产权性质、投资者关注与股价崩盘风险  

Nature of Property Right,Investor Attention and Stock Price Crash Risk

作　　者：郭芳婷 黄创霞 陈宪[1] 文凤华[1] 

机构地区：[1]中南大学商学院,湖南长沙410083 [2]长沙理工大学数学与统计学院,湖南长沙410004

出　　处：《经济数学》2017年第4期97-105,共9页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(71471020);湖南省自科基金资助项目(2016JJ1001);湖南省教育厅重点资助项目(15A003)

摘　　要：以投资者对上市公司的差异关注度作为切入点,研究投资者关注对股价崩盘风险的影响,并进一步考察公司产权性质对两者之间关系的影响.研究发现:随着投资者关注度的提高,上市公司股价崩盘风险显著降低;相比国有上市公司,投资者关注对股价崩盘风险的降低作用在民营上市公司中更加明显.本文深化了股价崩盘风险影响因素的研究,不仅有助于认识投资者关注对资本市场的影响,而且对防范股价崩盘风险和促进股市平稳有序发展都具有参考意义.Based on investor＇s different attention on listed firms, we investigated the effect of investor attention on firm- specific stock price crash risk in China, and further explored how nature of property right of listed firms affected this relation. We have discovered that, with the increase of investor attention, the risk of the crash of the stock price will decrease. And compared with state-owned listed firms, investor attention on reducing stock price crash risk is more pronounced in private lis- ted firms. This paper has deepened the study on the influencing factors of the stock price crash risk, which is not only helpful to recognize the impact of investor attention on capital markets, but also has important implications for preventing the risk of the crash of the stock price and promoting well organized development of the stock market in China.

关 键 词：投资者关注 股价崩盘风险 OLS回归 产权性质 

分 类 号：F832.5[经济管理—金融学]