产权异质性、投资者情绪与管理者投资行为
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摘要
传统投资行为研究是以"理性经济人"假说为前提的,但是在市场环境下,自然人拥有不同的价值观和情感,因而投资决策过程存在诸多不完全理性。本文考虑了中国制度环境,将投资者非理性与企业管理者的非理性纳入同一研究架构,并引入产权因素,采用面板固定效应估计法对2011—2018年1 272家上市公司进行实证研究,讨论投资者情绪是否有塑造管理者乐观的能力,并以管理者过度乐观为中介变量探讨投资者情绪如何影响企业的投资决策行为。
The traditional finance is based on the hypothesis of "rational economic man",assuming that the stock price is an accurate reflection of the intrinsic value of the enterprise.However,in the social environment,as the natural person is bound to have values and emotions,their investment decisions will not be completely rational.This paper considers the institutional environment of China and the different nature of the ownership of Chinese listed companies to research the relationship of investor sentiment and managerial investment behavior. Then,it takes the irrational investors and irrational managers into the consideration,and analyses 1272 listed companies from 2011 to2018 by using the fixed effect estimation of panel data.It also discusses whether investor sentiment has the ability to shape managerial over-optimism which is set as a mediator to investigate how investor sentiment influence the investment decision-making.
The traditional finance is based on the hypothesis of "rational economic man",assuming that the stock price is an accurate reflection of the intrinsic value of the enterprise.However,in the social environment,as the natural person is bound to have values and emotions,their investment decisions will not be completely rational.This paper considers the institutional environment of China and the different nature of the ownership of Chinese listed companies to research the relationship of investor sentiment and managerial investment behavior. Then,it takes the irrational investors and irrational managers into the consideration,and analyses 1272 listed companies from 2011 to2018 by using the fixed effect estimation of panel data.It also discusses whether investor sentiment has the ability to shape managerial over-optimism which is set as a mediator to investigate how investor sentiment influence the investment decision-making.
引文
[1]BROWN G W,CLIFF M T.Investor Sentiment and the near-term stock Market[J].Journal of Empirical Finance,2004,11(1):1-27.
[2]BAKER M,STEIN C,WURGLER J.When does the market matter? Stock prices and the investment of equity-dependent firms[J].Quarterly Journal ofEconomics,2003,118(8):969-1006.
[3]STEIN J C.Rational Capital Budgeting in an irrational world[J].Journal of Business,1996,69(4):429-455.
[4]SHEFRIN H.How the disposition effect and momentum impact investment professionals[J].Journal of Investment Consulting,2007,8(2):68-79.
[5]POLK C,SAPIENZA P.The stock market and corporate investment:a test of catering theory[J].The Review of Financial Studies,2009,22(1):187-217.
[6]花贵如,刘志远,许赛.投资者情绪、企业投资行为与资源配置效率[J].会计研究,2010(11):49-55,97.
[7]谢竹云,茅宁,许良虎.证券市场投资者情绪研究[J].软科学,2009(9):120-123.
[8]张戈,王美今.投资者情绪与中国上市公司实际投资[J].南方经济,2007(3):3-14.
[9]吴世农,汪强.迎合投资者情绪?过度保守?还是两者并存———关于公司投资行为的实证研究[J].公司治理评论,2009(1):185-204.
[10]郝颖,刘星.股权融资依赖与企业投资行为———基于行为公司财务视角[J].经济与管理研究,2009(5):32-40.
[11]CHAU F,DEESOMSAK R,LAU M C K,et al. Investor sentiment and feedback trading:evidence from the exchange-traded fund markets[J].International Review of Financial Analysis,2011,20(5):292-305.
[12]CORREDOR P,FERRER E,SANTAMARIA R.Investor sentiment effect in stock markets:stock characteristics or country-specific factors?[J].International Review of Economics&Finance,2013,27(6):572-591.
[13]ANTONIOU C,DOUKAS J A,SUBRAHMANYAM A. Cognitive dissonance,sentiment,and momentum[J]. Journal of Financial and QuantitativeAnalysis,2013,48(1):245-275.
[14]谢军,杨春鹏.投资者情绪影响下资本资产定价的区制性[J].系统工程,2015(1):24-30.
[15]JEGADEESH N,TITMAN S.Returns to buying winners and selling losers:implications for stock market efficiency[J].The Journal of Finance,1993,48(1):65-91.
[16]BARBERIS N,SHLEIFER A,VISHNY R.A model of investor sentiment[J].Journal of Financial Economies,1998,49(3):307-343.
[17]MALMENDIER U,TATE G.CEO overconfidence and corporate investment[J].The Journal of Finance,2005,60(6):2661-2700.
[18]叶蓓,袁建国.经理人过度自信、不对称信息与企业投资决策[J].财会月刊,2008(32):6-9.
[2]BAKER M,STEIN C,WURGLER J.When does the market matter? Stock prices and the investment of equity-dependent firms[J].Quarterly Journal ofEconomics,2003,118(8):969-1006.
[3]STEIN J C.Rational Capital Budgeting in an irrational world[J].Journal of Business,1996,69(4):429-455.
[4]SHEFRIN H.How the disposition effect and momentum impact investment professionals[J].Journal of Investment Consulting,2007,8(2):68-79.
[5]POLK C,SAPIENZA P.The stock market and corporate investment:a test of catering theory[J].The Review of Financial Studies,2009,22(1):187-217.
[6]花贵如,刘志远,许赛.投资者情绪、企业投资行为与资源配置效率[J].会计研究,2010(11):49-55,97.
[7]谢竹云,茅宁,许良虎.证券市场投资者情绪研究[J].软科学,2009(9):120-123.
[8]张戈,王美今.投资者情绪与中国上市公司实际投资[J].南方经济,2007(3):3-14.
[9]吴世农,汪强.迎合投资者情绪?过度保守?还是两者并存———关于公司投资行为的实证研究[J].公司治理评论,2009(1):185-204.
[10]郝颖,刘星.股权融资依赖与企业投资行为———基于行为公司财务视角[J].经济与管理研究,2009(5):32-40.
[11]CHAU F,DEESOMSAK R,LAU M C K,et al. Investor sentiment and feedback trading:evidence from the exchange-traded fund markets[J].International Review of Financial Analysis,2011,20(5):292-305.
[12]CORREDOR P,FERRER E,SANTAMARIA R.Investor sentiment effect in stock markets:stock characteristics or country-specific factors?[J].International Review of Economics&Finance,2013,27(6):572-591.
[13]ANTONIOU C,DOUKAS J A,SUBRAHMANYAM A. Cognitive dissonance,sentiment,and momentum[J]. Journal of Financial and QuantitativeAnalysis,2013,48(1):245-275.
[14]谢军,杨春鹏.投资者情绪影响下资本资产定价的区制性[J].系统工程,2015(1):24-30.
[15]JEGADEESH N,TITMAN S.Returns to buying winners and selling losers:implications for stock market efficiency[J].The Journal of Finance,1993,48(1):65-91.
[16]BARBERIS N,SHLEIFER A,VISHNY R.A model of investor sentiment[J].Journal of Financial Economies,1998,49(3):307-343.
[17]MALMENDIER U,TATE G.CEO overconfidence and corporate investment[J].The Journal of Finance,2005,60(6):2661-2700.
[18]叶蓓,袁建国.经理人过度自信、不对称信息与企业投资决策[J].财会月刊,2008(32):6-9.