投资者非理性偏好与公司迎合——来自投资者情绪与上市公司股票送转的经验证据

Investors’Irrational Preference and Corporate Catering:Evidence from Sentiment-driven Stock Splits

本文以上市公司面对投资者情绪时的股票送转为研究情境,通过捕捉公司择时管理名义股价以迎合低价股非理性偏好的现象,为公司迎合投资者非理性偏好的理论议题提供了充分的经验证据。本文得到了三个维度的发现:(1)基于名义股价构建的投资组合(买入低价股卖出高价股)的收益率显著正相关于投资者情绪,说明在投资者情绪的推动下,投资者对低价股的非理性偏好能够产生显著的价格效应。(2)公司迎合行为与投资者非理性偏好之间存在同步性,即当投资者情绪高涨时,公司进行股票送转的倾向性更高。而且股票的名义价格越高,投资者情绪与股票送转行为之间的正相关关系越强。(3)当内部人有强烈的股价诉求时,公司在投资者情绪高涨时通过股票送转管理名义股价的行为更为明显。总而言之,本文的发现表明公司在面对高涨的投资者情绪时,通过股票送转行为管理名义股价,以迎合投资者对低价股的非理性偏好。

This paper utilizes firms’stock splits driven by sentiment as the research setting to provide sufficient evidence on“investors’irrational preference and corporate catering”.Specifically,we obtain threefold evidence:(1)Portfolio returns of longing low price stocks and shorting high price stocks are significantly and positively associated with sentiment,indicating that irrational preference of low-price stocks has significant price impact;(2)The propensity of stock splits is higher when investor sentiment is higher,and the association is stronger when the pre-split price is higher;(3)The market timing association between irrational preference and stock splits becomes stronger when insiders have strong incentives to boost stock price.Overall,our evidence illustrates that firms will conduct market timing stock splits to cater to investors’irrational preference for low price stocks.