投资者异质后验信念对股票价格影响的实证研究

张荣武; 曾维新

投资者异质后验信念对股票价格影响的实证研究

引用本文：张荣武，曾维新.投资者异质后验信念对股票价格影响的实证研究[J].财经理论与实践,2013,(3):53-58

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作者	单位
张荣武，曾维新	（广东商学院会计学院，广东广州510320）

中文摘要:过度自信程度不同的投资者因消息确认精度差异引起意见分歧，产生异质后验信念，导致投资者对股价高估或者低估。在此基础上，以盈余公告信息作为利好或利空消息，研究不同环境下异质后验信念对我国股票价格的影响。实证结果表明：不管在牛市还是在熊市环境下，异质后验信念均会对股价产生影响，当盈余公告为利好消息时，异质后验信念程度越高，当期股价被高估的程度越显著；当盈余公告为利空消息时，异质后验信念程度越高，当期股价被低估的程度越显著。此外，在盈余公告前投资者就对盈余消息作出了反映，但对好消息与坏消息的反映程度不同。

中文关键词:异质后验信念过度自信股票价格

An Empirical Study on the Effect of Investors' Heterogeneous Beliefs on Stock Prices

Abstract:Because of the different accuracy of information confirmation, investors who have different degrees of overconfidence may have different opinions, thus produce heterogeneous beliefs, which will lead investors to undervalue or overvalue stock prices. On this basis, this paper regards the earnings announcement information as positive or negative news, and studies the influence on stock prices of heterogeneous beliefs under variable circumstances in China. The empirical results show that: no matter in a bull market or in a bear market, share prices will be overvalued or undervalued due to heterogeneous beliefs. That is to say, when the earnings announcement turns out to be good news, the overvalued degree of current share prices will become more notable with the higher level of heterogeneous beliefs; On the contrary, when earnings announcement appears to be bad news, the undervalued degree will become more significant. In addition, this study also finds out that investors have reacted before surplus announcement, but the reaction to good and bad news is not symmetrical.

keywords:Heterogeneous beliefs Overconfidence Stock price

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