公开增发市场反应与市场环境.pdf

公开增发市场反应与市场环境 ——基于投资者情绪的研究 童盼 王旭芳 （北京工商大学商学院中国人民大学商学院） SEO Market Reaction and Market Circumstance Research Based on Investor Sentiment Tong Pan Wang Xufang (School of Business, Beijing Technology and Business University) 通讯作者：王旭芳 通信地址：北京市海淀区中关村大街31 号中国人民大学商学院 邮编：100080 电话 E-mail: wangxu126@126.com  童盼，北京工商大学商学院；王旭芳，中国人民大学商学院。通讯作者：王旭芳，邮编：100048，E-mail: wangxu126@126.com 。 1 增发市场反应与市场环境 ——基于投资者情绪的研究 摘 要 本文以我国10 年来实施公开增发的A 股上市公司为样本，考察不同市场环境下增 发市场反应的差异及其原因。研究发现， “牛市”、“盘整市”与“熊市”三种市场环境下，增发公 告的负效应依次递增。鉴于市场环境与投资者情绪之间有较强的联动性,随后，我们实证检验了 投资者情绪与增发市场反应之间的关系，结果表明，两者显著正相关，即不同市场环境下公开 增发市场反应的差异源于投资者情绪。 关键词 投资者情绪， 增发市场反应， 市场环境 SEO Market Reaction and Market Circumstances Research Based on Investor Sentiment Abstract Choosing public SEO(seasoned equity offerings) companies of Chinese A share in last 10 years as samples, this paper investigate the difference of SEO market reaction under different market circumstances and its reason. First, we find that the negative stock reaction of SEO increases in turn under three market circumstances: “bull”, “balance” and “bear”. Then we test the relationship between investor sentiment and SEO market reaction. The results show that they are significantly positive. That is, the difference of SEO market reaction under different market circumstances is caused by investor sentiment. Key Words Investor Sentiment, SEO Market Reaction, Market Circumstances 2 一、引