个人投资者情绪与权益资本成本——基于行为金融视角的分析  

Individual Investor Sentiment and Cost of Equity Capital--Analysis based on Behavioral Finance Perspective

作　　者：魏卉[1] 陈勇吉 姜妍甫 Wei hui;Chen Yongji;Jiang Yanfu(School of Economics and Management,Shihezi University,Shihezi 832000,China;School of Economics,Shandong University,Jinan 250000,China)

机构地区：[1]石河子大学经济与管理学院,新疆石河子832000 [2]山东大学经济学院,山东济南250000

出　　处：《新疆农垦经济》2024年第10期81-92,共12页Xinjiang State Farms Economy

基　　金：国家自然科学基金项目(项目编号:71862029);石河子大学自主资助科研项目(项目编号:ZZZC202045A)。

摘　　要：文章基于行为金融视角,以沪深A股上市公司为研究样本,实证探究了个人投资者情绪与权益资本成本之间的关系、具体机制路径以及会计信息透明度和机构持股比例对个人投资者情绪与权益资本成本间关系产生的异质性影响。实证结果发现,个人投资者高涨情绪能够显著降低权益资本成本;进一步研究发现,股票流动性是个人投资者情绪影响权益资本成本的机制路径,且个人投资者高涨情绪对权益资本成本的降低效应在未来期间会出现反转;异质性检验发现,高持股比例的机构投资者和较高的会计信息透明度能帮助个人投资者建立投资信心,强化个人投资者高涨情绪与权益资本成本间的负相关关系,同时也能作为“定心丸”弱化个人投资者高涨情绪对未来期间权益资本成本的负面影响。研究结论拓展了个人投资者情绪经济后果以及权益资本成本影响因素的相关研究,为证监会相关部门、企业和大型金融服务机构合理引导个人投资者情绪以保障股市正常运行提供了现实启示。Based on the perspective of behavioral finance,taking listed companies in Shanghai and Shenzhen A-shares as research samples,this paper empirically explores the relationship between individual investor sentiment and the cost of equity capital,the specific mechanism path,and the heterogeneous impact of accounting information transparency and institutional shareholding ratio on the relationship between individual investor sentiment and the cost of equity capital.The empirical results are as follows.First,the high sentiment of individual investors can significantly reduce the cost of equity capital;further research finds that stock liquidi⁃ty is the mechanism path that individual investor sentiment affects the cost of equity capital,and the reduction effect of individual investor’s high sentiment on the cost of equity capital will reverse in the future.Second,the heterogeneity test found that institu⁃tional investors with high shareholding ratio and higher accounting information transparency can help individual investors build in⁃vestment confidence,strengthen the negative correlation between individual investors’high sentiment and the cost of equity capi⁃tal,and can also serve as a“reassuring pill”to weaken the negative impact of individual investors’high sentiment on the cost of eq⁃uity capital in the future.The findings of this paper have expanded the research on the economic consequences of individual inves⁃tors’emotions and the factors affecting the cost of equity capital,and provided a realistic indication for the relevant departments of the CSRC,enterprises and large financial service institutions to reasonably guide individual investors’emotions to ensure the nor⁃mal operation of the stock market.

关 键 词：个人投资者情绪 权益资本成本 行为金融 

分 类 号：F832.51[经济管理—金融学]