证券市场导报Issue(8)：49-56,8.
盈余管理、投资者情绪与股价“同涨同跌”
摘要
Abstract
Do earnings management of listed companies and investor sentiment affect the stock price synchronicity？ Will the information efficiency of the securities market be thereby affected？ Using from asset pricing regression as measure of stock price synchronicity, based on 2002-2010 samples of listed firms and data of stock market in China, the paper examines the impacts of earnings management and investor sentiment on stock price synchronicity at different market uncertainty conditions. The finding indicates that earnings management lowers stock price synchronicity and fluctuations in investor sentiment make stock price synchronicity rise, however, both of them enhance ＂momentum＂ or ＂reversal＂ effect, which means declining of the information efficiency of market. Therefore, this paper suggests that stock price synchronicity cannot be simply used to measure information efficiency of stock market, and a new interpretation based on asymmetric information and psychological factors is needed.关键词
股价同步性/盈余管理/投资者情绪/市场不确定性Key words
stock price synchronicity/earnings management/investor sentiment/market uncertainty分类
管理科学引用本文复制引用
夏芳..盈余管理、投资者情绪与股价“同涨同跌”[J].证券市场导报,2012,(8):49-56,8.基金项目
广东省教育厅广东高校优秀青年创新人才培育项目《公司不确定性特征与股价同步性--在异质信念和卖空限制框架下的研究》 （）
