投资者情绪、企业投资行为及其市场反应

发布时间：2018-06-21 13:31

本文选题：投资者情绪 + 企业投资行为　；参考：《华东交通大学》2014年硕士论文

【摘要】：2008年金融危机对实体经济的影响虽然渐渐淡去，但中国证券市场却依然投机之风盛行，非理性情绪严重泛滥。从投资者角度，投资者的盲目跟风和投机理念抑制了我国合理有序的投资氛围和投资环境的形成；从企业角度，管理者迎合投资者情绪的过度投资倾向日渐严重，甚至威胁着中小股东的切身利益。本文的研究将对于投资者理性投资、企业管理者合理审慎投资项目有一定的参考。本文选取2008年—2012年沪深A股上市公司中的774家企业作为研究样本，采用实证研究的方法研究投资者情绪、企业投资行为及其市场反应三者之间的关系。文章首先对投资者情绪和企业投资行为之间的关系进行实证检验，作为将企业与股市衔接的重要一步，接下来对企业投资行为与滞后一期的市场反应之间的关系进行实证检验，最后，作为股市层面的研究，也为了进一步检验投资者情绪在股市层面的市场反应，文章又对投资者情绪影响股票收益率的结果进行了实证检验。论文的研究结论为：（1）投资者情绪与企业投资行为之间存在着显著的正相关关系，上市公司在投资者情绪高涨时期进行大规模投资，投资者情绪对于企业的投资水平具有推动作用；（2）企业投资水平与滞后一期的股票收益率存在着显著的负相关关系，也就是说我国上市公司投资水平的增长在股市层面带来的市场反应将是低水平的股票收益率，企业投资水平对股票收益率有着负向的预测能力；（3）投资者情绪影响股票收益的回归结果表明了二者之间呈显著的负相关，，从而印证了投资者情绪的高涨促进了企业投资水平的提高，进而导致了股市上的负面反应和较低的个股收益率。本文的创新之处体现两个方面：一是本文结合之前文献中企业层面和股市层面研究成果，实现投资者情绪到企业投资行为再到公司股票收益率的分析链条上的完整性。二是本文的实证检验结果表明企业的投资行为对公司股票回报率有着负向的预测能力，为行为财务角度去研究企业投资行为导致的股票市场反应提供更多的借鉴。
[Abstract]:Although the impact of the 2008 financial crisis on the real economy is fading, China's securities market is still in the vogue of speculation and irrational sentiment is rampant. From the point of view of investors, the blind follow and speculative ideas of investors have restrained the formation of a reasonable and orderly investment atmosphere and investment environment in China, and from the enterprise perspective, the overinvestment tendency of managers to cater to investor sentiment is becoming increasingly serious. Even threaten the vital interests of small and medium shareholders. The research in this paper will be a reference for investors' rational investment and enterprise managers' reasonable and prudent investment projects. In this paper, 774 companies in Shanghai and Shenzhen A-share listed companies from 2008 to 2012 are selected as research samples, and the relationship among investor sentiment, corporate investment behavior and market reaction is studied by using empirical research method. Firstly, the paper makes an empirical test on the relationship between investor sentiment and enterprise investment behavior, as an important step to link the enterprise with the stock market, and then makes an empirical test on the relationship between the enterprise investment behavior and the delayed market reaction. Finally, as a stock market level research, in order to further test the market reaction of investor sentiment in the stock market level, the paper also carries on the empirical test to the investor sentiment influence stock yield result. The conclusion of this paper is: (1) there is a significant positive correlation between investor sentiment and enterprise investment behavior, and listed companies invest on a large scale during the period of high investor sentiment. There is a significant negative correlation between the investment level of enterprises and the stock return rate in a lag period. That is to say, the growth of investment level of listed companies in China will bring about a low level of stock returns, and the investment level of enterprises will have a negative ability to predict the stock returns. 3) the regression results of investor sentiment influencing stock returns show that there is a significant negative correlation between them, which proves that the upsurge of investor sentiment promotes the improvement of enterprise investment level. This in turn led to negative reactions on the stock market and lower returns on individual stocks. The innovation of this paper embodies two aspects: first, this paper combines the research results of enterprise level and stock market level in previous literature to realize the integrality of investor sentiment to enterprise investment behavior and then to the analysis chain of company stock return rate. Second, the empirical results of this paper show that the investment behavior of enterprises has a negative predictive ability to the stock return rate, which provides more reference for the study of the stock market reaction caused by the corporate investment behavior from the behavioral and financial point of view.
【学位授予单位】：华东交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

【参考文献】