高质量的会计信息促进了投资者理性投资吗?

Does High Quality of Accounting Information Improve Rational Investment?

本文基于盈余透明度的会计信息质量度量方法及贝克和伍格勒(Baker&Wurgler)投资者情绪指数构建方法,以2002—2011年期间中国A股上市公司为样本,探讨了会计信息质量对投资者情绪效应的影响。结果表明,投资者情绪对股票收益有着显著效应,难以估值的股票对投资者情绪较为敏感,会计信息质量的提高能减弱这类股票的投资者情绪效应,促进投资者理性投资。从作用机制来看,机构投资者对难以估值的股票在投资者情绪悲观时期具有高质量会计信息选择倾向,股票分析师也倾向于给这类股票更为乐观的评级,因此会计信息质量能够通过机构投资者持股比例变动和股票分析师评级来影响悲观时期的投资者情绪效应。

Based on accounting information quality measured by earnings transparency and the investor sentiment index constructed by Baker-Wurgler method,this paper uses the sample of Chinese A-share listed companies from 2002 to2011 to investigate the influence of accounting information quality on the effect of investor sentiment. The results show that the investor sentiment has a significant effect on the stock returns. The hard-to-value stocks are more sensitive to investor sentiment,and the improvement of accounting information quality can mitigate this effect and promote rational investment.Institutional investors are inclined to choose the hard-to-value stocks of high accounting information quality during the pessimistic periods,and stock analysts are inclined to give this kind of stocks more favorable recommendations. Therefore,accounting information quality can influence the effects of investor sentiment during the pessimistic periods by the mechanism of institutional investors＇ change of stock holding and stock analysts＇ recommendation.