盈余平滑、投资者异质信念与资产误定价——基于我国沪深两市2000-2012年数据的分析

发布时间：2018-01-02 07:09

本文关键词：盈余平滑、投资者异质信念与资产误定价——基于我国沪深两市2000-2012年数据的分析　出处：《商业研究》2017年09期 　论文类型：期刊论文

【摘要】：我国证券市场长期存在股票价格偏离其内在价值而被错误定价的"异象",导致证券市场资源配置功能得不到充分发挥。基于行为金融理论及信息不对称理论,本文分析盈余平滑、投资者异质信念与资产误定价的关系,剖析资产误定价的产生机理。结果表明,投资者异质信念对资产误定价产生正向影响,盈余平滑能够缓解投资者异质信念对资产误定价产生的正向影响;相比融资融券交易制度实施前,我国证券市场投资者异质信念对股价高估的正向影响显著增强,盈余平滑对异质信念与股价高估之间的负向调节作用显著存在于融资融券交易制度实施之后,这说明我国推出融资融券对提高股票定价效率的作用并不明显。因此,应客观公允地认识评价盈余平滑行为对降低资产误定价的积极作用,但也须对其加强管理,防止其过度运用而形成盈余操纵。
[Abstract]:There is a long-term stock price deviate from its intrinsic value is the mispricing of the "vision" of China's securities market, leading to the resource allocation function of securities market are not fully realized. The behavioral finance theory and information asymmetry theory based on the analysis of earnings smoothing, investors heterogeneous beliefs and the relationship between asset mispricing, asset pricing analysis error generation the mechanism. The results show that investors' heterogeneous beliefs has a positive impact on asset mispricing, earnings smoothing can alleviate the positive impact on investors' heterogeneous beliefs asset mispricing generated; compared margin trading system before the implementation of China's securities market investors heterogeneous beliefs positive impact on overvalued prices increased significantly, earnings smoothing on between heterogeneous beliefs and overvalued negatively moderates the effect exists in the implementation of the margin trading system, it shows that China launched margin of The role of high stock pricing efficiency is not obvious. Therefore, we should objectively and fairly recognize the positive role of earnings smoothing behavior in reducing asset mispricing, but we must strengthen management to prevent excessive use and form earnings manipulation.

【作者单位】：石河子大学经济与管理学院;
【基金】：国家自然科学基金项目“基于行为金融与信息不对称视角的资产误定价研究”,项目编号:71562029 新疆普通高校人文社会科学重点研究基地项目“资产误定价对投资效率的影响研究”,项目编号:XJEDU020115C02 石河子大学人文社会科学中青年科研人才培育基金项目“投资者关注对资产误定价的影响研究”,项目编号:RWSK16-Y04
【分类号】：F832.51
【正文快照】： 有效市场假说认为资本市场是有效的,金融资产的价格包含了所有的信息,投资者无法通过分析股票价格获取超额收益。即所有的投资者都获取了相同的信息,他们对上市公司未来预期的判断也相同,金融资产的价格都是经过准确定价的,价格只可能在资产的内在价值附近波动,而不能长期偏离

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