投资者情绪与股价崩盘风险--基于企业过度投资的中介效应

Research on the Influence of Investor Sentiment on Stock Price Crash Risk——Based on the Mesomeric Effect of Excessive Investment by Ent erprises

投资者情绪的高涨或低迷会使股票偏离其内在价值,对企业的投资行为造成影响.反过来,企业的过度投资也会加剧个股未来崩盘的可能性.企业的过度投资在其中发挥怎样的作用?投资者情绪是否正向作用于个股未来崩盘的风险?这是值得思考的问题.文章以2004-2018年A股上市公司为样本,从企业过度投资的中介效应角度考察投资者情绪对股价崩盘风险的作用机制.研究发现:1)投资者情绪与股价崩盘风险正相关.投资者情绪越高涨,未来股价崩盘风险越大.2)企业的过度投资水平在投资者情绪到股价崩盘风险的传导过程中发挥着部分中介作用.投资者情绪越高涨,企业过度投资水平就越高,未来股价崩盘风险越大.文章对引导投资者理性投资、加强公司治理、抑制实体经济过热投资及保持宏观经济稳定运行具有理论和现实意义.

The buoyant or depressed investor sentiment not only leads the stock price diverge from its intrinsic value,but also affects the investment behavior of enterprises.The excessive investment of the corporations could increase the possibility of stock market crash in the future.What role does a company's over-investment play in this process and whether investor sentiment is positively related to the stoc market crash risk?This has been a question worth considering.Using a sample of Chinese A-share companied during the period of 2004-2008,a recursive model is used to examine the mechanism of investor sentiment impacting on the stock price collapse risk,from the perspective of the intermediary effect about enterprises5 overinvestment.The results illustrate that:1)Investor sentiment is positively correlated with stock price crash risk.The higher the investor sentiment,the greater the risk of the stock price crash in the future.2)The level of over-investment of enterprises plays a partial intermediary role in the transmission process from investor sentiment to stock price risk.The higher the investor sentiment,the higher the level of overinvestment,and the greater the risk of future stock price crash.The conclusions of this paper could enrich the research on investor sentiment,stock price collapse risk and corporations'investment,which has practical guiding significance on how to lead investors1 rational investment,restrain the overheated investment of the real economy,strengthen corporate governance,reduce the risk of stock price crash and promote the healthy development of financial market.