盈余管理、投资者情绪与股价同涨同跌解析.PDFVIP

盈余管理、投资者情绪与股价 “同涨同跌” 夏芳 （广东金融学院，广东广州 510521） 摘要：上市公司的盈余管理和投资者情绪是否影响了股价的“同涨同跌”（股价 同步性），证券市场信息效率是否因此受到了影响？本文采用2002～2010年中国 股市和上市公司样本，用R2 度量股价同步性，检验在不同市场不确定性下盈余 管理和投资者情绪对股价同步性的影响。研究发现：管理者盈余管理使得股价同 步性降低，而投资者情绪波动使得股价同步性上升；但是，两者均导致股票收益 的“惯性”或“反 ”效应增强，即市场信息效率下降。因此，本文认为不能简 单地以股价同步性的高低来衡量股价的信息效率，需结合影响股价同步性的信息 不对称和心理因素进行新的解释。 关键词：股价同步性； 盈余管理；投资者情绪；市场不确定性 Earnings Management, Investor Sentiment and Stock Price Comovement --the Analysis at different market uncertainty conditions Abstract: Do Earnings management of listed companies and investor sentiment affect the stock price synchronicity? Will the information efficiency of the securities market be thereby affected? Using R2 from asset pricing regression as measure of stock price synchronicity, based on 2002-2010 samples of listed firms and data of stock market in China, the paper examines that the impacts of earnings management and investor sentiment on stock price synchronicity at different market uncertainty conditions. The finding indicates that earnings management lower stock price synchronicity and fluctuations in investor sentiment makes stock price synchronicity rise, however, both of them enhance momentum or reversal effect, which means declining of the information efficiency of market. Therefore, this suggests that stock price synchronicity can not be simply to measure information efficiency of stock market, and a 基金项目：广东省教育厅广东高校优秀青年创新人才培育项目《公司不确定性特征与股价同步性 在异 质信念和卖空限制框架下的研究》 编号：WYM10017） 1 new interpretation based on asymmetric information and psychological factors is needed. Keywords: Stock price synchronicity; Earnings Management ; Investor Sentiment ; Market Uncertainty. 作者简介：夏芳，广东金融学院讲师，暨南大学管理学院会计系博士生，研究方 向：行为财务与资产定价。 中图分类号：F830.9 文献标识码：A 引言 公司个体并非孤立存在，而是处于层层嵌套的环境中