本文選題：投資者認(rèn)知　切入點(diǎn)：不完全信息　出處：《對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)》2014年博士論文

【摘要】：中國股市作為新興市場(chǎng)的代表,在許多方面具有區(qū)別于成熟資本市場(chǎng)的特征。中國股市的市場(chǎng)投資主體是個(gè)人投資者,而個(gè)人投資者與機(jī)構(gòu)投資者具有不同的信息屬性,不僅其獲取信息的渠道較少,而且對(duì)信息分析解碼的成本也高,由此導(dǎo)致市場(chǎng)投資者平均掌握信息的不完全程度高于成熟股票市場(chǎng),因此投資者信息不完全在中國股票市場(chǎng)中的地位尤為重要。目前與之有關(guān)的國內(nèi)研究較少。反映投資者信息不完全的理論概念是“投資者認(rèn)知”,Merton于20世紀(jì)80年代提出這一概念,當(dāng)時(shí)美國股市的發(fā)展階段與中國目前狀況較為接近。Merton(1987)針對(duì)傳統(tǒng)資本資產(chǎn)定價(jià)模型完美市場(chǎng)假設(shè)的局限,提出了投資者認(rèn)知假設(shè),該假設(shè)認(rèn)為,投資者在構(gòu)建最優(yōu)投資組合時(shí),只會(huì)考慮證券市場(chǎng)的一個(gè)子集,只有投資者“知道”的證券,才會(huì)作為投資者的投資對(duì)象,并由此得到不完全信息的市場(chǎng)均衡模型。該模型反映了投資者認(rèn)知對(duì)公司價(jià)值的影響,與之有關(guān)的關(guān)鍵理論預(yù)期是:投資者認(rèn)知水平越高,公司價(jià)值越高。由于Merton(1987)的投資者認(rèn)知假設(shè)并未考慮投資者之間存在信息不對(duì)稱的情況,而是認(rèn)為只有獲得一致信息的投資者才會(huì)交易同只股票,其假設(shè)只關(guān)注投資者掌握信息的寬度,而非投資者掌握信息的深度,因此,信息不對(duì)稱水平較高的市場(chǎng)條件下,需考慮信息不對(duì)稱對(duì)認(rèn)知效應(yīng)可能產(chǎn)生的影響。基于中國A股市場(chǎng)信息不對(duì)稱水平較高的現(xiàn)實(shí),首先從市場(chǎng)層面對(duì)投資者認(rèn)知假設(shè)在中國股票市場(chǎng)環(huán)境的適用性進(jìn)行驗(yàn)證;其次從公司層面考察信息不對(duì)稱對(duì)投資者認(rèn)知效應(yīng)的調(diào)節(jié)作用,以期為中國A股市場(chǎng)股東基礎(chǔ)不斷下降的現(xiàn)實(shí)提供解釋,并從理論上拓展投資者認(rèn)知影響公司價(jià)值的機(jī)理研究。市場(chǎng)層面的檢驗(yàn),借重中國股票市場(chǎng)特有的股權(quán)分置改革,采用多重差分方法,驗(yàn)證了投資者認(rèn)知假設(shè)在中國A股市場(chǎng)的適用性,并將這一效應(yīng)與消除制度性市場(chǎng)細(xì)分導(dǎo)致的投資者認(rèn)知更大幅度提升公司價(jià)值的效果,即制度性市場(chǎng)細(xì)分效應(yīng),區(qū)分開來。這一驗(yàn)證確認(rèn)了投資者認(rèn)知在中國股票市場(chǎng)的重要意義,為監(jiān)管機(jī)構(gòu)制定加強(qiáng)投資者保護(hù)等相關(guān)政策提供了理論依據(jù);同時(shí),市場(chǎng)層面的檢驗(yàn)也發(fā)現(xiàn),中國A股市場(chǎng),機(jī)構(gòu)投資者認(rèn)知提升公司價(jià)值的作用機(jī)制與市場(chǎng)整體情形不同,它并不反映Merton(1987)提出的投資者“不完全信息”的作用,而是體現(xiàn)著“信息不對(duì)稱”的作用機(jī)制。公司層面,信息不對(duì)稱如何影響投資者認(rèn)知效應(yīng)是需要檢驗(yàn)的另一關(guān)鍵問題。通過選取“控制變量偏差的交易量”、“內(nèi)部人持股”、以及“分析師盈余預(yù)測(cè)分歧”作為信息不對(duì)稱的代理變量,并在回歸分析中加入信息不對(duì)稱及投資者認(rèn)知代理變量交乘項(xiàng)的方法,檢驗(yàn)信息不對(duì)稱的調(diào)節(jié)作用。研究發(fā)現(xiàn),市場(chǎng)整體情況看,信息不對(duì)稱對(duì)投資者認(rèn)知提升公司價(jià)值的效應(yīng)具有負(fù)向調(diào)節(jié),而對(duì)機(jī)構(gòu)投資者認(rèn)知提升公司價(jià)值的作用則呈現(xiàn)正向調(diào)節(jié)。表明信息不對(duì)稱水平較高的市場(chǎng)環(huán)境,存在著不同類別投資者認(rèn)知效應(yīng)的市場(chǎng)細(xì)分。研究還發(fā)現(xiàn),投資者認(rèn)知對(duì)公司價(jià)值的提升作用會(huì)在某些情況下發(fā)生反轉(zhuǎn),比如,內(nèi)部人能夠一定程度控制企業(yè),且非絕對(duì)控股的情況下,或者分析師盈余預(yù)期較為一致時(shí),市場(chǎng)會(huì)呈現(xiàn)投資者認(rèn)知水平越高,公司價(jià)值越低的情形。表明信息不對(duì)稱負(fù)向調(diào)節(jié)導(dǎo)致投資者認(rèn)知與公司價(jià)值的負(fù)向因果關(guān)系,與Miller(1977)提出的異質(zhì)信念效應(yīng)是兩種不同的作用機(jī)制�；谏鲜鲋饕难芯堪l(fā)現(xiàn),可以推論,減少不合理的信息不對(duì)稱,促進(jìn)投資機(jī)會(huì)公平,保護(hù)中小投資者利益,對(duì)保持公司對(duì)市場(chǎng)投資者的持續(xù)吸引力,以及股市的持續(xù)健康發(fā)展具有重要意義。研究的創(chuàng)新之處在于,在Merton(1987)的投資者認(rèn)知假設(shè)基礎(chǔ)上,放松了交易雙方信息一致的前提假設(shè),對(duì)不完全信息市場(chǎng)均衡做出了拓展,并以信息為研究視角,為投資者認(rèn)知效應(yīng)在具有不同信息特征的市場(chǎng)環(huán)境中具有的一般意義提供了實(shí)證證據(jù);發(fā)現(xiàn)了信息不對(duì)稱水平較高的股票市場(chǎng),不同類別投資者認(rèn)知效應(yīng)的機(jī)理不同,存在著不同類別投資者認(rèn)知效應(yīng)的市場(chǎng)細(xì)分;發(fā)現(xiàn)的信息不對(duì)稱對(duì)投資者認(rèn)知效應(yīng)的負(fù)向調(diào)節(jié)作用,能夠?qū)е峦顿Y者認(rèn)知提升公司價(jià)值的作用發(fā)生反轉(zhuǎn)的機(jī)理,明確了中國A股市場(chǎng),投資者認(rèn)知與公司價(jià)值存在顯著負(fù)向相關(guān)關(guān)系的根本原因,也同時(shí)表明這一導(dǎo)致投資者認(rèn)知與公司價(jià)值存在負(fù)向關(guān)系的路徑有別于Miller(1977)的異質(zhì)信念假設(shè),為中國A股市場(chǎng)呈現(xiàn)的公司股東基礎(chǔ)不斷下降,以及上市公司股東基礎(chǔ)與公司價(jià)值的具有顯著負(fù)向相關(guān)關(guān)系提供了合理解釋。
[Abstract]:China stock market as a representative of emerging market characteristics in many aspects, which are different from mature capital markets. Chinese stock market investors and individual investors, individual investors and institutional investors have different attributes of information, not only the access to information is less, and the information analysis of decoding cost is high, resulting in no the degree of market investors to grasp the information is higher than the average mature stock market, so investors with incomplete information in China stock market plays an important role. At present, study related to the less. Reflect the theoretical concepts of incomplete information investors is the "investor cognition", Merton put forward the concept of the United States in 1980s, stage of development the stock market and the current situation of Chinese is close to.Merton (1987) in the traditional capital asset pricing model perfect market hypothesis This limitation, investors cognitive hypothesis, which assumes that investors in the construction of the optimal portfolio, will only consider a subset of the stock market, investors only "know" securities, as investors will invest, market equilibrium model and the incomplete information. The model reflects the influence of investors' cognition the value of the company, the key theoretical expectations relating to: the higher cognitive level of investors, higher value of company. Due to the Merton (1987) investors did not consider the existence of cognitive hypothesis information asymmetry between investors, but that only the information investors will deal with stocks, investors only pay attention to grasp its assumptions the width of the information, rather than investors grasp the depth of information, therefore, information asymmetry high level market conditions, need to consider the information asymmetry of cognition The effect may have higher levels of information asymmetry. Chinese A stock market based on the reality, first from the market facing investors cognitive assumptions verified applicability in Chinese stock market environment; secondly, the information asymmetry from the company level regulating effect on the cognitive effects of investors, in order to provide explanations for shareholders based Chinese A shares market study on the mechanism of the decline of the reality, and expand investor perception affects company value theoretically. Test the market level, rely on the unique Chinese stock market share reform, using multiple differential method, verified the applicability in Chinese investors cognitive hypothesis A stock market, and this effect and eliminate the institutional market subdivision causes investors greatly enhance the value of the company more cognitive effect, namely system of market segmentation effect, to distinguish. This validated the vote The important significance of investor cognition in Chinese stock market, provides a theoretical basis for strengthening investor protection and other related policies for regulators; at the same time, the inspection also found that the level of the market, China A stock market, institutional investors cognitive mechanism and enhance the value of the company the overall situation to be different, it does not reflect the Merton (1987) proposed investors are "incomplete information", it embodies the "mechanism of asymmetric information. The company level, information asymmetry affects the investor's cognitive effect is another key to test questions. By choosing the control variable deviation of the trading volume", "insider ownership" and "differences of earnings forecast" as a proxy for information asymmetry, and adding method of asymmetric information and investor cognitive proxy product in regression analysis, check information right Regulation of said. The study found that the overall market situation, information asymmetry has a negative moderating effect on investors' cognition to enhance corporate value, and to enhance the value of the company's institutional investors cognitive function has a positive regulation. The market environment that information asymmetry level is higher, there are cognitive effects of different types of investors market segments. The study also found that the reversal will occur in some cases, the role of cognitive investors to enhance the value of the company for example, internal control to enterprises to some extent, and non absolute holdings, or earnings is expected to be more favorable, the market will show the level of investor cognition is higher, the lower the value of the company. That information the asymmetry of the negative regulation of cognition and the value of the company led investors to negative causality, and Miller (1977) proposed the heterogeneous beliefs effect is not two The same mechanism. The research mainly based on the findings, it can be concluded that the reduction of information asymmetry is not reasonable, investment promotion fair opportunity to protect the interests of investors, the company continued to remain attractive to investors in the market, the stock market and the sustained and healthy development has important significance. The innovation of the research is that in Merton (1987) the investor's cognitive assumption, relax the assumptions of the parties to the transaction information, the incomplete information market equilibrium made to expand, and information as the research perspective, provides empirical evidence for the general investors cognitive effect is having different features in the market environment; found higher levels of information asymmetry in stock the market mechanism, different cognitive effects of different types of investors, there are cognitive effects of different types of investors market segmentation; information not found According to investors cognitive effects of negative role, can lead to cognitive mechanism of investors increasing company value change, the Chinese A stock market, investors' cognition and company value is negatively related to the root cause, and show that this leads to investors' cognition and firm value has a negative effect on the path is different from the Miller (1977) of the heterogeneous beliefs hypothesis, showing Chinese A stock market company shareholder base is declining, and has the shareholder base of listed companies and the value was negatively related to provide a reasonable explanation.

【學(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F275;F832.51

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