投资者情绪对上市公司投资行为的影响

发布时间：2018-04-19 15:41

本文选题：投资者情绪 + 投资水平　；参考：《东北财经大学》2012年硕士论文

【摘要】：“理性人假设”和“有效市场假说”是标准金融学理论的基础,在此基础上形成了标准金融学中的核心理论如权衡理论、代理理论、信号传递理论、资本资产定价模型等。但是,周期性的金融危机证明了投资者并不是在任何时候都是完全理性的,市场并非任何时候都是强式有效的。标准金融学已经无法解释资本市场中出现的异象,如元月效应、噪声交易和股票溢价等等。因此,行为金融学便应运而生,它放宽了理性投资者的假设,研究资本市场中的异常现象,并取得了一定的成果。中国的资本市场建立不久,正处于一个快速发展的阶段,制度等各方面还有待完善,投资者缺乏投资经验并且分析信息的能力不强,其特点之一就是投资者群体非理性,从而导致证券价格受投资者情绪影响较为显著。特别是2008年金融危机,进一步强化了投资者情绪的波动,越来越多的学者关注到资本市场存在投资者非理性行为,凸显了其对实体经济影响的重要性。而且,公司的投资行为与股票的市场价格联系紧密,所以,研究投资者情绪对公司投资行为的影响,也有利于从微观层面来解释上述问题。本文主要通过五部分来论证投资者情绪对我国上市公司投资行为的影响。主要内容如下：第一部分是绪论。该部分主要包括本文选题背景,研究投资者情绪对公司投资行为影响的理论意义和现实意义,文献综述,本文的基本框架,以及本文的创新点和不足之处。第二部分是相关理论基础和假设的提出。因为投资者情绪对公司投资行为的影响涉及到心理学和金融学的相关理论,所以本部分主要是从行为金融学的角度来分析相关的理论基础。并且以相关理论分析为基础,提出本文的研究假设。第三部分是研究设计。该部分是本文的核心部分,主要包括样本的选择和数据来源、投资者情绪指代理变量动量指标的构建、变量的解释和定义。样本的选择是基于2006年到2010年沪深A股制造业的数据；投资者情绪指标选取动量指标来衡量；模型是基于前人的研究,加入自己的观点形成的。第四部分是实证检验及分析。本部分主要是对相关的假设进行检验,包括各变量的描述性统计、相关性检验、回归分析及稳健性检验等方面,在此基础上,得出检验结果,并对相应的结果进行分析和解释。第五部分是主要结论和建议。本部分在实证检验和分析的基础上,得出结论,由此,对我国上市公司的投资决策提出合理性的建议。本文通过实证研究得出的主要结论如下：(1)在管理者理性的前提下,投资者情绪与公司的投资水平显著正相关。投资者情绪对公司的投资有正向的影响,是公司投资行为的一个驱动力,管理者有迎合投资者情绪的动机,进行公司的投资决策。(2)在管理者理性的前提下,投资者情绪与投资过度正相关,与投资不足负相关。投资者情绪对公司投资效率既有“恶化效应”,又有“校正效应”,如果“恶化效应”大于“校正效应”,会导致公司投资的非效率,反之,公司的投资并不是非效率的。(3)在管理者非理性的前提下,投资者情绪与管理者乐观主义显著正相关。高涨的投资者情绪能够塑造管理者的乐观主义,而低落的投资者情绪则会塑造管理者的悲观情绪。(4)管理者乐观主义的中介效应使得投资者情绪对公司投资水平影响的敏感性增强。投资者情绪塑造的那部分管理者乐观主义对公司的投资水平的影响显著正相关,该部分的影响使得投资者情绪对公司投资水平的敏感性增强,也证明了管理者情绪的确起到了中介的效应。本文的创新之处在于：前人有关投资者情绪对公司投资行为影响的研究都是在投资者非理性而管理者理性或者单独考虑管理者非理性的基础上进行研究,把两者的非理性综合考虑的文献寥寥无几。这两种情绪并非是独立的,投资者情绪不仅可以直接影响公司的投资决策,而且可以通过塑造管理者乐观主义间接影响公司的投资决策。不论是直接影响还是间接影响对公司投资行为都是不可忽视的,所以本文将突破前人的研究,把管理者的非理性也加以考虑,研究投资者情绪对公司投资行为影响。
[Abstract]:The " rational man hypothesis " and " effective market hypothesis " are the basis of the standard finance theory . On this basis , the core theory such as trade - off theory , agency theory , signal transmission theory and capital asset pricing model are formed in the standard finance . However , the periodic financial crisis proves that the investor is not completely rational at any time .

In recent years , China ' s capital market is in a phase of rapid development , the system and so on are still to be perfected , the investors lack investment experience and the ability to analyze the information is not strong . One of the characteristics is that the investor group is irrational , which further strengthens investor mood swings , and more and more scholars pay close attention to the investor ' s irrational behavior in the capital market , which highlights the influence of investor sentiment on the investment behavior of the company , and also facilitates the interpretation of the above problems from the micro level .

This paper mainly discusses the influence of investor sentiment on the investment behavior of listed companies in China through five parts . The main contents are as follows :

The first part is introduction . This part mainly includes the background of this paper , the theoretical and practical significance of the study on the influence of investor sentiment on the investment behavior of the company , the literature review , the basic framework of this paper , and the innovation points and shortcomings of this paper .

The second part is based on the theory foundation and hypothesis , because the influence of investor ' s emotion on the investment behavior of the company involves the relevant theories of psychology and finance , so this part mainly analyzes the relevant theoretical basis from the angle of behavioral finance , and puts forward the research hypothesis based on the relevant theoretical analysis .

The third part is the research design . This part is the core part of this paper , mainly including the choice of sample and the source of data , the investor sentiment refers to the construction of the momentum index of the proxy variable , the explanation and definition of the variable . The choice of the sample is based on the data of the Shanghai - Shenzhen A - share manufacturing industry from 2006 to 2010 ;
The investor sentiment index is measured by the momentum index ;
The model is based on previous studies and is formed by joining their own views .

The fourth part is empirical test and analysis . This part is mainly to test the relevant assumptions , including descriptive statistics , correlation test , regression analysis and robustness test of each variable . On this basis , the test results are obtained , and the corresponding results are analyzed and explained .

The fifth part is the main conclusion and suggestion . Based on the empirical test and analysis , this part concludes that this part puts forward the suggestion on the rationality of the investment decision of listed companies in China .

The main conclusions of this paper are as follows : ( 1 ) Under the premise of manager ' s rationality , the investor sentiment is positively related to the company ' s investment level .

The innovation of this paper is that the research on the influence of the investor ' s emotion on the investment behavior of the company is carried out on the basis of the irrational and managerial rationality of the investor or the irrational combination of the manager . The two emotions are not independent , the investor sentiment can not only directly influence the investment decision of the company , but also can directly influence the investment decision of the company through shaping the manager ' s optimism .

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

【参考文献】