投资者根据企业好坏进行投资决策吗?——来自中国股票市场的证据

Do Investors Make Decisions Based on Firm Quality?——Evidence from Chinese Stock Market

投资者是否根据企业好坏进行投资决策?通过构建投资决策指标,我们建立了投资决策和企业优劣的关联模型,并进行了稳健性检验,利用2001~2011年的A股上市公司数据,进行面板数据估计。结果表明,投资者的决策受到企业收益优劣和市场风险的影响,但投资者并不关心企业经营风险和价格是否被低估,小公司效应在文中没有得到支持。

This article test if Chinese investors' decision is based on firm quality with panel data of A-share listed companies from 2001 to 2011.The results show that Chinese investors do care about corporate earnings and market risks,but they are unacted on business risks and underpricing of shares.The test shows no evidence of small company effect.