摘要
基于散户投资者面对信息冲击时的错误反应,检验利好信息冲击对股票未来特质风险的影响及其潜在机制。研究发现,利好信息冲击会加剧股票未来的特质风险,且散户投资者的情绪和行为在其中起到传导作用。进一步分析结果认为,放松股票的卖空限制和实施互联网约束政策能弱化利好信息冲击对股票特质风险的加剧效应;在牛市或市场波动较小的状态下,上市年限较长、国有、大市值、博彩型和信息披露质量较差的公司中,二者之间的正向关系表现得更为强烈。因此,市场监管者应加强对发生利好信息冲击的个股的监控,完善相关市场机制,加强对散户投资者的引导和教育,从而促进市场稳定有序地发展。
Based on the wrong response of retail investors to information shocks,this paper examines the impact of individual stocks’positive information shock on their future idiosyncratic risk and underlying mechanisms between them.The results show that positive information shock on individual stocks can aggravate their idiosyncratic risk in the future,in which retail investors’sentiment and trading behaviors play a transmission role.Further discussion illustrates that the easing of short-sale constraints and the implementation of Internet constraint policy can weaken the aggravating effect.And among long-listed,state-owned,large-cap,gambling and poor disclosure quality stocks,and in the bull or less-volatile market,the positive impact is stronger.Therefore,market regulators should strengthen the supervision of individual stocks with positive information shock,improve the relevant market mechanism and strengthen the guidance and education for retail investors so as to promote the stable and orderly development of stock market.
作者
王春峰
吴颐瑶
房振明
WANG Chunfeng;WU Yiyao;FANG Zhenming(College of Management and Economics,Tianjin University,Tianjin 300072,China;Research Center of Financial Engineering,Tianjin University,Tianjin 300072,China)
出处
《经济与管理评论》
CSSCI
北大核心
2021年第2期114-126,共13页
Review of Economy and Management
基金
国家自然科学基金项目“泡沫演变过程中的资产价格行为与投资组合管理研究”(71671122)。
关键词
信息冲击
特质风险
散户投资者
中介效应检验
information shock
idiosyncratic risk
retail investors
mediating effect test
