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本文利用2007-2018年中国A股上市公司作为研究样本,基于异常交易行为构建了开盘价操纵识别模型,并利用分时高频数据实现了疑似开盘价操纵行为的监测.基于识别模型侦测的疑似开盘价操纵行为,本文实证检验了开盘价操纵与定价效率之间的关系.研究结果表明:开盘价操纵提升了 日内股价短期收益率的可预测性,降低了定价效率.开盘价操纵吸引了散户投资者的流入,进而降低了定价效率,受操纵股票的散户投资者参与程度越高,定价效率越低.同时,信息不对称程度越高、投资者情绪越高涨、羊群行为越严重,开盘价操纵对定价效率的损害程度越大. 相似文献
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分析师利益冲突、乐观偏差与股价崩盘风险 总被引:9,自引:5,他引:9
"股价崩盘风险"是当前金融危机背景下财务学的一个研究热点。本文使用2003-2010年中国A股上市公司的数据,研究分析师乐观偏差是否影响上市公司股价崩盘风险,并考察分析师面临的"利益冲突"是否会加剧乐观偏差对股价崩盘风险的影响。研究发现:(1)分析师乐观偏差与上市公司未来股价崩盘风险之间显著正相关,且此关系在"牛市"更为显著;(2)机构投资者持股比例越高,机构投资者数量越多,公司存在再融资行为,以及来自前五大佣金收入券商的分析师比例越高,分析师乐观偏差与崩盘风险之间的正向关系就更为显著,说明"利益冲突"会加剧两者的关系。本文的研究对于全面认识分析师在资本市场中的作用,以及如何降低我国股价崩盘风险、促进股市平稳发展具有重要的理论和现实意义。 相似文献
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采用1998年-2004年的A股上市公司作为样本,试图从行为金融的角度出发,立足于反应偏差的研究,对股票股利的股价效应厦反应偏差演变进行研究,包含即对股票股利公告后股价在二级市场的反应以厦从纵向的角度来看,分析反应偏差程度的演变规律。研究发现:对于股票股利公告在公告的当天对股票价格产生显著的正超额收益率,并且对于股票股利公告普遍存在反应偏差,反应偏差度也随着时间的推移逐步明显减小。 相似文献
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对投资者行为偏差的研究一直是市场争论的热点。各种不确定因素存在于现实的证券市场,现代金融理论很难对其做出清楚的解释。文章首先提出投资行为偏差研究的落脚点;接着回顾不同金融理论对投资行为的分析;然后评述国内外关于行为偏差的研究现状;最后展望对投资者行为偏差的未来研究方向。 相似文献
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本文从制度经济学和寻租理论的角度,对股市再融资活动中的股价操纵行为进行研究.研究表明,尽管股改部分改变了我国股权二元结构的现状,但上市公司再融资过程中大股东或者庄家凭借自身的资金和信息优势依然可以进行股价操纵.操纵的成本包括哈伯格三角性和塔洛克四边形.两者的价值是大股东和中小投资者耗费了本应投入到社会生产中的资源,整个过程社会财富一直在减少,并没有增加社会财富.但是从股东角度出发,依然可以获得足额的租金,以弥补耗费的成本. 相似文献
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《经济研究》2017,(8):94-109
本文通过放松Lucas(1978)资本资产定价模型的完全理性假设,构建了投资者的经济基本面认知偏差对证券价格影响的计量模型。当投资者主观认知和市场实际运行机制存在偏差时,该模型能较好地解释诸如消费增长率同股权溢价的相关性、累积超额收益等传统资产定价模型无法量化的诸多中国股市难题。本文还推导出了适用于非理性期望的广义矩估计方法(GMM),克服了现有GMM方法只能在完全理性期望下使用的局限性。基于该方法,本文以中国和美国为例,模拟检验了投资主体的不同认知偏差对股价和债券价格的差异性影响程度。结果显示,中美投资者的主观预期形式并不完全相同。美国投资者对经济基本面信息均值的变化反应较敏感;而中国投资者却对经济基本面波动的变化反应较敏感。该结果从认知偏差角度解释了中国股价长期背离经济基本面的现象,为政府规范股票市场的发展,促进股市服务实体经济提供了政策启示。 相似文献
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夏芳 《技术经济与管理研究》2012,(7):111-116
在传统的投资-现金流敏感性研究基础上,本文运用中国上市公司2003-2008年面板数据,考察了盈余管理造成的股票错误定价对公司投资-现金流敏感性的影响.本文的实证结果表明:当股价处于上升通道中时(即投资者看好投资前景时),公司的投资-现金流敏感性较高,并且融资约束对公司的投资-现金流敏感性影响显著,但盈余操纵导致错误定价对公司投资-现金流敏感性影响不大;股指处于下降通道时,通过盈余操纵导致股价高估的公司,往往无法获得外部股权融资,只体现了更高的稳定股价和投资的意愿,因此,此类公司的投资-现金流敏感性较高.本文运用信息不对称理论,结合投资者情绪和管理者行为分析,对研究结果进行了解释并指出了后续研究的方向. 相似文献
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Desmond Ng 《Technology Analysis & Strategic Management》2013,25(8):946-959
Various empirical studies find that entrepreneurs are systematically overconfident in their venture's probabilistic chances of success. Yet, entrepreneurs often face an ambiguous future that precludes them from making such probabilistic judgements. A theoretical framework based on ambiguity aversion is developed to explain an entrepreneur's overconfidence under complex and novel conditions of ambiguity. Unlike optimistic explanations, this ambiguity-averse form of overconfidence offers a non-probabilistic approach to entrepreneurial judgements of uncertainty. 相似文献
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We perform an experiment in which subjects bid for participating in a vote. The setting precludes conflicts of interests or direct benefits from voting. The theoretical value of participating in the vote is therefore zero if subjects have only instrumental reasons to vote and form correct beliefs. Yet, we find that experimental subjects are willing to pay for the vote and that they do so for instrumental reasons. The observed voting premium in the main treatment is high and can only be accounted for if some subjects either overestimate their pivotality or do not pay attention to pivotality at all. A model of instrumental voting, which assumes that individuals are overconfident and that they overestimate the errors of others, is consistent with results from treatments that make the issue of pivotality salient to experimental subjects. 相似文献
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Barnaby Marsh 《Journal of Bioeconomics》2002,4(1):49-56
Much research has demonstrated ways that humans use heuristics when solving complex problems. Similar claims have occasionally been made for non-human subjects, although the topic remains largely undeveloped. This paper explores ways that non-human subjects might use simple rules to solve complex ecological problems. It is suggested that a focus on the use of heuristics in non-human subjects can enrich choice models in behavioral ecology, while at the same time informing existing models in psychology and economics more generally. 相似文献
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This paper explores the question of whether firms have systematic expectation biases. Using microdata from the West German manufacturing subset of the IFO Business Climate Survey, we infer quarterly production growth rates at the firm level. We then combine this information with production growth expectations over a quarterly horizon to construct quantitative firm-specific expectation errors. Our findings show that at most one-third of our firms systematically over- or underpredict their production growth one-quarter ahead. Our findings further show that larger and exporting firms tend to have more realistic expectations, while firms with higher leverage are more prone to expectations that are biased towards optimism. 相似文献
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从认知的角度来研究创业投资决策是最近出现的一个最重要的研究视角之一。在回顾大量相关领域的理论和实证研究的基础上,本文提出了整体研究模型。最后,本文认为,可以从问题聚焦、技术改进和理论指导几个方面来推动该领域未来的发展。 相似文献
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Regional differences in economic growth have been observed within many countries. Our story emphasises three region-specific factors driving growth—capital, labour and political factors. Conditional on differences in production factor (i.e., labour and capital) variations across democratic states, what role do differences in underlying “political factors” across regions play in accounting for regional growth disparities? We build a political economy model of endogenous growth where regions have the same political institutions, but experience different (and estimable) distributions over voter political biases (i.e., our “political factors”). In our model, political factors affect regional productivity as a consequence of politico-economic equilibrium. We discipline our regional growth accounting exercises by calibrating/estimating each model to American state-level economic and political-survey data. We show that the capital factor is the predominant driving force behind growth in American states. Nevertheless, regional variations in distributions of voter's political biases also account a great deal for regional growth disparities. We also evaluate how much politics would have distorted agents' welfare and regional growth, were regional economies given the opportunity to live under an efficient social planner's allocation system; and, if agents were to live under the same democratic system but where all voters have equal voting influence. 相似文献
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The excessive volatility of prices in financial markets is one of the most pressing puzzles in social science. It has led many to question economic theory, which attributes beneficial effects to markets in the allocation of risks and the aggregation of information. In exploring its causes, we investigated to what extent excessive volatility can be observed at the individual level. Economists claim that securities prices are forecasts of future outcomes. Here, we report on a simple experiment in which participants were rewarded to make the most accurate possible forecast of a canonical financial time series. We discovered excessive volatility in individual-level forecasts, paralleling the finding at the market level. Assuming that participants updated their beliefs based on reinforcement learning, we show that excess volatility emerged because of a combination of three factors. First, we found that submitted forecasts were noisy perturbations of participants’ revealed beliefs. Second, beliefs were updated using a prediction error based on submitted forecast rather than revealed past beliefs. Third, in updating beliefs, participants maladaptively decreased learning speed with prediction risk. Our results reveal formerly undocumented features in individual-level forecasting that may be critical to understand the inherent instability of financial markets and inform regulatory policy. 相似文献
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Peter E. Earl 《Review of Political Economy》2013,25(2):107-125
ABSTRACTThis paper provides an overview of Richard Thaler’s career and the contributions to behavioural economics that earned him the 2017 Nobel Memorial Prize in Economic Sciences. It focuses on his role in exposing and making sense of empirical anomalies in orthodox economics, his analysis of mental accounting, and his work with Cass Sunstein on the notion of libertarian paternalism and the ‘nudge’-based behavioural approach to economic policy. It then considers his contributions critically and explores how, unlike previous behavioural economics, Thaler succeeded in getting his new approach to behavioural economics accepted by mainstream economists. 相似文献