本文關(guān)鍵詞： 上市公司并購(gòu) 異常收益率 投資者偏好 金融異象　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：行為金融研究作為近年來(lái)金融學(xué)研究中的一個(gè)極為重要且受到越來(lái)越多學(xué)者廣泛關(guān)注的領(lǐng)域,其突破純理想化的理性行為人假設(shè),通過(guò)對(duì)人的信念、偏好及情緒的觀察、描繪與測(cè)度,探知認(rèn)知心理與社會(huì)心理如何影響人的信念與選擇偏好,進(jìn)而影響其經(jīng)濟(jì)金融行為決策與相關(guān)的資產(chǎn)價(jià)格。其中,投資者心態(tài)的分析以及有限套利作為行為金融學(xué)的兩大理論基礎(chǔ),可以較為詳細(xì)的分析證券價(jià)格和具體收益的變化情況。對(duì)于我國(guó)證券市場(chǎng)而言,由于發(fā)展時(shí)間較短,投資者對(duì)于市場(chǎng)的認(rèn)識(shí)較為不理性與不穩(wěn)定。這樣的市場(chǎng)現(xiàn)狀,一方面為我國(guó)的行為金融研究提供了良好的實(shí)驗(yàn)場(chǎng),另一方面,也使得行為金融研究在今天的市場(chǎng)環(huán)境下更具現(xiàn)實(shí)意義。通過(guò)對(duì)市場(chǎng)心理與行為的研究,一方面讓我們作為個(gè)體而言對(duì)于市場(chǎng)整體決策以及反應(yīng)脈絡(luò)有了更為清晰的了解與把握,有助于深化對(duì)市場(chǎng)的了解與認(rèn)識(shí)；另一方面,對(duì)于偏好及認(rèn)知偏差的研究亦能為個(gè)體投資提供信息,厘清自身決策脈絡(luò),幫助其認(rèn)識(shí)在投資決策中可能存在的、未認(rèn)識(shí)到的非理性行為,通過(guò)自省有意識(shí)的提高對(duì)于自我的認(rèn)識(shí)與控制,從而達(dá)到投資者教育的目的,進(jìn)一步促進(jìn)市場(chǎng)機(jī)制的完善,提高市場(chǎng)有效性。 本文通過(guò)對(duì)部分投資者行為的觀察,發(fā)現(xiàn)資本市場(chǎng)中似乎存在著一種“專業(yè)化寵愛(ài)”的偏好,即持“專業(yè)化”經(jīng)營(yíng)戰(zhàn)略的公司在市場(chǎng)中備受推祟,而持“多元化”經(jīng)營(yíng)戰(zhàn)略的公司則可能僅僅由于其多元化屬性而被市場(chǎng)排斥甚至“用腳投票”。這樣一種決策似乎在很多投資者看來(lái)是完全理性且理所當(dāng)然的。然而,作者通過(guò)對(duì)國(guó)內(nèi)外學(xué)界對(duì)于多元化經(jīng)營(yíng)戰(zhàn)略與公司價(jià)值間關(guān)系的研究綜述以及對(duì)于所選樣本公司資產(chǎn)收益績(jī)效的檢驗(yàn),認(rèn)為對(duì)于理性的投資者而言,其在企業(yè)進(jìn)行多元化經(jīng)營(yíng)戰(zhàn)略與專業(yè)化經(jīng)營(yíng)戰(zhàn)略間,應(yīng)持無(wú)差異的態(tài)度,不應(yīng)存在較強(qiáng)的偏好。 為了驗(yàn)證作者的觀察結(jié)果是否確實(shí)存在于廣泛的市場(chǎng)行為中,本文首先對(duì)我國(guó)A股市場(chǎng)的買方股權(quán)并購(gòu)事件,采用事件研究的方法,從不同的角度選樣,比對(duì)“多元化經(jīng)營(yíng)戰(zhàn)略樣本—非多元化經(jīng)營(yíng)戰(zhàn)略樣本”以及“專業(yè)化經(jīng)營(yíng)戰(zhàn)略樣本—非典型戰(zhàn)略樣本”,對(duì)市場(chǎng)中的“多元化厭惡”情緒以及“專業(yè)化寵愛(ài)”情緒進(jìn)行了存在性的測(cè)度。結(jié)果表明,在[-4,14]短期事件窗內(nèi),多元化經(jīng)營(yíng)戰(zhàn)略樣本組平均累計(jì)異常收益率與非多元化經(jīng)營(yíng)戰(zhàn)略樣本組平均累計(jì)異常收益率的差異顯著為負(fù),顯示市場(chǎng)中投資者“多元化厭惡”情緒在短期內(nèi)顯著存在。在[-4,18]短期事件窗內(nèi),專業(yè)化經(jīng)營(yíng)戰(zhàn)略樣本組平均累計(jì)異常收益率與非典型戰(zhàn)略樣本組平均累計(jì)異常收益率差異為正,部分天數(shù)顯著,但顯著天數(shù)不持續(xù)。該結(jié)果顯示短期內(nèi)市場(chǎng)中投資者的“專業(yè)化寵愛(ài)”情緒在一定程度上存在,但“專業(yè)化寵愛(ài)”情緒較“多元化厭惡”情緒而言較弱且不穩(wěn)定。從兩組對(duì)比樣本所得實(shí)證結(jié)果可以看到,對(duì)于不同行業(yè)經(jīng)營(yíng)戰(zhàn)略公司的買方股權(quán)并購(gòu)事件的市場(chǎng)反應(yīng),均存在4天的提前反應(yīng),信息沖擊在公告日后15天左右衰減,在不同的樣本中信息具有穩(wěn)健的反應(yīng)。因此,綜合以上兩組不同行業(yè)經(jīng)營(yíng)戰(zhàn)略對(duì)比樣本所得到的實(shí)證結(jié)果表明,在我國(guó)A股市場(chǎng)中,的確存在著一定“多元化厭惡”及“專業(yè)化寵愛(ài)”情緒。 基于在我國(guó)A股市場(chǎng)中存在“多元化厭惡”情緒及“專業(yè)化寵愛(ài)”情緒的實(shí)證結(jié)果,本文嘗試從文化、習(xí)慣的角度,就文化習(xí)慣對(duì)于人們信念、偏好以及認(rèn)知的影響,從直覺(jué)的形成和偏見(jiàn)的形成兩個(gè)方面,嘗試著對(duì)“多元化厭惡”及“專業(yè)化寵愛(ài)”情緒可能的成因進(jìn)行了分析。本文認(rèn)為,在文化中所存在的“專一”情節(jié)可能帶來(lái)“專業(yè)化寵愛(ài)”或“多元化厭惡”情緒。具體來(lái)說(shuō),一方面,“專一”情節(jié)所帶來(lái)的道德判斷標(biāo)準(zhǔn)及文化傳統(tǒng)可能通過(guò)促使人們形成某種可得性直覺(jué)而使其簡(jiǎn)化判斷決策過(guò)程,進(jìn)而產(chǎn)生一種類似“沖動(dòng)”的直覺(jué),該直覺(jué)影響其行為,形成“專業(yè)化寵愛(ài)”情緒。另一方面,“專一”情節(jié)所帶來(lái)的道德判斷標(biāo)準(zhǔn)及文化傳統(tǒng)可能形成一定程度的刻板印象,從而導(dǎo)致“多元化厭惡”偏見(jiàn)的產(chǎn)生。由于在人們認(rèn)知形成中存在負(fù)性效應(yīng),人們更容易固化厭惡的情緒,使其成為刻板印象,這也在一定程度上解釋了在實(shí)證中我們所發(fā)現(xiàn)的“多元化厭惡”情緒較“專業(yè)化寵愛(ài)”情緒更為顯著和穩(wěn)定的結(jié)果。 本文的創(chuàng)新主要體現(xiàn)在以下幾點(diǎn)： 第一、本文在對(duì)資本市場(chǎng)中投資者行為觀察的基礎(chǔ)上,通過(guò)事件研究法采用并購(gòu)事件驗(yàn)證了我國(guó)A股市場(chǎng)中“多元化厭惡”及“專業(yè)化寵愛(ài)”情緒的存在性,對(duì)于我國(guó)資本市場(chǎng)投資者偏好進(jìn)行了新的發(fā)現(xiàn)與探索。 第二、本文從認(rèn)知形成的心理學(xué)角度,對(duì)所發(fā)現(xiàn)的“多元化厭惡”情緒及“專業(yè)化寵愛(ài)”情緒的心理成因,從直覺(jué)的形成與偏好的形成以及對(duì)其產(chǎn)生影響的心理效應(yīng)的方面,進(jìn)行了嘗試性的解釋。雖然解釋得可能并不完整及成熟,但筆者相信,這一嘗試為我們更為全面的理解市場(chǎng)中投資者所存在的“多元化厭惡”情緒及“專業(yè)化寵愛(ài)”情緒進(jìn)行了新的探索與嘗試。與此同時(shí),上述工作也為類似的由文化習(xí)慣所引起的認(rèn)知偏差帶來(lái)的資產(chǎn)價(jià)格異象的研究與解釋工作進(jìn)行了一定的嘗試與推進(jìn)。 第三,在研究方法上,本文采用了在控制行業(yè)、規(guī)模、年份的情況下,對(duì)不同行業(yè)經(jīng)營(yíng)戰(zhàn)略樣本公司的一一配對(duì),而后通過(guò)事件研究法,對(duì)其平均累計(jì)異常收益率的差異進(jìn)行分析。該種方法較過(guò)去文獻(xiàn)所采用的通過(guò)排序所進(jìn)行的不同行業(yè)經(jīng)營(yíng)樣本比對(duì)而言效果更為精確有效。
[Abstract]:On the one hand , the research on market psychology and behavior makes us a better understanding and control of the market . On the other hand , the research on preference and cognitive bias can provide better understanding and control for the market . On the other hand , the research on preference and cognitive bias can provide information for individual investment . Based on the observation of some investors ' behavior , it is found that there appears to be a kind of " professional pet " in the capital market , that is , the company that holds the " specialization " strategy has been pushed by the market in the market . In order to verify whether the author ' s observation results exist in a wide range of market behaviors , this paper first analyzes the buyer ' s equity M & A in China ' s A - share market . The results show that in the short - term event window , the average cumulative abnormal rate of return and non - typical strategic sample set are positive and partial days are significant . The results show that in the short - term market , the average cumulative abnormal rate of return and non - typical strategic sample group are weak and unstable . The results show that the " diversification aversion " and " professional pet " emotion exist in China ' s A - share market . Based on the empirical results of " diversification aversion " and " professional pet love " in our A - share market , this paper tries to analyze the possible causes of " diversification aversion " and " professional pet love " from the perspective of culture and habits . In particular , the moral judgment standard and cultural tradition brought about by the plot may lead to the formation of " professional pet " or " diversification aversion " . The innovation of this paper is mainly embodied in the following points : First , on the basis of observing the investors ' behavior in the capital market , this article uses the incident research method to verify the existence of " diversification aversion " and " professional pet " emotion in our A - share market , and makes a new discovery and exploration for the investor preference of capital market in China . Second , from the perspective of cognitive development , this paper makes a tentative explanation on the psychological reasons of " diversification aversion " emotion and " professional pet " emotion , which is based on the formation of intuition and the formation of preference and the psychological effect on it . At the same time , the author believes that this attempt has made a certain attempt and advance for the research and interpretation of the " diversification aversion " and " professional pet love " which the investors in the market have caused by cultural habits . Third , in the research method , the paper adopts the one - to - one pairing of the business strategy sample companies in different industries in the case of controlling the industry , the scale and the year , and then analyzes the difference of the average accumulative abnormal rate of return on the basis of the event research method .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F271;F224

【參考文獻(xiàn)】

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本文編號(hào)：1444675