投资者收益外推行为与股票错误定价  

Extrapolation of Investors′Returns and Mispricing of Stocks

作　　者：唐良玲 高艺嘉 何朝林[1] TANG Liangling;GAO Yijia;HE Chaolin(School of Economics and Management,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学经济与管理学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2024年第3期76-85,共10页Journal of Anhui Polytechnic University

基　　金：国家自然科学基金面上项目(72271003,71873002)。

摘　　要：以2000-2021年沪深A股上市公司股票数据为样本,研究投资者收益外推行为与股票错误定价的关系,进一步探讨投资者不同程度的收益外推行为对股票错误定价影响的差异性及经济状态的调节效应。研究发现,投资者收益外推行为助推了股票错误定价;投资者外推收益率的赋权越大,对股票错误定价的影响也越强;经济状态对投资者收益外推行为与股票错误定价的关系有调节作用,特别是在经济上行期时,经济状态推动了投资者收益外推行为,导致股票高估程度更大,而又变相缓解了股票价值的低估程度。研究不但丰富了资产定价理论,而且为金融市场稳定发展提供了经验证据。This paper studies the relationship between extrapolation of investors′returns and the degree of stock mispricing.Based on the stock data of A-share listed companies in Shanghai and Shenzhen from 2000 to 2021,this paper studies the influence of investors′returns extrapolation behavior on stock mispricing,and analyzes the law of the influence of investors′returns extrapolation behavior on stock mispricing under different empowerment,and discusses the influence of economic state on the relationship between investors′returns extrapolation behavior and stock mispricing.The results show that:The behavior of investors′return extrapolation promotes the mispricing of stocks;The greater the weight of investors′extrapolated rate of return,the stronger the influence on stock mispricing;The economic state moderates the relationship between investors′returns extrapolation behavior and stock mispricing,especially during the economic upswing,and also promotes investors′returns extrapolation behavior,leading to a greater degree of overvaluation of stocks,and alleviating the degree of underestimation of stock value.The research not only enriches the pricing theory,but also provides empirical evidence for the stable development of financial markets.

关 键 词：投资者收益外推行为 外推收益率 股票错误定价 经济状态 

分 类 号：F830.91[经济管理—金融学]