投资者异质信念、盈余持续性指标与股票价格周期性波动

摘要

The sustainability of earnings is an important content of accounting information of listed companies and is one of the judge basis of stock pricing of listed companies for investors.With the development of securities market in our country,heterogeneous beliefs is becoming more and more practical significance.Including the factor of heterogeneous beliefs,this paper chose a-share companies listed on the Shanghai and Shenzhen stock exchange from 2007 to 2015 as research object to analyze the correlation between stock price and the sustainability of earnings.The study found that higher sustainability of accounting earnings has positive significance on the stock pricing which indicated that our Chinese securities market can differentiate the different types of earnings according to the sustainability.The factors of heterogeneous beliefs have significant positive influence on the stock price while the heterogeneous beliefs have negative influence on earning information'pricing.Also,heterogeneous beliefs have different influence on stock prices between bull and bear market.%近年来,投资者异质信念成为行为金融学研究的重要领域之一,基于Ohlson股票定价模型,本文引入投资者异质信念角度,选取我国沪深A股上市公司作为研究对象,对投资者异质信念和盈余指标对股票价格的影响做了研究,并分析在不同股市周期中的差异影响.研究发现:投资者异质信念分歧度与股票价格之间具有显著的正相关关系,投资者异质信念分歧对持续性较高的盈余指标的定价作用有所异质,并且投资者异质信念分歧度在不同的股市周期中对股票价格的影响力存在差异.