过度自信、分析师跟进与资本市场定价效率——基于R^2视角的实证研究

Overconfidence,Analyst Coverage and Capital Market Pricing Efficiency——An Empirical Study Based on R^2

本文利用2008-2014年A股上市公司数据,研究投资者过度自信对股价同步性的作用,并考察分析师跟进对两者关系的影响。研究发现:投资者过度自信程度与R^2显著负相关,即随着投资者过度自信程度的增加,R^2降低;分析师跟进对投资者过度自信对R^2的降低具有调节作用。这表明R^2显著受到非理性因素的影响,同时也受到公司特质信息融入的影响。本文结论从投资者过度自信角度为R^2的解释提供新的实证证据。

This paper examines the effect of investor overconfidence on stock price synchronicity, and the influence of analyst coverage on the relationship between them. Based on the data of Chinese listed companies from 2008 to 2014, we find a significantly negative rela- tionship between R-square and the degree of investor overconfidence. The negative relationship declines as analyst coverage increases. Our evidence suggests that both irrational factor and firm-specific information have significant impacts on stock price synchronicity. From the persoective of investor overconfidence, our study provides new empirical evidence regarding the nature of R-square.