投资者情绪、经理激励契约与企业投资

本文基于中国上市公司经理激励契约安排的制度背景,把经理激励契约纳入投资者非理性分析框架,就投资者情绪与经理激励契约如何相互作用影响企业投资进行了理论分析,并进行了实证检验。结果发现,高管持股会诱发高管利用投机的股市进行过度投资,而与股价弱相关的货币薪酬没有这种作用,而且经理薪酬的这种作用因企业实际控制人性质不同而有所差异。本研究表明高管持股在企业投资决策中具有负面的公司治理效应。     

投资者情绪对市场风险价格影响

本文利用我国证券市场统计数据研究了个体和机构投资者情绪对风险市场价格（MPR）的影响,实证结果证明了市场对波动的反应是异质性的,并且受投资者情绪变化的影响。具体来看,将投资者情绪分解成理性和非理性成分后,非理性乐观情绪的增加将导致MPR明显的下降,但理性情绪的变动不会对MPR有明显的影响。这意味着当市场投资者情绪是由基础价值变化来决定的时候,市场风险价格不会发生变化。进一步的VAR脉冲响应函数分析结果显示,非理性的乐观或悲观情绪并不受理性情绪波动的影响,这意味着非理性情绪不是由基础风险因素决定的。     

How does the executive pay gap influence audit fees? The roles of R&D investment and institutional ownership

Using a sample of US firms from 2003–2014, this study examines how the executive pay gap affects audit fees for firms with different levels of R&D investment and institutional ownership. Consistent with managerial power theory, we find that the executive pay gap is positively associated with audit fees, and that the positive association is attenuated by intense R&D investment and higher institutional ownership. We also find that the executive pay gap more strongly affects audit fees after the passage of the 2010 Dodd–Frank Act and the PCAOB's 2012 call to identify the audit risk related to executive incentive compensation. Additional analyses show that the moderating effects of R&D investment and institutional ownership on the pay gap–audit fees association are not conditional on auditor tenure, but the moderating effect of institutional ownership is stronger for firms hiring specialist auditors. Collectively, our findings suggest that auditors consider the business context, such as innovation initiative and external monitoring, when assessing audit risk related to the executive pay gap.     

The Impact of Corporate Governance on Executive Compensation

This paper examines the relationship between the compensation of the top five executives at a set of over 400 publicly listed Canadian firms and various internal and external corporate governance‐related factors. The media is full of stories suggesting a relationship between large executive compensation packages and failures in governance at various levels within organisations, but there exists little formal analysis of many of these relationships. Our analysis provides empirical evidence supporting some of these assertions, refuting others and documenting new relationships. We find that variances in internal governance related to differences across firms in the characteristics of the CEO, compensation committee and board of directors do influence both the level and composition of executive compensation, especially for the CEO. Considering external measures of corporate governance, we find that different types of shareholders and competitive environments impact executive compensation. We do not find that either the internal or external governance characteristics dominate.     

The 52-week high,momentum, and investor sentiment

This paper examines the link between the profitability of the 52-week high momentum strategy and investor sentiment. We hypothesize that investors' investment decisions are subject to behavioral biases when the level of investor sentiment is high, resulting in higher profits for the 52-week high momentum following high-sentiment periods. Our empirical results confirm this prediction. In addition, we find that the significant profit of the 52-week high momentum following high-sentiment periods persists up to five years. Further investigations show that the strong persistence of the 52-week high winners (losers) is concentrated in stocks with higher (lower) earnings surprises, especially during periods following high sentiment. Overall, our results provide supportive evidence for the anchoring biases in explaining the 52-week high momentum, especially when the role of investor sentiment is taken into account.     

Intraday online investor sentiment and return patterns in the U.S. stock market

We implement a novel approach to derive investor sentiment from messages posted on social media before we explore the relation between online investor sentiment and intraday stock returns. Using an extensive dataset of messages posted on the microblogging platform StockTwits, we construct a lexicon of words used by online investors when they share opinions and ideas about the bullishness or the bearishness of the stock market. We demonstrate that a transparent and replicable approach significantly outperforms standard dictionary-based methods used in the literature while remaining competitive with more complex machine learning algorithms. Aggregating individual message sentiment at half-hour intervals, we provide empirical evidence that online investor sentiment helps forecast intraday stock index returns. After controlling for past market returns, we find that the first half-hour change in investor sentiment predicts the last half-hour S&P 500 index ETF return. Examining users’ self-reported investment approach, holding period and experience level, we find that the intraday sentiment effect is driven by the shift in the sentiment of novice traders. Overall, our results provide direct empirical evidence of sentiment-driven noise trading at the intraday level.     

The second moment matters! Cross-sectional dispersion of firm valuations and expected returns

Behavioral theories predict that firm valuation dispersion in the cross-section (“dispersion”) measures aggregate overpricing caused by investor overconfidence and should be negatively related to expected aggregate returns. This paper develops and tests these hypotheses. Consistent with the model predictions, I find that measures of dispersion are positively related to aggregate valuations, trading volume, idiosyncratic volatility, past market returns, and current and future investor sentiment indexes. Dispersion is a strong negative predictor of subsequent short- and long-term market excess returns. Market beta is positively related to stock returns when the beginning-of-period dispersion is low and this relationship reverses when initial dispersion is high. A simple forecast model based on dispersion significantly outperforms a naive model based on historical equity premium in out-of-sample tests and the predictability is stronger in economic downturns.     

投资者情绪是导致我国投资者对市场信息出现反应偏差的原因吗：基于贝叶斯分位数回归模型的研究

本文使用贝叶斯分位数回归模型实证分析包含投资者情绪的投资者最优选择模型,结果表明：投资者情绪对于股票收益率存在非线性的正向影响,这是造成投资者对于市场信息出现反应偏差的一个重要原因.同时,市场信息和投资者情绪指标对于我国股票收益率都有着较大的影响作用;当股票出现不同涨跌幅时,市场信息对于股票收益率的影响有着较大的差异性.而考虑了投资者情绪指标之后,投资者对于市场信息的反应偏差明显减小,说明投资者情绪是造成我国投资者对于市场信息出现过度反应和反应不足的重要原因.我国投资者应该树立起良好的投资意识和心态,避免潜在的投资损失.     

Returns,volatility and investor sentiment: Evidence from European stock markets

In this study, we show that patterns in returns behave as if investors, influenced by their level of optimism, selected stocks according to their volatility. Our goal is to confirm the contribution of behavioral finance while showing that investor sentiment can be profitably used by practitioners. We incorporate volatility in the relationship between investor sentiment and future returns, this is the main originality of our approach. Our methodology consists in comparing returns, volatility and higher-order moments of portfolios managed with investor sentiment against those obtained either with passive (buy and hold) portfolio management or with a minimum variance portfolio. Portfolios managed with investor sentiment have better returns and involve less risk under certain conditions.     

Employee sentiment and stock option compensation

The use of equity-based compensation for rank-and-file employees is a puzzle. We analyze whether the popularity of option compensation may be driven by employee optimism, and show that optimism by itself is insufficient to make option compensation optimal. The crucial insight is that firms compete with financial markets as suppliers of equity to employees and that employees’ access to the equity market restricts firms’ ability to profit from employee optimism. Firms must be able to extract some of the implied rents even though employees can purchase company equity in the financial markets. Such rent extraction becomes feasible if employees prefer the stock options offered by firms to the equity offered by the market, or if the traded equity is overvalued. We provide empirical evidence that firms use broad-based option compensation when boundedly rational employees are likely to be excessively optimistic about company stock, and when employees are likely to strictly prefer options over stock.     

CEO optimism and incentive compensation

I study the effect of chief executive officer (CEO) optimism on CEO compensation. Using data on compensation in US firms, I provide evidence that CEOs whose option exercise behavior and earnings forecasts are indicative of optimistic beliefs receive smaller stock option grants, fewer bonus payments, and less total compensation than their peers. These findings add to our understanding of the interplay between managerial biases and remuneration and show how sophisticated principals can take advantage of optimistic agents by appropriately adjusting their compensation contracts.     

Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets

This paper extends the standard feedback trading model of Sentana and Wadhwani (1992) by allowing the demand for shares by feedback traders to depend on sentiment. Our empirical analysis of three largest Exchange-Traded Fund (ETF) contracts in the U.S. suggests that there is a significant positive feedback trading in these markets and the intensity of which is generally linked to investor sentiment. Specifically, the level of feedback trading tends to increase when investors are optimistic. In addition, we find that the influence of sentiment on feedback trading varies across market regimes. These results are consistent with the view that feedback trading activity is largely caused by the presence of sentiment-driven noise trading. Overall, the findings are important in understanding the role of sentiment in investment behaviour and market dynamics and are of direct relevance to the regulators and investors in ETF markets.     

Cross-sectional performance and investor sentiment in a multiple risk factor model

Economists have long recognized the importance of information veracity in valuing risky securities. Market participants concerned about the credibility of information measures may require additional compensation to entice them to hold stocks with less transparent information. These same securities are expected to display greater sensitivities to measures of market sentiment. We find that investor sentiment sensitivities increase directly with multiple measures of opacity in the cross-section. Next we examine the extent to which sentiment sensitivities are priced in an asset pricing context. Using the Jha et al. (2009) model of conditional performance evaluation, we find an inverse relation between ex ante known investor sentiment and the marginal performance of opaque stocks. In contrast, translucent stocks exhibit relatively little variability in performance across levels of sentiment.     

THE INFLUENCE OF FIRM‐ AND CEO‐SPECIFIC CHARACTERISTICS ON THE USE OF NONLINEAR DERIVATIVE INSTRUMENTS

We examine why firms use nonlinear derivatives (e.g., options). Our results suggest that option characteristics in investment opportunities and debt, the payoff structure of incentive compensation, and free cash‐flow agency problems influence the firm's choice. Investment opportunities, internally generated cash flow, business risk, and option compensation positively influence the use of nonlinear currency derivatives. Option feature in bonds positively influence the use of nonlinear interest rate derivatives, whereas bonus and stock compensation, and CEO tenure have a negative influence. In sum, nonlinear cash flow characteristics in investment opportunity, debt, and executive compensation all relate positively to nonlinear derivative usage.     

Consumer Confidence and Asset Prices: Some Empirical Evidence

We explore the time-series relationship between investor sentimentand the small-stock premium using consumer confidence as a measureof investor optimism. We estimate the components of consumerconfidence related to economic fundamentals and investor sentiment.After controlling for the time variation of beta, we study thetime-series variation of the pricing error with sentiment. Overthe last 25 years, investor sentiment measured using consumerconfidence forecasts the returns of small stocks and stockswith low institutional ownership in a manner consistent withthe predictions of models based on noise-trader sentiment. Sentimentdoes not appear to forecast time-series variation in the valueand momentum premiums. (JEL G10, G12, G14)     

Investor sentiment and management earnings forecast bias

This study investigates whether investor sentiment is associated with behavioral bias in managers’ annual earnings forecasts that are generally issued early in the year when uncertainty is relatively high. I provide evidence that management earnings forecast optimism increases with investor sentiment. Furthermore, I find that managers’ annual earnings forecasts are more pessimistic during low‐sentiment periods than during normal‐sentiment periods. Since managers lack incentives to further deflate stock prices during a low‐sentiment period, this evidence indicates that sentiment‐related management earnings forecast bias is likely to be unintentional. In addition, I find that the relationship between management earnings forecast bias and investor sentiment is stronger for firms with higher uncertainty, consistent with investor sentiment having a greater influence on management earnings forecasts when uncertainty is higher.     

Dumb money: Mutual fund flows and the cross-section of stock returns

We use mutual fund flows as a measure of individual investor sentiment for different stocks, and find that high sentiment predicts low future returns. Fund flows are dumb money–by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is related to the value effect: high sentiment stocks tend to be growth stocks. High sentiment also is associated with high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand.     

投资者情绪、企业投资行为与资源配置效率

基于中国资本市场的经验数据,文章实证研究了投资者情绪对企业投资行为影响的经济后果。结果发现,投资者情绪与企业过度投资显著正相关,而与投资不足呈显著的负相关关系;投资者情绪的冲击对企业当前和未来绩效的影响表现为"正向影响——负向影响——逐渐消退"的过程。这意味着,在中国资本市场中,投资者情绪对资源配置效率具有"恶化效应"与"校正效应"的两面性,而其"总体效应"表现为资源配置效率的降低。上述研究发现对于深入理解投资者情绪影响对企业投资行为所产生的经济后果具有重要意义,也有助于我们从微观企业的视角反思金融危机对实体经济的影响。     

Managerial power theory, tournament theory, and executive pay in China

In this paper, we test two models of executive pay that have not received much attention in research on Chinese listed companies: managerial power theory and tournament theory. We find that structural power (executive share ownership) and prestige power (executive education) are significantly positively related to executive remuneration, and political power (Executive/Party Secretary duality) positively and weakly related to executive remuneration. We also find that executive directors' organization level (as reflected in executive pay level for each of the three highest paid executives) is positively related to executive remuneration and the relationship is convex, and negatively related to the interaction between executive directors' organization level and government ownership. Tournament prize (executive pay) is not related to the number of contestants in the tournament and is negatively related to the interaction term between number of contestants and government ownership. Finally, earnings per share (EPS) as a measure of firm performance is positively related to the pay gap between contestants and negatively related to the interaction term between pay gap and government ownership. We explore the implications of these findings for reforming corporate governance in China.     

IPO first‐day returns: Skewness preference,investor sentiment and uncertainty underlying factors

In this paper, we investigate the initial public offering (IPO) first-day returns. Our focus is to examine the irrational component of the agent behavior towards IPO lotteries. Based on 234 French IPOs performed between 2002 and 2012, we find that IPOs with high initial returns have higher idiosyncratic skewness, turnover and momentum. This finding provides empirical evidence for investors' preference for stocks with lottery-like features and investor sentiment. In addition, we show that the skewness preference and the investor sentiment effect are stronger during periods of favorable market conditions. Our results are robust to the integration of uncertainty underlying factors.