投资者情绪、会计信息质量与股票收益

摘要/Abstract

摘要：

本文运用A股上市公司季度数据，考察投资者情绪与股票收益之间的关系，以及会计信息质量对这种关系的影响。研究结果显示，投资者情绪正向影响股票收益，高质量会计信息能够显著降低投资者情绪对股票收益的影响。采用工具变量法估计，上述关系仍然成立。进一步研究发现，分析师跟踪人数较多时，高质量会计信息对投资者情绪的纠正作用更为明显。本文从信息发布和信息中介角度，为如何平抑投资者情绪，减少股票收益非理性成分提供了一条可供参考的路径。

关键词: 投资者情绪, 会计信息质量, 股票收益, 分析师跟踪

Abstract:

In this paper, we investigate the relationship between investor sentiment and stock returns, and the influence of accounting information quality on the relationship. The results show that the investor sentiment is positively associated with the stock returns, and the high accounting quality can significantly reduce the influence of investor sentiment on stock returns. The relationship is still robust considering the endogenous problem. In addition, we find that the more analysts follow, the more obvious reducing effect is. From the perspective of information issue and information intermediary, this paper provides a reference path for mitigating investor sentiment and reducing its effect on stock returns.

Key words: investor sentiment, accounting quality, stock returns, analyst following

刘斌, 胡菁芯, 李涛. 投资者情绪、会计信息质量与股票收益[J]. , 2018, 30(7): 34-44.

Liu Bin, Hu Jingxin, Li Tao. Investor Sentiment, Accounting Quality and Stock Returns[J]. , 2018, 30(7): 34-44.

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