本文選題：投資者情緒　切入點(diǎn)：業(yè)績(jī)預(yù)告擇時(shí)　出處：《華東理工大學(xué)》2014年碩士論文

【摘要】：投資者情緒對(duì)股票價(jià)格的影響是近年來(lái)行為金融領(lǐng)域的熱點(diǎn)問(wèn)題。與此同時(shí),業(yè)績(jī)預(yù)告擇時(shí)策略及其經(jīng)濟(jì)后果也越來(lái)越受到會(huì)計(jì)學(xué)者們的關(guān)注。但是目前鮮有文獻(xiàn)考察宏觀市場(chǎng)層面的投資者情緒對(duì)微觀企業(yè)業(yè)績(jī)預(yù)告披露策略的影響,以及不同情緒期間業(yè)績(jī)預(yù)告擇時(shí)的經(jīng)濟(jì)后果。 本文以2005年至2011年管理層業(yè)績(jī)預(yù)告作為研究對(duì)象,利用主成分分析法構(gòu)造投資者情緒綜合指數(shù),實(shí)證考察了宏觀市場(chǎng)層面的投資者情緒對(duì)企業(yè)業(yè)績(jī)預(yù)告擇時(shí)的影響,以及不同情緒期間業(yè)績(jī)預(yù)告擇時(shí)的市場(chǎng)反應(yīng)。研究發(fā)現(xiàn),管理層傾向于對(duì)壞消息進(jìn)行擇時(shí)披露；相對(duì)于情緒樂(lè)觀期,在情緒悲觀期,管理層對(duì)壞消息的擇時(shí)披露更加顯著。研究還發(fā)現(xiàn),壞消息的擇時(shí)披露有助于降低其負(fù)面的市場(chǎng)反應(yīng)；相對(duì)于情緒樂(lè)觀期,在情緒悲觀期,管理層通過(guò)對(duì)壞消息的擇時(shí)披露進(jìn)一步緩解了其對(duì)公司股票價(jià)格的不利影響。 本文將宏觀層面的投資者情緒與微觀層面的企業(yè)信息披露策略聯(lián)系起來(lái),豐富了信息披露尤其是業(yè)績(jī)預(yù)告擇時(shí)披露的研究文獻(xiàn)；已有文獻(xiàn)主要考量投資者情緒對(duì)公司財(cái)務(wù)政策和股票收益的影響,而本文則從盈余信息市場(chǎng)反應(yīng)視角揭示了投資者情緒影響資產(chǎn)定價(jià)的作用機(jī)理,拓展了投資者情緒與資產(chǎn)定價(jià)的研究文獻(xiàn)。最后,本文研究成果有助于監(jiān)管部門(mén)了解不同投資者情緒期企業(yè)的信息披露策略,為監(jiān)管部門(mén)加強(qiáng)對(duì)上市公司信息披露的監(jiān)管提供了理論基礎(chǔ)和經(jīng)驗(yàn)證據(jù)。
[Abstract]:The impact of investor sentiment on stock prices has been a hot issue in the field of behavioral finance in recent years.At the same time, the timing strategy of performance forecasting and its economic consequences have been paid more and more attention by accounting scholars.However, there are few literatures to investigate the influence of investor sentiment on the disclosure strategy of micro-enterprise performance, and the economic consequences of the timing of performance forecast in different emotional periods.This paper takes the management performance forecast from 2005 to 2011 as the research object, uses principal component analysis method to construct the comprehensive index of investor sentiment, and empirically investigates the influence of investor sentiment at the macro market level on the timing of enterprise performance forecast.As well as different emotional period performance forecast timing of the market reaction.It is found that the management tends to disclose the bad news at an appropriate time, and the timing disclosure of the bad news is more significant in the pessimistic period than in the optimistic period.The study also found that timing of bad news could help to reduce its negative market reaction, and that in contrast to a period of emotional optimism, in a period of pessimism,Management further mitigated its adverse impact on the company's stock price by timing the bad news.In this paper, the macro level of investor sentiment and the micro level of corporate information disclosure strategy are linked to enrich the information disclosure, especially the performance notice timing disclosure research literature;The influence of investor sentiment on corporate financial policy and stock returns has been studied in the literature. However, this paper reveals the mechanism of investor sentiment influencing asset pricing from the perspective of earnings information market reaction.It expands the research literature on investor sentiment and asset pricing.Finally, the research results of this paper are helpful for regulators to understand the information disclosure strategies of enterprises in different periods of investor sentiment, and provide theoretical basis and empirical evidence for regulators to strengthen the supervision of information disclosure of listed companies.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F275;F832.51

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