投资者情绪与资本市场信息效率——基于股价信息含量的视角  

Investor Sentiment and Capital Market Information Efficiency from the Perspective of Stock Price Information Content

作　　者：杨菁菁 胡锦 张朕东 Yang Jingjing;Hu Jin;Zhang Zhendong(School of Finance,Guangdong University of Foreign Studies,Guangzhou,Guangdong 510006,China)

机构地区：[1]广东外语外贸大学金融学院,广东广州510006

出　　处：《河北工业大学学报（社会科学版）》2023年第3期1-13,49,共14页Journal of Hebei University of Technology：Social Sciences Edition

基　　金：国家社会科学基金项目(21BJY234)。

摘　　要：研究选取沪深300指数成分股作为样本,考察了2016—2020年东方财富股吧中发帖信息包含的投资者情绪对于股价信息含量的影响。研究发现,投资者情绪与股价信息含量呈正向关系,当分析师跟踪数量、新闻数量和研报数量越多时,投资者情绪对股价信息含量的影响越弱;另外,研究表明,机构投资者持股比例对投资者情绪与股价信息含量之间的关系不产生影响,而合格境外投资者持股会减弱投资者情绪对股价信息含量的影响程度;进一步地,研究从信息渠道和公司治理渠道两个方面对投资者情绪与股价信息含量之间的影响机制进行了分析,发现盈余管理水平越高、公司治理越弱,投资者情绪对股价信息含量的影响越显著。该研究为投资者情绪、资本市场信息效率的研究提供了理论研究和经验证据。This paper selects the constituent stocks of the CSI 300 Index as a sample,and studies the influence of investor sentiment in the post information of Oriental Fortune Stock Bar on the information content of stock prices from 2016 to 2020.The study has found that investor sentiment is positively related to the information content of stock prices.When the amount of tracking analysts,media news and research reports is larger,the impact of investor sentiment on the information content of stock prices is weaker.In addition,we have found that the shareholding ratio of institutional investors has no effect on the relationship between investor sentiment and stock price information content,while the shareholding of qualified foreign investors will weaken the influence of investor sentiment on the stock price information content.Further,the article analyzes the influence mechanism between investor sentiment and stock price information content from two aspects:information channel and corporate governance channel.The study has found that the higher the level of earnings management and the weaker the corporate governance,the stronger the impact of investor sentiment on the information content of stock prices will be.This study provides theoretical research and empirical evidence for the study of investor sentiment and capital market pricing efficiency.

关 键 词：投资者情绪 股价信息含量 信息数量 合格境外机构投资者 公司治理 盈余管理 

分 类 号：F830.91[经济管理—金融学]