基于行为分析的财务信息利用与投资绩效关系的实证研究

发布时间：2018-07-10 09:53

本文选题：财务信息 + 投资绩效　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：股票市场个人投资者应如何通过合理决策获得超额收益，是一直以来备受国内外学者青睐的重要课题。行为金融理论从研究投资者投资心理入手，突破传统金融理论的局限，成为研究投资者非理性决策的重要基础。投资策略方面，价值投资理论认为，理性的投资行为应该是注重公司基本面状况的长期投资，财务信息作为反映股票基本面的关键信息，对其利用程度直接关系到股票选择的理性程度。然而，传统的实证会计在研究财务信息与股票投资绩效的关系时，通常致力于从整个市场的角度出发，缺乏从微观上对个人投资者投资效果的研究。那么，财务信息对我国股票市场个人投资者的投资行为产生怎样的影响，究竟能否通过对财务信息的利用提高投资收益，成为本文研究的主要问题。本文从行为分析的角度切入，探讨在股票选择中财务信息利用程度与个人投资者投资绩效之间的关系。结合行为金融学理论和投资者信息偏好理论，，在对投资者非理性认知偏差进行分析的基础上，将个人投资者的股票选择行为分为高财务信息利用度和低财务信息利用度两种模式，从价值投资、财务信息价值相关性、交易频率和羊群行为的角度，对这两种模式下投资者的投资绩效分别进行理论分析，据此提出研究假设。采用问卷调查法收集数据，对调查问卷结果进行可靠性和有效性检验，并对个人投资者的财务信息利用程度、投资行为和投资绩效情况进行统计分析。建立有序logistic模型，对样本进行实证检验，得到的结论是对财务信息利用程度较高的投资者更注重股票的基本面情况，更具有价值投资倾向。提高对财务信息的利用程度能够帮助个人投资者取得更好的投资绩效，降低交易频繁和羊群行为等非理性投资行为对投资收益的负面影响。
[Abstract]:How individual investors in stock market should obtain excess returns through rational decision has been an important topic favored by scholars both at home and abroad. Behavioral finance theory starts with the study of investor's investment psychology, breaks through the limitation of traditional financial theory, and becomes the important foundation of investor's irrational decision. In terms of investment strategy, the theory of value investment holds that rational investment behavior should be a long-term investment focusing on the fundamental situation of the company, and financial information is the key information to reflect the stock fundamentals. The degree of its utilization is directly related to the rational degree of stock selection. However, when the traditional empirical accounting studies the relationship between financial information and stock investment performance, it usually focuses on the whole market, and lacks the research on the investment effect of individual investors from the micro perspective. So, how does financial information affect the investment behavior of individual investors in our stock market, and whether the utilization of financial information can improve the investment returns becomes the main problem of this paper. From the perspective of behavioral analysis, this paper explores the relationship between the degree of financial information utilization and the investment performance of individual investors in stock selection. Based on the behavioral finance theory and investor information preference theory, this paper analyzes the irrational cognitive bias of investors. The stock selection behavior of individual investors is divided into two models: high utilization of financial information and low utilization of financial information. From the perspective of value investment, correlation of financial information value, trading frequency and herd behavior, the stock selection behavior of individual investors is divided into two models: high utilization of financial information and low utilization of financial information. On the basis of theoretical analysis of investors' investment performance in these two models, the research hypotheses are put forward. The data were collected by questionnaire, the reliability and validity of the questionnaire were tested, and the degree of financial information utilization, investment behavior and investment performance of individual investors were analyzed statistically. An orderly logistic model is established to test the samples. The conclusion is that the investors with higher utilization of financial information pay more attention to the fundamental situation of the stock and have the tendency of value investment. Improving the use of financial information can help individual investors to achieve better investment performance and reduce the negative impact of irrational investment behavior such as frequent trading and herd behavior on investment returns.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

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