投资者情绪、异质预期与定向增发公告效应  

Investor Sentiment,Heterogeneous Expectation and the Announcement Effect of Private Placement

作　　者：俞军[1] 魏朱宝[1] 杨春清 

机构地区：[1]合肥学院管理系,安徽合肥230601

出　　处：《广东财经大学学报》2016年第3期82-92,共11页Journal of Guangdong University of Finance & Economics

基　　金：安徽省软科学项目(1502052054);安徽省哲学社会科学规划项目(AHSKQ2014057);安徽省优秀青年人才支持重点项目(gxyqZD2016266);合肥学院人文社会科学重点项目(14KY08ZD)

摘　　要：以沪深两市定向增发新股为研究对象,通过构建投资者情绪综合指数、证券分析师预测偏差程度作为情绪与异质预期的代理变量,实证检验了投资者情绪高低和异质预期差异大小与定向增发新股长短期公告效应之间的关系。研究发现,在投资者情绪与异质预期作用下,投资者在上市公司定向增发题材宣告后普遍能获得正的短期累计超额收益和负的中长期购买持有超额收益;在短期内投资者情绪低落情况下的定向增发公告效应低于投资者情绪高涨情况下的公告效应,在中长期内则相反;当投资者情绪与异质预期两者交互叠加作用时长短期公告效应变化更为强烈。从定向增发模式来考察,整体上市的公告效应更加显著。This paper examines the significant impact between the investor characteristics and the cumula-tive abnormal return （short-term） and the buy-and-hold abnormal return （long-term） of shareholders afterthe private placement announcement on the view of investor sentiment and heterogeneous expectation by theevent time method. The results show that： There is a generally positive short-term and negative long-term an-nouncement effect after the private placement announcement by the rendering effect of investor sentiment.The shareholder wealth of private placement in depressed investor sentiment is less than that in upswing in-vestor sentiment in the short-term; If the degree of heterogeneous belief deviation is large, investors can ob-tain a positive shareholder wealth in the short term and may get a negative shareholder wealth in the mediumterm and long term when the listed companies announce private placement refinance; Investors can obtain ahigher positive shareholder wealth in the short term and may get a lower negative shareholder wealth in themedium term and long term under the joint action by investor sentiment and heterogeneous belief after theprivate placement announcement.

关 键 词：定向增发 股东财富 投资者情绪 异质预期 公告效应 股票价格 

分 类 号：F832.51[经济管理—金融学] F275