机构持股、投资者情绪与应计异象  

Institutional Ownership,Investor Sentiment and Accrual Anomaly

作　　者：鹿坪[1] 姚海鑫[1] Lu Ping Yao Haixin(School of Business, Liaoning University, Shenyang 110136)

机构地区：[1]辽宁大学商学院,沈阳110136

出　　处：《管理评论》2016年第11期3-15,共13页Management Review

基　　金：国家社会科学基金项目(15BGL077);国家自然科学基金青年项目(71602082)

摘　　要：以2007-2011年期间我国上市公司为研究样本,依据行为金融理论实证检验了投资者情绪对应计异象的影响。结果表明,在情绪高涨(低迷)期,会计应计错误定价的程度更高(低)。进一步研究表明,机构投资者整体持股对投资者情绪与应计异象之间关系的影响在不同窗口期存在差异,在短期内增强了投资者情绪对应计异象的正向影响,但在长期则减轻了投资者情绪对应计异象的正向影响。不同类型机构投资者持股对投资者情绪与应计异象之间关系的影响存在差异。Taking the listed companies in China from 2007 to 2011 as a sample,this paper examines the influences of investor sentiment on the accrual anomaly using the behavioral finance theory. Results indicate that the magnitude of mispricing of the accruals is relatively high（ low） during periods of high（ low） sentiment. Further research shows that the impacts of institutional overall ownership on the relationship between investor sentiment and the accrual anomaly differ at different time windows,institutional overall ownership strengthens the positive impacts of investor sentiment on the accrual anomaly in the short run,but alleviates the positive impacts of investor sentiment on the accrual anomaly in the long run. Different kind of institutional ownership has different impact on the relationship between investor sentiment and the accrual anomaly.

关 键 词：应计异象 投资者情绪 机构持股 定价效率 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]