投资者情绪、公司信息透明度与股市极大日收益率效应——基于中国A股市场的经验证据

Investor sentiment, Firm Transparency and Maxing Out Effect in Stock Market——Evidence from Chinese Stock Market

近年研究发现,在多国股市中,本月个股最大日收益率能显著负向预测下月个股异常收益,该资产定价异象被称为极大日收益率效应。多篇文献认为投资者偏好极端收益率是该效应的成因。本文认为受投资者情绪及公司信息透明度影响的投资者认知偏差可解释中国A股市场中的极大日收益率效应,并证明市场情绪高涨期,低信息透明度公司股票中该效应最明显。该研究丰富了极大日收益率效应存在性及其成因的研究,对公司及监管实践均有启示意义。

Researchers found that max daily stock return of the current month can predict abnormal stock return of the next month in American stock market, the phenomenon was called maxing out anomaly, which cannot be explained by efficient capi- tal market theory. Subsequent studies proved that this anomaly widely exists in other stock markets outside American, and con- clude that investor cognitive bias can explain this anomaly. Based on Chinese stock market characteristics, this paper investi- gate the existence and causes of this anomaly in Chinese stock market using Empirical Research method, we find that：（1） this anomaly exists in Chinese stock market;（2）investor cognitive bias, which was affect by stock market sentiment and finn trans- parency, can explain this anomaly;（3）firm transparency can ease the strength and significance of this anomaly, and this anomaly is less obvious when stock market sentiment is low. This research enrich the researches on maxing out effect and prove some implications on practices