Institutional Ownership, Investor Sentiment and Accrual Anomaly

Abstract

Abstract:

Taking the listed companies in China from 2007 to 2011 as a sample, this paper examines the influences of investor sentiment on the accrual anomaly using the behavioral finance theory. Results indicate that the magnitude of mispricing of the accruals is relatively high (low) during periods of high (low) sentiment. Further research shows that the impacts of institutional overall ownership on the rela-tionship between investor sentiment and the accrual anomaly differ at different time windows, institutional overall ownership strengthens the positive impacts of investor sentiment on the accrual anomaly in the short run, but alleviates the positive impacts of investor sentiment on the accrual anomaly in the long run. Different kind of institutional ownership has different impact on the relationship between investor sentiment and the accrual anomaly.

Key words: accrual anomaly, investor sentiment, institutional ownership, pricing efficiency

Lu Ping, Yao Haixin. Institutional Ownership, Investor Sentiment and Accrual Anomaly[J]. , 2016, 28(11): 3-15.

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