投资者情绪与盈余错误定价——来自中国证券市场的经验证据  

Investor Sentiment and Mispricing of Corporate Earnings ——Evidence from Chinese Securities Markets

作　　者：鹿坪[1] 姚海鑫[1] 

机构地区：[1]辽宁大学商学院,辽宁沈阳110136

出　　处：《金融经济学研究》2014年第3期98-106,共9页Financial Economics Research

基　　金：辽宁省教育厅科学研究项目(W2012002);辽宁省社会科学规划基金项目(L13DGL049)

摘　　要：通过构建反映中国资本市场投资者心理偏差的情绪指数,以2003～2012年期间中国上市公司盈余公告作为研究样本,检验投资者情绪对盈余公告市场反应的影响。研究发现,股价对利好（利空）盈余消息的反应在情绪高涨（低迷）时期比情绪低迷（高涨）时期高。进一步研究显示,投资者情绪与股票未来回报之间负相关,在短期内由于投资者情绪导致的对未预期盈余的错误定价在长期将会倒转。研究结果表明投资者情绪通过对盈余的错误估值导致对股票的错误定价,揭示出股票错误定价的重要机制。Through constructing the investors＇ sentiment index,reflecting the Chinese capital markets,this paper analyzes the effect of investor sentiment on the markets response to earnings news,taking the earnings announcements of the listed companies in China from 2003 to 2012 as a sample. The results indicate that the response of stock price to good（ bad） earnings news is higher during high（ low） sentiment periods than during periods of low（ high） sentiment. Furthermore,the mispricing of earnings surprises due to investor sentiment during the short run is reversed in the longer period,and contributes to the negative relation between sentiment and future returns. It is demonstrated that sentiment- driven earnings misvaluation leads to mispricing of stocks,revealing an important mechanism of stock mispricing.

关 键 词：投资者情绪 盈余定价 盈余公告 盈余公告后股价漂移 反转效应 

分 类 号：F830.91[经济管理—金融学]