过度自信、分析师跟进与资本市场定价效率——基于R2视角的实证研究

›› 2016, Vol. 28 ›› Issue (12): 41-53.

过度自信、分析师跟进与资本市场定价效率——基于R²视角的实证研究

金大卫, 冯璐茜

中南财经政法大学信息与安全工程学院, 武汉 430073

收稿日期:2016-03-04 出版日期:2016-12-28 发布日期:2017-03-15
作者简介:金大卫,中南财经政法大学信息与安全工程学院教授,博士生导师,博士;冯璐茜,中南财经政法大学信息与安全工程学院硕士研究生。
基金资助:
国家社科基金项目（13CTJ003）；中国博士后基金面上项目（2014M562025）；中南财经政法大学“研究生创新教育计划”（2015S1406）。

Overconfidence, Analyst Coverage and Capital Market Pricing Efficiency——An Empirical Study Based on R2

Jin Dawei, Feng Luxi

School of Information and Safety Engineering, Zhongnan University of Economics and Law, Wuhan 430073

Received:2016-03-04 Online:2016-12-28 Published:2017-03-15

摘要/Abstract

摘要：

本文利用2008-2014年A股上市公司数据，研究投资者过度自信对股价同步性的作用，并考察分析师跟进对两者关系的影响。研究发现：投资者过度自信程度与R²显著负相关，即随着投资者过度自信程度的增加，R²降低；分析师跟进对投资者过度自信对R²的降低具有调节作用。这表明R²显著受到非理性因素的影响，同时也受到公司特质信息融入的影响。本文结论从投资者过度自信角度为R²的解释提供新的实证证据。

关键词: 过度自信, 分析师跟进, 股价同步性, 股价信息含量

Abstract:

This paper examines the effect of investor overconfidence on stock price synchronicity, and the influence of analyst coverage on the relationship between them. Based on the data of Chinese listed companies from 2008 to 2014, we find a significantly negative relationship between R-square and the degree of investor overconfidence. The negative relationship declines as analyst coverage increases. Our evidence suggests that both irrational factor and firm-specific information have significant impacts on stock price synchronicity. From the perspective of investor overconfidence, our study provides new empirical evidence regarding the nature of R-square.

Key words: overconfidence, analyst coverage, stock price synchronicity, price information content

金大卫, 冯璐茜. 过度自信、分析师跟进与资本市场定价效率——基于R²视角的实证研究[J]. , 2016, 28(12): 41-53.

Jin Dawei, Feng Luxi. Overconfidence, Analyst Coverage and Capital Market Pricing Efficiency——An Empirical Study Based on R2[J]. , 2016, 28(12): 41-53.

参考文献

[1] Roll R. R2[J]. Journal of Finance, 1988,43(3):541-566
[2] Morck R., Yeung B., Yu W. The Information Content of Stock Markets:Why Do Emerging Markets Have Synchronous Stock Price Movements?[J]. Journal of Financial Economics, 2000,58(1):215-260
[3] Durnev A., Morck R., Yeung B., et al. Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?[J]. Journal of Accounting Research, 2003,41(5):797-836
[4] West K. D. Dividend Innovations and Stock Price Volatility[J]. Econometrica, 1988,56(1):37-61
[5] Teoh S. H, Yang Y. G., Zhang Y. R-Square and Market Efficiency[C]. Working Paper, University of California at Irvine, 2009
[6] 许年行,洪涛,吴世农,徐信忠.信息传递模式、投资者心理偏差与股价"同涨同跌"现象[J]. 经济研究, 2011,(4):135-146
[7] Dang T. L., Moshirian F., Zhang B. Commonality in News Around the World[J]. Journal of Financial Economics, 2015,116(1):82-110
[8] 于忠泊,田高良,张咏梅,曾振.会计稳健性与投资者保护:基于股价信息含量视角的考察[J]. 管理评论, 2013,25(3):146-158
[9] 皮天雷,唐秀萍.市场信息传导机制下公司权益资本的决定研究[J]. 管理评论, 2016,28(2):185-196
[10] Kelly P. J. Information Efficiency and Firm-Specific Return Variation[J]. The Quarterly Journal of Finance, 2014, 4(4):1450018
[11] Lee D. W, Liu M. H. Does More Information in Stock Price Lead to Greater or Smaller Idiosyncratic Return Volatility?[J]. Jour-nal of Banking & Finance, 2011,35(6):1563-1580
[12] Chan K., Chan Y. C. Price Informativeness and Stock Return Synchronicity:Evidence from the Pricing of Seasoned Equity Offer-ings[J]. Journal of Financial Economics, 2014,114(1):36-53
[13] Daniel K., Hirshleifer D. Overconfident Investors, Predictable Returns, and Excessive Trading[J]. The Journal of Economic Per-spectives, 2015,29(4):61-87
[14] Odean T. Volume, Volatility, Price, and Profit When All Traders Are Above Average[J]. Journal of Finance, 1998,53(6):1887-1934
[15] Odean T. Do Investors Trade Too Much?[J]. The American Economic Review, 1999,89(5):1279-1298
[16] Liu S. Investor Sentiment and Stock Market Liquidity[J]. Journal of Behavioral Finance, 2015,16(1):51-67
[17] 陈日清.投资者过度自信行为与中国A股波动性[J]. 投资研究, 2014,(2):89-103
[18] 孔东民,申睿.信息环境、R2与过度自信:基于资产定价效率的检验[J]. 南方经济, 2007,(6):3-21
[19] Ko K. J., Huang Z. J. Arrogance Can Be a Virtue:Overconfidence, Information Acquisition, and Market Efficiency[J]. Journal of Financial Economics, 2007,84(2):529-560
[20] Daniel K., Hirshleifer D., Subrahmanyam A. Investor Psychology and Security Market Under-and Overreactions[J]. Journal of Finance, 1998,53(6):1839-1885
[21] 胡奕明,林文雄,王玮璐.证券分析师的信息来源、关注域与分析工具[J]. 金融研究, 2003,(12):52-63
[22] 周冬华,赵玉洁. 证券分析师盈余预测乐观倾向:利益关联还是启发式认知偏差?[J]. 管理评论, 2016,28(1):205-218
[23] 朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据[J]. 金融研究, 2007,(2):110-121
[24] 曹新伟,洪剑峭,贾琬娇.分析师实地调研与资本市场信息效率——基于股价同步性的研究[J]. 经济管理, 2015,(8):141-150
[25] Piotroski J. D., Roulstone D. T. The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices[J]. The Accounting Review, 2004,79(4):1119-1151
[26] Chan K., Hameed A. Stock Price Synchronicity and Analyst Coverage in Emerging Markets[J]. Journal of Financial Economics, 2006,80(1):115-147
[27] 冯旭南,李心愉.中国证券分析师能反映公司特质信息吗?——基于股价波动同步性和分析师跟进的证据[J]. 经济科学, 2011,(4):99-106
[28] Hameed A., Morck R., Shen J., et al. Information, Analysts, and Stock Return Comovement[J]. Review of Financial Studies, 2015,28(11):3153-3187
[29] Langnickel F., Zeisberger S. Do We Measure Overconfidence? A Closer Look at the Interval Production Task[J]. Journal of Eco-nomic Behavior & Organization, 2016,128:121-133
[30] Chuang W. I., Lee B. S. An Empirical Evaluation of the Overconfidence Hypothesis[J]. Journal of Banking & Finance, 2006,30(9):2489-2515
[31] 王宇超,肖斌卿,李心丹.分析师跟进的决定因素——来自中国证券市场的证据[J]. 南方经济, 2012,30(10):88-101
[32] Brown L. D., Richardson G. D., Schwager S. J. An Information Interpretation of Financial Analyst Superiority in Forecasting Earnings[J]. Journal of Accounting Research, 1987,25(1):49-67

过度自信、分析师跟进与资本市场定价效率——基于R²视角的实证研究

Overconfidence, Analyst Coverage and Capital Market Pricing Efficiency——An Empirical Study Based on R2

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 11

编辑推荐

Metrics

本文评价

[1]	宋云玲, 吕佳宁, 黄晓蓓, 刘向伟. 管理者动态过度乐观与业绩预告质量[J]. 管理评论, 2022, 34(5): 188-201.
[2]	袁蓉丽, 王群, 李瑞敬. 证券交易所监管与股价同步性——基于年报问询函的证据[J]. 管理评论, 2022, 34(2): 281-290,352.
[3]	陈伟宏, 钟熙, 蓝海林, 宋铁波. 范围、速度与节奏——高管过度自信对国际化进程的影响[J]. 管理评论, 2021, 33(3): 233-243.
[4]	周静, 罗乐. 基于AdjPIN测度的股价信息含量对风险分担的敏感性研究[J]. , 2020, 32(4): 77-89.
[5]	邓伟, 王涛, 成园园. 反收购条款、股价同步性与投资效率[J]. 管理评论, 2020, 32(11): 33-47.
[6]	袁媛, 田高良, 廖明情. 投资者保护环境、会计信息可比性与股价信息含量[J]. , 2019, 31(1): 206-220.
[7]	伊志宏, 申丹琳, 江轩宇. 基金股权关联分析师损害了股票市场信息效率吗——基于股价同步性的经验证据[J]. , 2018, 30(8): 3-15.
[8]	王铁男, 王宇. 信息技术投资、CEO过度自信与公司绩效[J]. , 2017, 29(1): 70-81.
[9]	邓路, 徐睿阳, 谷宇, 廖明情. 管理者过度自信、海外收购及其经济后果——基于“兖州煤业”的案例研究[J]. , 2016, 28(11): 252-263.
[10]	韩小花1 吴海燕1 张毕西1 浦徐进2. 基于多种实际决策行为的闭环供应链定价模型[J]. , 2015, 27(2): 187-.
[11]	叶建华. 公司不确定性、投资者过度自信与资产增长异象[J]. , 2014, 26(12): 189-.