本文選題：投資者情緒 + 企業(yè)投資行為�。� 參考：《華東交通大學(xué)》2014年碩士論文

【摘要】：2008年金融危機(jī)對(duì)實(shí)體經(jīng)濟(jì)的影響雖然漸漸淡去，但中國(guó)證券市場(chǎng)卻依然投機(jī)之風(fēng)盛行，非理性情緒嚴(yán)重泛濫。從投資者角度，投資者的盲目跟風(fēng)和投機(jī)理念抑制了我國(guó)合理有序的投資氛圍和投資環(huán)境的形成；從企業(yè)角度，管理者迎合投資者情緒的過(guò)度投資傾向日漸嚴(yán)重，甚至威脅著中小股東的切身利益。本文的研究將對(duì)于投資者理性投資、企業(yè)管理者合理審慎投資項(xiàng)目有一定的參考。 本文選取2008年—2012年滬深A(yù)股上市公司中的774家企業(yè)作為研究樣本，采用實(shí)證研究的方法研究投資者情緒、企業(yè)投資行為及其市場(chǎng)反應(yīng)三者之間的關(guān)系。文章首先對(duì)投資者情緒和企業(yè)投資行為之間的關(guān)系進(jìn)行實(shí)證檢驗(yàn)，作為將企業(yè)與股市銜接的重要一步，接下來(lái)對(duì)企業(yè)投資行為與滯后一期的市場(chǎng)反應(yīng)之間的關(guān)系進(jìn)行實(shí)證檢驗(yàn)，最后，作為股市層面的研究，也為了進(jìn)一步檢驗(yàn)投資者情緒在股市層面的市場(chǎng)反應(yīng)，文章又對(duì)投資者情緒影響股票收益率的結(jié)果進(jìn)行了實(shí)證檢驗(yàn)。 論文的研究結(jié)論為：（1）投資者情緒與企業(yè)投資行為之間存在著顯著的正相關(guān)關(guān)系，上市公司在投資者情緒高漲時(shí)期進(jìn)行大規(guī)模投資，投資者情緒對(duì)于企業(yè)的投資水平具有推動(dòng)作用；（2）企業(yè)投資水平與滯后一期的股票收益率存在著顯著的負(fù)相關(guān)關(guān)系，也就是說(shuō)我國(guó)上市公司投資水平的增長(zhǎng)在股市層面帶來(lái)的市場(chǎng)反應(yīng)將是低水平的股票收益率，企業(yè)投資水平對(duì)股票收益率有著負(fù)向的預(yù)測(cè)能力；（3）投資者情緒影響股票收益的回歸結(jié)果表明了二者之間呈顯著的負(fù)相關(guān)，，從而印證了投資者情緒的高漲促進(jìn)了企業(yè)投資水平的提高，進(jìn)而導(dǎo)致了股市上的負(fù)面反應(yīng)和較低的個(gè)股收益率。 本文的創(chuàng)新之處體現(xiàn)兩個(gè)方面：一是本文結(jié)合之前文獻(xiàn)中企業(yè)層面和股市層面研究成果，實(shí)現(xiàn)投資者情緒到企業(yè)投資行為再到公司股票收益率的分析鏈條上的完整性。二是本文的實(shí)證檢驗(yàn)結(jié)果表明企業(yè)的投資行為對(duì)公司股票回報(bào)率有著負(fù)向的預(yù)測(cè)能力，為行為財(cái)務(wù)角度去研究企業(yè)投資行為導(dǎo)致的股票市場(chǎng)反應(yīng)提供更多的借鑒。
[Abstract]:Although the impact of the 2008 financial crisis on the real economy is fading, China's securities market is still in the vogue of speculation and irrational sentiment is rampant. From the point of view of investors, the blind follow and speculative ideas of investors have restrained the formation of a reasonable and orderly investment atmosphere and investment environment in China, and from the enterprise perspective, the overinvestment tendency of managers to cater to investor sentiment is becoming increasingly serious. Even threaten the vital interests of small and medium shareholders. The research in this paper will be a reference for investors' rational investment and enterprise managers' reasonable and prudent investment projects. In this paper, 774 companies in Shanghai and Shenzhen A-share listed companies from 2008 to 2012 are selected as research samples, and the relationship among investor sentiment, corporate investment behavior and market reaction is studied by using empirical research method. Firstly, the paper makes an empirical test on the relationship between investor sentiment and enterprise investment behavior, as an important step to link the enterprise with the stock market, and then makes an empirical test on the relationship between the enterprise investment behavior and the delayed market reaction. Finally, as a stock market level research, in order to further test the market reaction of investor sentiment in the stock market level, the paper also carries on the empirical test to the investor sentiment influence stock yield result. The conclusion of this paper is: (1) there is a significant positive correlation between investor sentiment and enterprise investment behavior, and listed companies invest on a large scale during the period of high investor sentiment. There is a significant negative correlation between the investment level of enterprises and the stock return rate in a lag period. That is to say, the growth of investment level of listed companies in China will bring about a low level of stock returns, and the investment level of enterprises will have a negative ability to predict the stock returns. 3) the regression results of investor sentiment influencing stock returns show that there is a significant negative correlation between them, which proves that the upsurge of investor sentiment promotes the improvement of enterprise investment level. This in turn led to negative reactions on the stock market and lower returns on individual stocks. The innovation of this paper embodies two aspects: first, this paper combines the research results of enterprise level and stock market level in previous literature to realize the integrality of investor sentiment to enterprise investment behavior and then to the analysis chain of company stock return rate. Second, the empirical results of this paper show that the investment behavior of enterprises has a negative predictive ability to the stock return rate, which provides more reference for the study of the stock market reaction caused by the corporate investment behavior from the behavioral and financial point of view.
【學(xué)位授予單位】：華東交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 劉端;陳收;;中國(guó)市場(chǎng)管理者短視、投資者情緒與公司投資行為扭曲研究[J];中國(guó)管理科學(xué);2006年02期

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