注意力驱动下的资产误定价——基于盈余质量视角的研究  

Attention-Driven Asset Mispricing——A Study Based on Earnings Quality

作　　者：张静[1] 吴春贤[1] Zhang Jing;Wu Chunxian(School of Economics and Management,Shihezi University,Xinjiang Shihezi 832000)

机构地区：[1]石河子大学经济与管理学院

出　　处：《金融发展研究》2019年第9期54-61,共8页Journal Of Financial Development Research

基　　金：教育部人文社会科学研究青年基金项目“投资者关注对资产误定价的影响研究:基于会计信息的视角”(17YJC790197);石河子大学高层次人才科研启动项目“投资者异质信念对企业技术创新的影响机制研究”(RCSK2018C11)

摘　　要：本文基于行为金融学和信息不对称理论,以盈余质量的视角研究投资者注意力驱动下的资产误定价的具体表现和客观根源,结果表明,注意力驱动下的投资者交易使得股价呈现高估状态;盈余质量差是投资者注意力产生的重要客观原因之一,随着盈余质量的提高,注意力驱动下的股价高估程度明显减弱。进一步研究发现,盈余质量缓解投资者注意力对股价高估正向影响的作用在信息不对称程度高的上市公司表现得更加显著。该研究结论为多学科领域交叉研究资产误定价影响因素提供必要的理论依据,同时也为相关部门从盈余质量入手制定相关政策、缓解注意力驱动下的资产误定价,提供必要的实证证据,进而充分发挥资本市场资源配置功能,提升资本市场定价效率。Based on behavioral finance and information asymmetry theory,this paper studies the specific manifestations and objective causes of asset mispricing driven by investors'attention from the perspective of earnings quality.The results show that investors'attention-driven trading makes stock prices overvalued;poor earnings quality is one of the important objective reasons for investors'attention.With the improvement of earnings quality,the degree of stock price overvaluation driven by attention will be significantly reduced.Further research finds that earnings quality has more significantly positive effect on the companies of high degree of information asymmetry.The conclusion of this study can provide necessary theoretical basis for the cross-disciplinary study of the factors affecting asset mispricing.It can also provide relevant policies and empirical evidence to the departments related.Thus,the allocating function of the capital market resources is raised and the efficiency of capital market pricing is promoted.

关 键 词：盈余质量 投资者注意力 资产误定价 

分 类 号：F830.59[经济管理—金融学]