内部控制、投资者情绪与盈余反应

Internal Control,Investor Sentiment and Stock Market Responses to Earnings News

本文以2007年-2011年中国A股上市公司为样本,研究内部控制是否有助于抑制投资者情绪对盈余反应的影响。研究表明:低内控质量公司盈余消息的反应系数更容易受到投资者情绪的影响,高涨(低落)的投资者情绪提升了盈余好消息(坏消息)的反应系数。而高内控质量公司受投资者情绪的影响截然相反,高涨(低落)的投资者情绪降低了盈余好消息(坏消息)的反应系数,这说明高质量的内部控制不仅能够抑制投资者情绪对反应系数的提升作用,而且具有安全港湾效应。进一步分析发现,小规模和非中央控股企业的内部控制质量显著存在上述效应,而大规模和中央控股企业无论内部控制质量高还是低,其盈余消息的反应系数均不受投资者情绪影响。

Using data on Chinese A-share listed companies from 2007 to 2011, we study whether internal control helps to inhibit the impact of investor sentiment on stock market response to earnings news. We find that for companies with low internal control quality, stock market responses to earnings news are more likely to be influenced by investor sentiment, with high （low） investor sentiment increasing earnings response coefficients of good （bad） news. However, for companies with high internal control quality, the impact of investor sentiment on earnings response coefficients is in the opposite direction, with high （low） investor sentiment decreasing earnings response coefficients of good （bad） news. These results show that high internal control quality not only can inhibit the improvement effect of investor sentiment on earnings response coefficients, but also has a safe harbor effect. In addition, we find that the above phenomenon is more evident for small companies and non-state owned companies. In contrast, earnings response coefficients are not influenced by investor sentiment in either large companies or state owned companies.