盈余信息、个人投资者关注与股票价格
5742 
2980
财经研究 2014 年 第 40 卷第 11 期, 页码：82 - 96
摘要
参考文献
摘要
文章利用股票日内交易数据构建订单流不平衡指标,考察了个人投资者在不同信息属性盈余公告上的注意力分配情况及对股票价格产生的影响。结果表明:(1)个人投资者倾向于关注好消息公告,公告期间股票交易量异常高,受有限注意力制约,其在公告期间表现出显著的净买入行为;(2)个人投资者的净买入行为引起股票价格在盈余公告期间大幅上涨,随着公告后投资者对上市公司的关注恢复到常态,股票价格发生反转,上述发现验证了价格压力假说;(3)个人投资者的净买入行为引起股价在公告日对盈余信息的反应更为强烈,但公告后价格漂移对盈余信息的敏感程度下降,说明投资者关注能够提高信息解读效率。
[1]李科,陆蓉.投资者有限理性与基金营销策略——基金大比例分红的证据[J].管理世界,2011,(11):39-48.
[2]施荣盛,陈工孟.个人投资者能够解读公开信息吗——基于盈余公告附近信息需求行为的研究[J].证券市场导报,2012,(9):16-21.
[3]王磊,叶志强,孔东民,等.投资者关注与盈余公告周一效应[J].金融研究,2012,(11):193-206.
[4]徐龙炳.中国股市机构投资者多账户交易行为研究[J].经济研究,2005,(2):72-80.
[5]杨德明,林斌.信息泄漏、处置效应与盈余惯性[J].管理科学学报,2009,(5):110-120.
[6]俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J].金融研究,2012,(8):152-165.
[7]Aboody D,Lehavy R,Trueman B.Limited attention and the earnings announcement returns of past stock market winners[J].Review of Accounting Studies,2010,15(2):317-344.
[8]Amihud Y.Illiquidity and stock returns:Cross section and time series effects[J].Journal of Financial Markets,2002,5(1):31-56.
[9]Ball R,Brown P.An empirical evaluation of accounting income numbers[J].Journal of Accounting Research,1968,6(2):159-177.
[10]Barber B M,Odean T.All that glitters:The effect of attention and news on the buying behavior of individual and institutional investors[J].Review of Financial Studies,2008,21(2):785-818.
[11]Barclay M,Warner J.Stealth trading and volatility:Which trades move prices[J].Journal of Financial Economics,1993,34(3):281-305.
[12]Black F.Noise[J].Journal of Finance,1986,41(3):529-543.
[13]Da Z,Engleberg J,Gao P.In search of attention[J].Journal of Finance,2011,66(5):1461-1499.
[14]DellaVigna S,Pollet J M.Investor inattention and Friday earnings announcements[J].Journal of Finance,2009,64(2):709-749.
[15]Drake M S,Roulstone D T,Thornock J.Investor information demand:Evidence from google searches around earnings announcements[J].Journal of Accounting Research,2012,50(4):1001-1040.
[16]Fama E,French K.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[17]Frazzini A,Lamont O.The earnings announcement premium and trading volume[R].Working Paper,University of Chicago and Yale University,2006.
[18]Hirshleifer D,Lim S,Teoh S.Driven to distraction:Extraneous events and underreaction to earnings news[J].Journal of Finance,2009,64(5):2289-2325.
[19]Hirshleifer D,Myers J,Myers L,et al.Do individual investors cause post-earnings announcement driftDirect evidence from personal trades[J].The Accounting Review,2008,83(6):1521-1550.
[20]Hirshleifer D,Teoh S H.Limited attention,information disclosure,and financial reporting[J].Journal of Accounting and Economics,2003,36(1-3):337-386.
[21]Holtz-Eakin D,Newey W,Rosen H S.Estimating vector autoregressions with panel data[J].Econome-trica,1988,56(6):1371-1395.
[22]Im K S,Pesaran M H,Shin Y.Testing for unit roots in heterogeneous panels[J].Journal of Econome-trics,2003,115(1):53-74.
[23]Lee C,Ready M.Inferring trade direction from intraday data[J].Journal of Finance,1991,46(2):733-746.
[24]Odean T.Do investors trade too much[J].American Economic Review,1999,89(5):1279-1298.
[25]Peng L,Xiong W.Investor attention,overconfidence and category learning[J].Journal of Financial Economics,2006,80(3):563-602.
[26]Seasholes M,Wu G.Predictable behavior,profits and attention[J].Journal of Empirical Finance,2007,14(5):590-610.
[27]Trueman B,Wong M H F,Zhang X.Anomalous stock returns around internet firms'earnings announcements[J].Journal of Accounting and Economics,2003,34(1-3):249-271.
[28]Wang M,Qiu C,Kong D.Corporate social responsibility,investor behaviors,and stock market returns:Evidence from a natural experiment in China[J].Journal of Business Ethics,2011,101(1):127-141.
1正因如此,个人投资者在盈余公告前数个交易日就表现出净买入行为。在本文中,我们将个人投资者在盈余公告期间[-5,0]内的净买入作为投资者关注程度的代理指标(详见下文表3)。
1对于根据交易规模划分投资者类型的方法,请参见徐龙炳(2005)。考虑到机构投资者为减少交易的冲击成本而可能将大单拆分为若干中单进行隐蔽交易(Barclay和Warner,1993),为了进一步减少Ⅱ类错误,我们尝试将分界点下调为5万元,发现结果与分界点为10万元时完全一致。
1在式(9)中,盈余公告期间[-5,2]的选择参考了Trueman等(2003)的做法。另外,Seasholes和Wu(2007)发现涨停板事件引起股票价格在短期内上涨,随后发生反转,持续一周左右的时间,因此本文将公告后区间设定为[3,10]。
1我们在考察盈余公告后的交易行为后发现,个人投资者在Q1至Q4组合上均没有表现出买入行为,在Q5组合上的净买入行为仅持续到公告后次日。与此形成对比的是,相关文献以网络搜索量作为投资者关注的代理指标,发现超额检索量在公告后仍持续一段时间(Drake等,2012;施荣盛和陈工孟,2012)。造成上述差异的原因可能在于:两种指标反映投资者注意力水平的侧重点不同,检索量指标反映的是投资者对信息的需求,而净买入指标反映的是投资者真实的交易行为,部分投资者有可能在公告后继续通过网络检索了解某股票,但这些信息并没有对其购买决策产生影响。
1估计方法详见Holtz-Eakin等(1988)。如果截面单元个数有限或较小,变量的非平稳性会造成估计效率的损失。出于稳健性考虑,我们采用Im等(2003)提出的方法对变量进行了单位根检验,Im-Pesaran-Shin W统计值拒绝存在单位根的原假设,因此相应的时间序列是平稳的。
[2]施荣盛,陈工孟.个人投资者能够解读公开信息吗——基于盈余公告附近信息需求行为的研究[J].证券市场导报,2012,(9):16-21.
[3]王磊,叶志强,孔东民,等.投资者关注与盈余公告周一效应[J].金融研究,2012,(11):193-206.
[4]徐龙炳.中国股市机构投资者多账户交易行为研究[J].经济研究,2005,(2):72-80.
[5]杨德明,林斌.信息泄漏、处置效应与盈余惯性[J].管理科学学报,2009,(5):110-120.
[6]俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J].金融研究,2012,(8):152-165.
[7]Aboody D,Lehavy R,Trueman B.Limited attention and the earnings announcement returns of past stock market winners[J].Review of Accounting Studies,2010,15(2):317-344.
[8]Amihud Y.Illiquidity and stock returns:Cross section and time series effects[J].Journal of Financial Markets,2002,5(1):31-56.
[9]Ball R,Brown P.An empirical evaluation of accounting income numbers[J].Journal of Accounting Research,1968,6(2):159-177.
[10]Barber B M,Odean T.All that glitters:The effect of attention and news on the buying behavior of individual and institutional investors[J].Review of Financial Studies,2008,21(2):785-818.
[11]Barclay M,Warner J.Stealth trading and volatility:Which trades move prices[J].Journal of Financial Economics,1993,34(3):281-305.
[12]Black F.Noise[J].Journal of Finance,1986,41(3):529-543.
[13]Da Z,Engleberg J,Gao P.In search of attention[J].Journal of Finance,2011,66(5):1461-1499.
[14]DellaVigna S,Pollet J M.Investor inattention and Friday earnings announcements[J].Journal of Finance,2009,64(2):709-749.
[15]Drake M S,Roulstone D T,Thornock J.Investor information demand:Evidence from google searches around earnings announcements[J].Journal of Accounting Research,2012,50(4):1001-1040.
[16]Fama E,French K.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[17]Frazzini A,Lamont O.The earnings announcement premium and trading volume[R].Working Paper,University of Chicago and Yale University,2006.
[18]Hirshleifer D,Lim S,Teoh S.Driven to distraction:Extraneous events and underreaction to earnings news[J].Journal of Finance,2009,64(5):2289-2325.
[19]Hirshleifer D,Myers J,Myers L,et al.Do individual investors cause post-earnings announcement driftDirect evidence from personal trades[J].The Accounting Review,2008,83(6):1521-1550.
[20]Hirshleifer D,Teoh S H.Limited attention,information disclosure,and financial reporting[J].Journal of Accounting and Economics,2003,36(1-3):337-386.
[21]Holtz-Eakin D,Newey W,Rosen H S.Estimating vector autoregressions with panel data[J].Econome-trica,1988,56(6):1371-1395.
[22]Im K S,Pesaran M H,Shin Y.Testing for unit roots in heterogeneous panels[J].Journal of Econome-trics,2003,115(1):53-74.
[23]Lee C,Ready M.Inferring trade direction from intraday data[J].Journal of Finance,1991,46(2):733-746.
[24]Odean T.Do investors trade too much[J].American Economic Review,1999,89(5):1279-1298.
[25]Peng L,Xiong W.Investor attention,overconfidence and category learning[J].Journal of Financial Economics,2006,80(3):563-602.
[26]Seasholes M,Wu G.Predictable behavior,profits and attention[J].Journal of Empirical Finance,2007,14(5):590-610.
[27]Trueman B,Wong M H F,Zhang X.Anomalous stock returns around internet firms'earnings announcements[J].Journal of Accounting and Economics,2003,34(1-3):249-271.
[28]Wang M,Qiu C,Kong D.Corporate social responsibility,investor behaviors,and stock market returns:Evidence from a natural experiment in China[J].Journal of Business Ethics,2011,101(1):127-141.
1正因如此,个人投资者在盈余公告前数个交易日就表现出净买入行为。在本文中,我们将个人投资者在盈余公告期间[-5,0]内的净买入作为投资者关注程度的代理指标(详见下文表3)。
1对于根据交易规模划分投资者类型的方法,请参见徐龙炳(2005)。考虑到机构投资者为减少交易的冲击成本而可能将大单拆分为若干中单进行隐蔽交易(Barclay和Warner,1993),为了进一步减少Ⅱ类错误,我们尝试将分界点下调为5万元,发现结果与分界点为10万元时完全一致。
1在式(9)中,盈余公告期间[-5,2]的选择参考了Trueman等(2003)的做法。另外,Seasholes和Wu(2007)发现涨停板事件引起股票价格在短期内上涨,随后发生反转,持续一周左右的时间,因此本文将公告后区间设定为[3,10]。
1我们在考察盈余公告后的交易行为后发现,个人投资者在Q1至Q4组合上均没有表现出买入行为,在Q5组合上的净买入行为仅持续到公告后次日。与此形成对比的是,相关文献以网络搜索量作为投资者关注的代理指标,发现超额检索量在公告后仍持续一段时间(Drake等,2012;施荣盛和陈工孟,2012)。造成上述差异的原因可能在于:两种指标反映投资者注意力水平的侧重点不同,检索量指标反映的是投资者对信息的需求,而净买入指标反映的是投资者真实的交易行为,部分投资者有可能在公告后继续通过网络检索了解某股票,但这些信息并没有对其购买决策产生影响。
1估计方法详见Holtz-Eakin等(1988)。如果截面单元个数有限或较小,变量的非平稳性会造成估计效率的损失。出于稳健性考虑,我们采用Im等(2003)提出的方法对变量进行了单位根检验,Im-Pesaran-Shin W统计值拒绝存在单位根的原假设,因此相应的时间序列是平稳的。
引用本文
王磊, 孔东民. 盈余信息、个人投资者关注与股票价格[J]. 财经研究, 2014, 40(11): 82–96.
导出参考文献，格式为：
