摘要
本文以中国股市2003年第一季度至2018年第一季度的数据为样本,通过构造三种股票博彩指数和使用事件研究法探究了股市投资者对盈余公告的反应。研究发现,博彩偏好会同时从方向相反的两个方向影响股市投资者对盈余公告的反应,即投资者对博彩型股票的青睐虽然提高了投资者对正未预期盈余信息的敏感性,但却减缓了负未预期盈余信息反映到股价中的速度。这种影响对处于亏损状态的投资者、情绪高涨的投资者或散户投资者更为显著。
How the gambling preference influences the reactions of investors to earnings announcements is investigated by employing Chinese stock market’s data from the first quarter of 2003 to the first quarter of2018.For each stock,three kinds of gambling index are constructed to measure the gambling characteristics.The buy-and-hold abnormal returns are used to measure the reactions of investors to earnings announcement.Conventionally,SUE(standardized unexpected earnings)are constructed for each earnings announcement.The event study is utilized to explore the role of gambling preference in affecting the investors’ reactions to earnings announcements.The regressions results reveal that the interaction of gambling index and positive SUE is significant and positve,while the interaction of gambling index and negative SUE is significant and negative.The empirical results prove that gambling preference has two opposite effects at the same time.That is,gambling preference increases the sensitivity of investors to positive unexpected earnings while it slows down the speed at which negative unexpected earnings information is incorporated into the stock price.Subgroup regressions are performed after the total sample is divided into two subsamples according to theprofit/loss condition of investors,median of investor sentiment index and institutional ownership respectively.The interaction of gambling index and positive/negative SUE is not significant any more when investors are at the profit condition.Besides,the interaction of gambling index and positive/negative SUE is no longer significant during the pessimistic period.In addition,the interaction of gambling index and positive SUE is not significant when a firm has more retail investors.This phenomenon suggests that profit/loss condition,investor sentiment and institutional ownership indirectly influence the reactions of investors to earnings announcements by affecting the asymmetric V-shaped disposition effect.Finally,several robust checks are conducted.When the profit/loss condition is constructed by past five-year data,or when the investor sentiment is measured by other indicators,or when the event window is extended,our conclusions remain the same and robust.
作者
陈文博
陈浪南
CHEN Wen-bo;CHEN Lang-nan(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
《中国管理科学》
CSSCI
CSCD
北大核心
2021年第9期1-11,共11页
Chinese Journal of Management Science
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
博彩偏好
投资者情绪
盈亏状态
机构持股率
reactions to earnings announcement
gambling preference
investor sentiment
profit/loss condition
institutional ownership
