本文關(guān)鍵詞：盈余平滑、投資者異質(zhì)信念與資產(chǎn)誤定價(jià)——基于我國(guó)滬深兩市2000-2012年數(shù)據(jù)的分析　出處：《商業(yè)研究》2017年09期 　論文類型：期刊論文

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【摘要】：我國(guó)證券市場(chǎng)長(zhǎng)期存在股票價(jià)格偏離其內(nèi)在價(jià)值而被錯(cuò)誤定價(jià)的"異象",導(dǎo)致證券市場(chǎng)資源配置功能得不到充分發(fā)揮。基于行為金融理論及信息不對(duì)稱理論,本文分析盈余平滑、投資者異質(zhì)信念與資產(chǎn)誤定價(jià)的關(guān)系,剖析資產(chǎn)誤定價(jià)的產(chǎn)生機(jī)理。結(jié)果表明,投資者異質(zhì)信念對(duì)資產(chǎn)誤定價(jià)產(chǎn)生正向影響,盈余平滑能夠緩解投資者異質(zhì)信念對(duì)資產(chǎn)誤定價(jià)產(chǎn)生的正向影響;相比融資融券交易制度實(shí)施前,我國(guó)證券市場(chǎng)投資者異質(zhì)信念對(duì)股價(jià)高估的正向影響顯著增強(qiáng),盈余平滑對(duì)異質(zhì)信念與股價(jià)高估之間的負(fù)向調(diào)節(jié)作用顯著存在于融資融券交易制度實(shí)施之后,這說(shuō)明我國(guó)推出融資融券對(duì)提高股票定價(jià)效率的作用并不明顯。因此,應(yīng)客觀公允地認(rèn)識(shí)評(píng)價(jià)盈余平滑行為對(duì)降低資產(chǎn)誤定價(jià)的積極作用,但也須對(duì)其加強(qiáng)管理,防止其過(guò)度運(yùn)用而形成盈余操縱。
[Abstract]:There is a long-term stock price deviate from its intrinsic value is the mispricing of the "vision" of China's securities market, leading to the resource allocation function of securities market are not fully realized. The behavioral finance theory and information asymmetry theory based on the analysis of earnings smoothing, investors heterogeneous beliefs and the relationship between asset mispricing, asset pricing analysis error generation the mechanism. The results show that investors' heterogeneous beliefs has a positive impact on asset mispricing, earnings smoothing can alleviate the positive impact on investors' heterogeneous beliefs asset mispricing generated; compared margin trading system before the implementation of China's securities market investors heterogeneous beliefs positive impact on overvalued prices increased significantly, earnings smoothing on between heterogeneous beliefs and overvalued negatively moderates the effect exists in the implementation of the margin trading system, it shows that China launched margin of The role of high stock pricing efficiency is not obvious. Therefore, we should objectively and fairly recognize the positive role of earnings smoothing behavior in reducing asset mispricing, but we must strengthen management to prevent excessive use and form earnings manipulation.

【作者單位】： 石河子大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目“基于行為金融與信息不對(duì)稱視角的資產(chǎn)誤定價(jià)研究”,項(xiàng)目編號(hào):71562029 新疆普通高校人文社會(huì)科學(xué)重點(diǎn)研究基地項(xiàng)目“資產(chǎn)誤定價(jià)對(duì)投資效率的影響研究”,項(xiàng)目編號(hào):XJEDU020115C02 石河子大學(xué)人文社會(huì)科學(xué)中青年科研人才培育基金項(xiàng)目“投資者關(guān)注對(duì)資產(chǎn)誤定價(jià)的影響研究”,項(xiàng)目編號(hào):RWSK16-Y04
【分類號(hào)】：F832.51
【正文快照】： 有效市場(chǎng)假說(shuō)認(rèn)為資本市場(chǎng)是有效的,金融資產(chǎn)的價(jià)格包含了所有的信息,投資者無(wú)法通過(guò)分析股票價(jià)格獲取超額收益。即所有的投資者都獲取了相同的信息,他們對(duì)上市公司未來(lái)預(yù)期的判斷也相同,金融資產(chǎn)的價(jià)格都是經(jīng)過(guò)準(zhǔn)確定價(jià)的,價(jià)格只可能在資產(chǎn)的內(nèi)在價(jià)值附近波動(dòng),而不能長(zhǎng)期偏離

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