本文選題：投資者情緒 + 企業(yè)投資行為　； 參考：《華東交通大學》2014年碩士論文

【摘要】：2008年金融危機對實體經(jīng)濟的影響雖然漸漸淡去，但中國證券市場卻依然投機之風盛行，非理性情緒嚴重泛濫。從投資者角度，投資者的盲目跟風和投機理念抑制了我國合理有序的投資氛圍和投資環(huán)境的形成；從企業(yè)角度，管理者迎合投資者情緒的過度投資傾向日漸嚴重，甚至威脅著中小股東的切身利益。本文的研究將對于投資者理性投資、企業(yè)管理者合理審慎投資項目有一定的參考。 本文選取2008年—2012年滬深A股上市公司中的774家企業(yè)作為研究樣本，采用實證研究的方法研究投資者情緒、企業(yè)投資行為及其市場反應(yīng)三者之間的關(guān)系。文章首先對投資者情緒和企業(yè)投資行為之間的關(guān)系進行實證檢驗，作為將企業(yè)與股市銜接的重要一步，接下來對企業(yè)投資行為與滯后一期的市場反應(yīng)之間的關(guān)系進行實證檢驗，最后，作為股市層面的研究，也為了進一步檢驗投資者情緒在股市層面的市場反應(yīng)，文章又對投資者情緒影響股票收益率的結(jié)果進行了實證檢驗。 論文的研究結(jié)論為：（1）投資者情緒與企業(yè)投資行為之間存在著顯著的正相關(guān)關(guān)系，上市公司在投資者情緒高漲時期進行大規(guī)模投資，投資者情緒對于企業(yè)的投資水平具有推動作用；（2）企業(yè)投資水平與滯后一期的股票收益率存在著顯著的負相關(guān)關(guān)系，也就是說我國上市公司投資水平的增長在股市層面帶來的市場反應(yīng)將是低水平的股票收益率，企業(yè)投資水平對股票收益率有著負向的預測能力；（3）投資者情緒影響股票收益的回歸結(jié)果表明了二者之間呈顯著的負相關(guān)，，從而印證了投資者情緒的高漲促進了企業(yè)投資水平的提高，進而導致了股市上的負面反應(yīng)和較低的個股收益率。 本文的創(chuàng)新之處體現(xiàn)兩個方面：一是本文結(jié)合之前文獻中企業(yè)層面和股市層面研究成果，實現(xiàn)投資者情緒到企業(yè)投資行為再到公司股票收益率的分析鏈條上的完整性。二是本文的實證檢驗結(jié)果表明企業(yè)的投資行為對公司股票回報率有著負向的預測能力，為行為財務(wù)角度去研究企業(yè)投資行為導致的股票市場反應(yīng)提供更多的借鑒。
[Abstract]:Although the impact of the 2008 financial crisis on the real economy is fading, China's securities market is still in the vogue of speculation and irrational sentiment is rampant. From the point of view of investors, the blind follow and speculative ideas of investors have restrained the formation of a reasonable and orderly investment atmosphere and investment environment in China, and from the enterprise perspective, the overinvestment tendency of managers to cater to investor sentiment is becoming increasingly serious. Even threaten the vital interests of small and medium shareholders. The research in this paper will be a reference for investors' rational investment and enterprise managers' reasonable and prudent investment projects. In this paper, 774 companies in Shanghai and Shenzhen A-share listed companies from 2008 to 2012 are selected as research samples, and the relationship among investor sentiment, corporate investment behavior and market reaction is studied by using empirical research method. Firstly, the paper makes an empirical test on the relationship between investor sentiment and enterprise investment behavior, as an important step to link the enterprise with the stock market, and then makes an empirical test on the relationship between the enterprise investment behavior and the delayed market reaction. Finally, as a stock market level research, in order to further test the market reaction of investor sentiment in the stock market level, the paper also carries on the empirical test to the investor sentiment influence stock yield result. The conclusion of this paper is: (1) there is a significant positive correlation between investor sentiment and enterprise investment behavior, and listed companies invest on a large scale during the period of high investor sentiment. There is a significant negative correlation between the investment level of enterprises and the stock return rate in a lag period. That is to say, the growth of investment level of listed companies in China will bring about a low level of stock returns, and the investment level of enterprises will have a negative ability to predict the stock returns. 3) the regression results of investor sentiment influencing stock returns show that there is a significant negative correlation between them, which proves that the upsurge of investor sentiment promotes the improvement of enterprise investment level. This in turn led to negative reactions on the stock market and lower returns on individual stocks. The innovation of this paper embodies two aspects: first, this paper combines the research results of enterprise level and stock market level in previous literature to realize the integrality of investor sentiment to enterprise investment behavior and then to the analysis chain of company stock return rate. Second, the empirical results of this paper show that the investment behavior of enterprises has a negative predictive ability to the stock return rate, which provides more reference for the study of the stock market reaction caused by the corporate investment behavior from the behavioral and financial point of view.
【學位授予單位】：華東交通大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275

【參考文獻】

相關(guān)期刊論文 前1條

1 劉端;陳收;;中國市場管理者短視、投資者情緒與公司投資行為扭曲研究[J];中國管理科學;2006年02期

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