投资者异质信念对证券市场盈余公告效应的影响研究

发布时间：2018-07-24 19:27

【摘要】：证券市场盈余公告效应(PEAD)的相关理论和实证研究由来已久，行为金融理论的发展使这一异象的解释和研究更加深入。目前，中国证券市场仍以信念异质的散户投资者为主，2007年正式实施的新会计准则中对上市公司信息披露盈余质量的要求进一步提高了证券市场对盈余公告异象的重视，因此，结合考虑信息层面因素，从投资者异质信念角度深入剖析PEAD异象有重要意义。本文以此为研究契机，检验投资者异质信念对证券市场盈余公告效应的影响。本文首先从理论分析的角度对国内外有关投资者异质信念和盈余公告效应的相关文献进行梳理，对相关理论进行阐述，并在此基础上分析了投资者异质信念对盈余公告效应的影响机理。然后，确定实证研究方法和各研究变量的计算方法并构建多元回归模型。最后，选取2007年到2011年公开披露年报信息的沪深两市A股非金融上市公司为样本，通过运用事件研究法、多元回归分析法和Bootstrap检验法来验证研究假设，考察我国证券市场在样本期间盈余公告效应的特征及投资者异质信念对它的影响。实证检验发现，我国在样本期存在明显的盈余公告效应异象；投资者异质信念显著影响盈余公告效应；在好坏消息中，投资者异质信念对未预期盈余累积超额收益率敏感性影响存在差异；机构投资者持股比例对累积超额收益率有显著的负向影响；投资者异质信念对盈余公告效应的影响在不同盈余质量水平中存在差异。我国上市公司存在不同程度的盈余管理行为，我国投资者存在显著的异质信念并且信息甄别分析能力有限，机构投资者持股在减少投资者之间的异质信念，稳定市场中并未起到预期作用。针对上述问题，本文提出了加强证券市场监管，正确引导个人投资者和机构投资者发展，，完善市场约束机制的政策建议。
[Abstract]:The theoretical and empirical research on the earnings announcement effect of securities market (PEAD) has a long history, and the development of behavioral finance theory makes the explanation and research of this anomaly more in-depth. At present, China's securities market is still dominated by retail investors with heterogeneous beliefs. The requirements of the new accounting standards on the quality of information disclosure of listed companies in 2007 have further enhanced the attention of the securities market to earnings announcement anomalies. It is of great significance to analyze PEAD anomalies from the perspective of investors' heterogeneous beliefs by considering the factors of information level. This paper takes this opportunity to test the influence of investor heterogeneity belief on earnings announcement effect in securities market. This paper firstly combs the relevant literatures about investors' heterogeneity belief and earnings announcement effect from the angle of theoretical analysis, and expounds the relevant theories. On this basis, the influence mechanism of investor heterogeneity belief on earnings announcement effect is analyzed. Then, the empirical research method and the calculation method of each research variable are determined and the multivariate regression model is constructed. Finally, the non-financial listed companies of Shanghai and Shenzhen A-shares which publicly disclose the annual report information from 2007 to 2011 are selected as samples, and the research hypotheses are verified by using event research method, multiple regression analysis method and Bootstrap test method. This paper investigates the characteristics of earnings announcement effect in Chinese securities market during the sample period and the influence of investors' heterogeneity belief on it. The empirical test shows that there are obvious anomalies of earnings announcement effect in the sample period in China; investors' heterogeneity beliefs have a significant impact on earnings announcement effect; in good or bad news, The influence of investor heterogeneity belief on the sensitivity of cumulative excess return of unanticipated earnings is different, and the proportion of institutional investors has a significant negative effect on cumulative excess return. The influence of investor heterogeneity belief on earnings announcement effect is different among different earnings quality levels. China's listed companies have different degree of earnings management behavior, Chinese investors have significant heterogeneous beliefs and limited ability of information screening and analysis, institutional investors hold shares in reducing heterogeneous beliefs among investors. Stabilizing the market did not play the expected role. In view of the above problems, this paper puts forward some policy suggestions on strengthening the supervision of the securities market, correctly guiding the development of individual investors and institutional investors, and perfecting the market restraint mechanism.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【相似文献】