误的或误导性的盈利预测,则会影响普通投资者的投资决策,误导资本市场的资源流向,从而严重地损害资本市场的运行秩序。以往的学者对于机构投资者盈利预测的研究大多遵循技术范式的研究思路,考察影响机构投资者盈利预测准确性的技术因素,而缺乏对其内在利益关系的探究。国外部分学者检验了承销业务利益对机构投资者盈利预测的影响,发现为了承销业务利益,机构投资者会采取非理性的自利行为,发布乐观的盈利预测以追逐承销业务利益。这说明当存在自身利益与市场利益的冲突时,非理性自利的机构投资者可能会以牺牲盈利预测的客观性为代价而换取自身的现实利益。 “经济人”的理性自利是以集体理性为目标的。经济个体在追求自身利益时,能实现集体的利益和自身的长期利益,这样才能保证自身利益的安全性和可持续性。因此,个体理性与集体理性是否一致是自利的理性判断标准。但现实中,个体理性与集体理性之间往往存在矛盾,过度的追求个体利益会导致个体理性对集体理性的损害。非理性自利实质为个体理性对集体理性的背离,其内涵是牺牲集体利益以谋求自身的利益,放弃长期利益来换取短期利益。非理性自利行为发生的条件在于市场伦理和声誉机制的缺失、信息的不对称、市场地位的失衡、市场监管的失效。我国的资本市场逐利氛围浓厚、机构投资者盈利压力巨大,这样会诱发机构投资者的非理性自利动机。而由于我国机构投资者在信息知识上的主导地位、市场声誉机制的不健全、市场监管和内部控制低效等方面的原因,机构投资者很可能会在利益诱导下产生非理性自利行为。由于机构投资者主要利益在于承销、自营和经纪三类业务,因此本文重点考察了在这三类业务利益的诱导下,机构投资者在盈利预测中所表现出的各种非理性自利行为。在承销业务方面,通过选取我国资本市场相关样本数据说进行检验,发现我国机构投资者会因为追逐承销业务利益而在盈利预测中表现出乐观倾向,以提升拟上市公司的市场认可度,增加承销利益；同时维护与上市公司管理层的良好关系,争取未来的承销业务机会；而这种乐观倾向会影响其盈利预测的准确性,并且会导致短期市场超额报酬上升,但中期却下降,因而会损害普通投资者的利益,影响市场资源配置。在自营业务方面,机构投资者为了保护自营业务利益,可能会有选择性地隐瞒自己的真实盈利预测,而发布非客观真实的盈利预测报告；通过相关数据分析,发现机构投资者的盈利预测调整方向与其自营业务的投资方向并不相关,表明机构投资者没有采纳其他机构投资者和自己的盈利预测报告进行投资,也即机构投资者发布的盈利预测选择性地隐瞒了其真实意图。在经纪业务方面,通过经纪业务利益和盈利预测关系的考察,发现机构投资者存在发布显著偏离市场前期盈利预测的倾向,而且这种偏离激发了市场交易量,最终会引致其经纪业务利益的增加。根据机构投资者非理性自利行为的影响因素和条件,本文最后提出从个体理性走向集体理性的实现路径,并据此从我国市场伦理环境的改善、市场监管与机构投资者内部控制的提升、市场声誉机制的建立等多个方面提出了对策建议。本文对自利的理性标准和非理性自利的内涵及产生条件进行了分析界定,并以此为基础对机构投资者盈利预测中的非理性自利行为机理和表现形式进行了系统性研究,既是对本领域文献的重要补充,也是对经济组织在利益冲突环境下的行为分析范式的贡献。对机构投资者在三类业务利益驱动下的盈利预测非理性自利行为进行了实证检验,这些研究结论对普通投资者理解机构投资者的盈利预测行为,对监管部门规范和引导机构投资者的发展都具有重要的理论和现实意义。
[Abstract]:Objective and reliable information is the foundation of capital market of the enterprise value evaluation, capital market price mechanism for normal operation and premise of realizing effective allocation of resources. And the profit forecast information about the core value of the enterprise information, so the capital market is the most important information content, help ordinary investors, and guide the market to optimize the allocation of resources. Institutional investors as the maintenance of financial intermediary, the operation of the market scale, information and knowledge advantage, is the capital market natural information "authority", is the ordinary investors on the market is the most important source of information. Rational institutional investors issued objective and reliable earnings forecast, direct the general investors. Can optimize the allocation of market resources, maintaining the order of capital market. But if institutional investors exhibit non rational self-interest,. The misleading or misleading earnings forecasts will affect the investment decisions of ordinary investors, mislead the capital market, and seriously damage the operation order of capital market.
Research of previous scholars for the study of institutional investors earnings forecast mostly follow the technological paradigm, the influence of institutional investors earnings forecast accuracy of technical factors, and the lack of research on its internal relations. Some foreign scholars examined the influence of institutional investors on underwriting business interest earnings forecasts, in order to find the underwriting business interests, institutional investors the non rational self-interest behavior, optimistic earnings forecasts issued to chase the underwriting business interest. This shows that when the conflict has its own interests and the interests of the market when the non rational self benefit institutional investors may be in exchange for real's own interests at the expense of the objectivity of earnings forecasts.
"Rational self-interest of economic man is the collective rationality as the goal. The individual economy in the pursuit of their own interests, to achieve the long-term interests of the collective interests and their own, so as to ensure the safety and sustainability of their own interests. Therefore, individual and collective rationality is a rational judgment standard of self-interest. But in reality, there are contradictions between individual and collective rationality, individual interests will lead to excessive pursuit of individual rationality of collective rationality damage. Non rational self-interest is individual rationality to deviate from the collective rationality, its connotation is sacrifice collective interests to seek their own interests, give up long-term interests for short-term interests of non. Rational self-interest behavior is the lack of market ethics and reputation mechanism, information asymmetry, unbalance of market position, the failure of market supervision. The capital market of our country by the atmosphere Wei strong, institutional investors profit pressure, which can induce institutional investors non rational self-interest. But due to the dominance of Chinese institutional investors in the information knowledge, the market reputation mechanism is not perfect, the market supervision and internal control efficiency etc., institutional investors may have a non rational self-interest in the interests of under the induction.
As institutional investors, the main interest is in underwriting, brokerage and proprietary business three categories, this paper focuses on the induction of these three types of business interests, various institutional investors represented in earnings forecast in the non rational self-interest behavior. In the underwriting business, through the selection of China's capital market related sample data to test said and found that China's institutional investors will chase because underwriting business interest in earnings forecast showed optimism, to promote listed companies to increase the degree of market acceptance, underwriting profit; and maintain good relationship with the management of listed companies, for future underwriting business opportunities; and this optimism will affect the accuracy of their earnings forecasts, and will lead to short-term market excess returns rise, but the medium-term declined, which will damage the interests of ordinary investors, affect the market in resource allocation. Business, institutional investors in order to protect the proprietary business interests would selectively hide their true earnings forecasts, published non objective truth profit forecast report; through data analysis, found that the investment direction to adjust the direction of its proprietary business institutional investors earnings forecasts are not related, shows that institutional investors did not adopt other institutional investors and their earnings forecasts for investment, namely, institutional investors issued a profit forecast selectively to conceal the true intentions. In the brokerage business, through the investigation of brokerage business interests and profit forecast relationship, found that institutional investors have significant tendency to deviate from the market early released earnings forecasts, and the deviation to stimulate the market trading volume finally, increase will lead to its brokerage business interests. According to institutional investors non rational self interest The influence factors and conditions, this paper finally puts forward the realization path from individual rationality to collective rationality, and accordingly from China's market ethics environment, improve the internal control of market supervision and institutional investors, many aspects of the market reputation mechanism establishment put forward suggestions.
The connotation of rational criterion of self-interest and non rational self-interest and conditions are analyzed and defined, based on the systematic research on the mechanism of non rational self-interest behavior and forms of institutional investors in the earnings forecast, is an important supplement to the field of literature, but also contribute to the behavior analysis paradigm of economic organization in the conflict environment. To carry on the empirical test of institutional investors in the three types of business profit driven interests under the prediction of non rational self-interest behavior, these results for ordinary investors understand the institutional investors profit forecast behavior, has important theoretical and practical significance to the regulatory authorities to regulate and guide the development of institutional investors.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

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