投资者情绪、管理层业绩预告择时和市场反应

发布时间：2018-04-04 16:53

本文选题：投资者情绪　切入点：业绩预告择时　出处：《华东理工大学》2014年硕士论文

【摘要】：投资者情绪对股票价格的影响是近年来行为金融领域的热点问题。与此同时,业绩预告择时策略及其经济后果也越来越受到会计学者们的关注。但是目前鲜有文献考察宏观市场层面的投资者情绪对微观企业业绩预告披露策略的影响,以及不同情绪期间业绩预告择时的经济后果。本文以2005年至2011年管理层业绩预告作为研究对象,利用主成分分析法构造投资者情绪综合指数,实证考察了宏观市场层面的投资者情绪对企业业绩预告择时的影响,以及不同情绪期间业绩预告择时的市场反应。研究发现,管理层倾向于对坏消息进行择时披露；相对于情绪乐观期,在情绪悲观期,管理层对坏消息的择时披露更加显著。研究还发现,坏消息的择时披露有助于降低其负面的市场反应；相对于情绪乐观期,在情绪悲观期,管理层通过对坏消息的择时披露进一步缓解了其对公司股票价格的不利影响。本文将宏观层面的投资者情绪与微观层面的企业信息披露策略联系起来,丰富了信息披露尤其是业绩预告择时披露的研究文献；已有文献主要考量投资者情绪对公司财务政策和股票收益的影响,而本文则从盈余信息市场反应视角揭示了投资者情绪影响资产定价的作用机理,拓展了投资者情绪与资产定价的研究文献。最后,本文研究成果有助于监管部门了解不同投资者情绪期企业的信息披露策略,为监管部门加强对上市公司信息披露的监管提供了理论基础和经验证据。
[Abstract]:The impact of investor sentiment on stock prices has been a hot issue in the field of behavioral finance in recent years.At the same time, the timing strategy of performance forecasting and its economic consequences have been paid more and more attention by accounting scholars.However, there are few literatures to investigate the influence of investor sentiment on the disclosure strategy of micro-enterprise performance, and the economic consequences of the timing of performance forecast in different emotional periods.This paper takes the management performance forecast from 2005 to 2011 as the research object, uses principal component analysis method to construct the comprehensive index of investor sentiment, and empirically investigates the influence of investor sentiment at the macro market level on the timing of enterprise performance forecast.As well as different emotional period performance forecast timing of the market reaction.It is found that the management tends to disclose the bad news at an appropriate time, and the timing disclosure of the bad news is more significant in the pessimistic period than in the optimistic period.The study also found that timing of bad news could help to reduce its negative market reaction, and that in contrast to a period of emotional optimism, in a period of pessimism,Management further mitigated its adverse impact on the company's stock price by timing the bad news.In this paper, the macro level of investor sentiment and the micro level of corporate information disclosure strategy are linked to enrich the information disclosure, especially the performance notice timing disclosure research literature;The influence of investor sentiment on corporate financial policy and stock returns has been studied in the literature. However, this paper reveals the mechanism of investor sentiment influencing asset pricing from the perspective of earnings information market reaction.It expands the research literature on investor sentiment and asset pricing.Finally, the research results of this paper are helpful for regulators to understand the information disclosure strategies of enterprises in different periods of investor sentiment, and provide theoretical basis and empirical evidence for regulators to strengthen the supervision of information disclosure of listed companies.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

【参考文献】