个股人气对投资者信息解读效率的影响研究

Influence Research of Individual Stock Popularity on Investors' Interpretation Efficiency of Information

在广义虚拟经济视角下,人的心理作用也可以创造时间寻租价值。本文用个股人气来体现股市的心理作用,选取了2007年1月到2011年12月A股上市公司每股收益的季度数据作为研究样本,以信息披露前30天的平均换手率作为个股人气的代理变量,实证研究了个股人气对投资者信息解读效率的影响。结果表明,人气越高的个股,投资者对其披露信息的即时解读效率越高,证明了个股人气会影响资本市场信息传播和解读的效率。

In the generalized virtual economy perspective, the psychological effects can also create time rent-seeking value. In this paper, we use popularity of individual to reflect the psychological effect.This pa-per chooses quarterly earnings announcements data of A shares from January, 2007 to December, 2011 as sample, and it empirically examines the impact of individual stock popularity on the investors’ interpretation efifciency of listed ifrms’ information, with the average turnover rate of 30 days before announcement date as a proxy for popularity of individual stocks. The results show that the information interpretation efifciency is higher for firms with higher popularity. This reveals that popularity of individual stock really affects the ef-ifciency of information dissemination and interpretation.