中国投资者注意力与意外盈余效应的实证研究

发布时间：2018-03-01 17:32

本文关键词： 意外盈余投资者注意力过度反应行为金融　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：会计盈余是应用最为广泛,受到公司内部以及市场投资者关注最多的公司绩效信息之一,而盈余公告效应是一类非常重要的市场“异象”(anomalies),对公司盈余公告后股价反应的研究也是金融和会计学文献的热点话题；同时,国外一些行为金融的研究发现,注意力是投资者对信息反应的一个重要影响因素。本文所关注的是盈余公告发布时,投资者注意力的集中程度在市场价格对盈余信息的反应中的影响；在判断注意力是否影响投资者的决策行为的基础上对我国意外盈余效应的产生原因进行探讨。本文以2006-2010年度A股上市公司年度盈余公告为研究对象,利用事件研究及回归分析等方法对我国股票市场的意外盈余效应进行实证检验,从投资者对盈余信息的过度反应及后续修正的动态过程中探究注意力是如何影响资产价格的。研究的主要结论为：(1)我国市场对盈余公告存在过度反应；(2)当投资者对股票市场的关注水平较高时,股价在公告日附近对盈余信息反应程度较大,并且在事件后窗口中有较显著的收益反转；(3)当投资者的注意力较分散时,股价在事件窗口内受到盈余信息的影响较小,在事件后窗口中也未产生明显的反转现象。结合我国投资者的行为偏差,本文认为,较高的注意力水平可能加剧投资者的行为偏差,导致其对信息反应过度,使股价偏离其理论价值而加剧市场波动。我国证券市场是重要的新兴市场之一,投资者经验尚不丰富、信息披露不充分、政策制定与实施缺乏连贯性等因素使市场参与者的行为和心理偏差对市场运行的影响尤为突出。本文结合我国市场环境和投资者行为的特点,从投资者注意力的角度揭示了我国市场对意外盈余反应的特点和意外盈余效应产生原因,为行为金融理论对股价异常表现的解释提供了中国市场的证据,也为进一步了解我国市场的运行效率和投资者行为特点提供了依据。
[Abstract]:Accounting earnings is one of the most widely used corporate performance information, which attracts the most attention from both internal and market investors. The earnings announcement effect is a very important market anomaly, and the research on the stock price reaction after the earnings announcement is also a hot topic in the financial and accounting literature. Attention is an important factor that affects investors' response to information. This paper focuses on the influence of investors' concentration on the response of market price to earnings information when the earnings announcement is issued. On the basis of judging whether attention affects investors' decision-making behavior, the causes of unexpected surplus effect in China are discussed. Taking the annual earnings announcement of A share listed companies in 2006-2010 as the research object, this paper makes an empirical test on the unexpected earnings effect of China's stock market by means of event study and regression analysis. From the dynamic process of investors' overreaction to earnings information and subsequent correction, this paper explores how attention affects asset prices. The main conclusion of the study is: 1) there is overreaction to earnings announcement in Chinese market. When the level of attention to the stock market is high, Stock prices have a greater response to earnings information near the announcement date, and there is a more significant return reversal in the post-event window) when investors' attention is more scattered, stock prices are less affected by earnings information in the event window. There is no obvious reversal phenomenon in the window after the event. Combined with the behavior deviation of the investors in our country, this paper thinks that the higher attention level may aggravate the behavior deviation of the investors, and lead them to overreact to the information. The stock price deviates from its theoretical value and exacerbates market volatility. China's securities market is one of the most important emerging markets. The lack of consistency in policy making and implementation makes the market participants' behavior and psychological bias especially affect market operation. This paper combines the characteristics of market environment and investor behavior in our country. From the perspective of investors' attention, this paper reveals the characteristics of market reaction to unexpected earnings in China and the causes of unexpected earnings effect, which provides evidence for the explanation of abnormal performance of stock price by behavioral finance theory in China. It also provides the basis for further understanding the market operation efficiency and investor behavior characteristics.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

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