新产品公告与股票投资者反应——基于Bass模型的投资者行为模型

New Product Announcements and Stock Investor Reactions:A Behavioral Model Based on Bass Model

上市公司发布的新产品公告往往被投资者看作是股票市场波动的重要信号,然而现有研究对于新产品公告的投资者反应的研究还较为匮乏,对投资者反应模型的研究更为少见。本文在深入研究新产品公告在股票市场中的扩散过程的基础上,分析了不同类型投资者对新产品公告的反应规律和行为特征,并且在Bass模型的基础上对这一反应过程进行了数学建模分析,构建了股票投资者对新产品公告反应的行为模型。在构建模型后,我们利用数值仿真实验探究了信息投资系数、模仿投资系数以及投资者情绪等模型关键变量对投资者反应的影响,并利用20家在2011年1月至2015年12月间发布新产品公告的公司为实证算例,检验了该模型对投资者反应的拟合效果。数值仿真实验以及实证算例分析证明该模型对新产品公告发布后的股票投资者反应具有较好地拟合与预测效果。本研究对更加深入、准确地探究股票投资者对新产品公告的反应机理和动态过程具有一定的推进意义,并可为股票投资者以及上市公司管理者提供决策参考。

New product announcement is frequently regarded by stock investors as a signal foretelling stock price swings. However,existing researches focus mainly on the product marketing and customers’ reactions to new products,with little attention to the stock market reactions. By paying attention to the diffusion process of NPA on the stock market,this paper investigates the underlying characteristics of different kinds of investors’ reaction to NPA. Based on the Bass model,this study builds a behavioral model of stock investors’ reaction to new product announcements. Some numerical experimentations of the model are highlighted to test the relationship between some primary parameters and the investor reactions. In order to test the model,empirical tests are developed using daily time series data for 20 Chinese listed firms over the period from January 2011 to December 2015. The results illustrate that our model is in good agreement with the current economic data. In several ways,this paper contributes to the growing theoretical literature on the stock market reactions to new product announcements and gives some decision-making reference to the stock investors and the firm managers.