摘要
本文以中国股市2003年第一季度至2018年第三季度的数据为样本,通过构造非对称V字形处置效应代理变量和使用事件研究法研究了股市投资者对盈余公告的反应。研究发现:新型处置效应不仅可以显著影响股市投资者对盈余公告的反应,并且可以同时造成方向相反的两种影响,即非对称V字形处置效应虽然致使股市投资者对正未预期盈余信息反应不足,但加速了股市投资者对负未预期盈余信息的反应。这种影响在股市投资者情绪低落时或散户投资者中更加显著。
We investigate how the asymmetric V-shaped disposition effect influences the reactions of investors to earnings announcements by employing Chinese stock market′s data from the first quarter of 2003 to the third quarter of 2018.For each stock,we estimate the Gain Overhang and Loss Overhang as proxies for the stock′s aggregate unrealized gains/losses at each month by using the daily closing price and turnover rate.We employ the Fama-MacBeth regressions to examine the effects of Gain Overhang and Loss Overhang on the future returns.We find that the stocks with larger unrealized gains and stocks with larger unrealized losses(in absolute value)have higher returns in the following month.We also find that the stocks with unrealized gains have greater impacts on the future returns than those with unrealized losses due to the investors′trading behavior.The investors are more willing to sell a stock with the increase of their gains or losses.The stocks with greater unrealized gains or unrealized losses(in absolute value)are under higher pressure to be sold.This will temporarily push down the current prices and lead to higher subsequent returns when future prices return to the fundamental values.The investors prefer to sell profitable stocks than defective stocks.Thus,the profitable stocks will have higher subsequent returns than the defective stocks since the stocks with unrealized gains being under higher pressure to be sold than the stocks with unrealized losses when the unrealized gains and the unrealized losses are at the same extent.These empirical results suggest that the asymmetric V-shaped disposition effect does exist among Chinese investors.Then,we divide the total sample into two subsamples based on the median of investor sentiment index and institutional ownership,respectively.We find the effect of Loss Overhang on the stock′s future returns is no longer significant during the optimistic sentiment periods.What′s more,it turns out that Gain Overhang and Loss Overhang are not significant when a firm′s institutional ownership is high.These results indicate that investor sentiment and institutional ownership both have a great impact on the asymmetric V-shaped disposition effect.Subsequently,we construct V-shaped net selling propensity(VNSP)as a proxy of asymmetric V-shaped disposition effect.We analyze buy-and-hold abnormal returns of double-sorted portfolios based on the VNSP and SUE(standardized unexpected earnings).For a given earnings information,buy-and-hold abnormal returns decrease with the magnitude of VNSP,but the buy-and-hold abnormal returns of good news group are positive.These results manifest that the asymmetric V-shaped disposition effect results in underreacting to positive unexpected earnings,but accelerating the reactions of investors to negative unexpected earnings.Further,we use the event study to explore the role of asymmetric V-shaped disposition effect in affecting the investors′reactions to earnings announcements.The regressions results reveal that the interaction of VNSP and positive SUE is significant and negative,while the interaction of VNSP and negative SUE is significant and positive.It turns out that our conclusion is right again.Then,we perform subgroup regressions after the total sample is divided into two subsamples according to the median of investor sentiment index and institutional ownership respectively.The interaction of VNSP and positive/negative SUE is no longer significant during the optimistic periods.Besides,the interaction of VNSP and positive SUE is not significant when a firm has less institutional investors.This phenomenon suggests that investor sentiment and institutional ownership indirectly influence the reactions of investors to earnings announcements by affecting the asymmetric V-shaped disposition effect.Finally,we conduct several robust checks.Our conclusions remain the same and robust in the following circumstances:the investor sentiment is measured by other indicators;the event window is extended;the VNSP is constructed by using last five-year data;the reactions to earnings announcements are measured by Cumulative Abnormal Returns(CAR)and the SUE is measured in other ways.
作者
陈文博
陈浪南
CHEN Wenbo;CHEN Langnan(School of Economics,Peking University,Beijing 100871,China;Postdoctoral Research Station of Agricultural Bank of China,Beijing 100005,China;Lingnan(University)College,Sun Yat-sen University,Guangzhou 510275,China)
出处
《管理工程学报》
CSSCI
CSCD
北大核心
2021年第3期141-157,共17页
Journal of Industrial Engineering and Engineering Management
基金
教育部人文社会科学研究规划基金资助项目(17YJA790011)
广东省自然科学基金资助项目(2017A030311038)。
关键词
对盈余公告的反应
非对称V字型处置效应
投资者情绪
机构持股率
Reactions to earnings announcements
Asymmetric V-shaped disposition effect
Investor sentiment
Institutional ownership
