会计信息对机构投资者羊群行为的影响研究

The Impact of Accounting Information on Herding of Institutional Investors

我国机构投资者的发展时间较短,投资理念不成熟,在证券市场上的投机性比较明显。伴随着机构投资者规模的不断壮大,他们的一些非理性行为往往加剧了市场的波动,影响了市场的稳定性。本文从我国会计准则变迁及会计信息质量的角度探讨了其对机构投资者"羊群行为"的影响,应用经典LSV方法对2004—2011年间我国封闭式基金的投资组合数据进行检验。研究结果表明,会计信息质量对封闭式基金的羊群行为具有显著影响;在新会计准则执行前,上市公司较高的会计信息透明度会提高机构投资者的羊群效应,在新会计准则执行后,上市公司较高的会计信息透明度会降低机构投资者的羊群效应。

Most of the institutional investors of our country haven＇ t form mature investment idea because of their short development, so that they may act as speculators in the stock market sometime. Due to the institutional investors are getting enlarged, their irrational behavior may exacerbate volatility and affect the stability of the stock market. This paper pays attention on the impact of the new Accounting Standard and accounting information on herding of institutional investors. We apply LSVto study the portfolio of the closed-end fund between 2004-2011, and find that the accounting information has significant impact on herding of the closed-end fund. Before the new Accounting Standard was carried out, more accounting information would exacerbate institutional investors＇ herding; After the new Accounting Standard was carried out, more accounting information would mitigate institutional investors＇ herding.