Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices

We study the relation between households' stock purchases andstock purchases made by their neighbors. A ten percentage pointincrease in neighbors' purchases of stocks from an industryis associated with a two percentage point increase in households'own purchases of stocks from that industry. The effect is considerablylarger for local stocks and among households in more socialstates. Controlling for area sociability, households' and neighbors'investment style preferences, and the industry composition oflocal firms, we attribute approximately one-quarter to one-halfof the correlation between households' stock purchases and stockpurchases made by their neighbors to word-of-mouth communication.     

Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading. Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that trade most earn an annual return of 11.4 percent, while the market returns 17.9 percent. The average household earns an annual return of 16.4 percent, tilts its common stock investment toward high-beta, small, value stocks, and turns over 75 percent of its portfolio annually. Overconfidence can explain high trading levels and the resulting poor performance of individual investors. Our central message is that trading is hazardous to your wealth.     

信息过载是否影响投资者对公开信息的使用——来自季度盈余的实证证据

首季季报之所以可能导致投资者的信息过载原因有二 :一是许多公司在同一天披露其季报 ;二是公司的年报和季报有可能同时披露。我们的结果说明了信息的集中披露本身并不妨碍投资者对信息的及时利用 ,这些发现对我国资本市场上信息披露监管机构有着直接的政策性含义。     

Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

Financial press reports claim that Internet stock message boards can move markets. We study the effect of more than 1.5 million messages posted on Yahoo! Finance and Raging Bull about the 45 companies in the Dow Jones Industrial Average and the Dow Jones Internet Index. Bullishness is measured using computational linguistics methods. Wall Street Journal news stories are used as controls. We find that stock messages help predict market volatility. Their effect on stock returns is statistically significant but economically small. Consistent with Harris and Raviv (1993) , disagreement among the posted messages is associated with increased trading volume.     

交易者关注行为对股票价格的影响机制

本文研究了交易者的关注行为对股票价格的影响机制。通过控制了公司基本面的因素基础上,分别从最终量（股票价格）和变化量（价格差）两个角度,建立了影响模型,实证发现,无论是最终量还是变化量,当期的关注度产生的正向响应都是强于滞后一期产生的反向影响;进一步用格兰杰因果分析了两者的关系,发现互为双向格兰杰原因;通过脉冲响应了解相互之间作用的模式,发现关注度对价格短期内是反向波动的影响,长期会有正向的响应。     

股吧评论、分析师跟踪与股价崩溃风险——关于模糊信息的信息含量分析

东方财富股吧等股票论坛日渐活跃,反映了投资者对获得上市公司真实、完整、及时信息的强烈需求。尽管股吧有助于促进信息传播,但仍是非正式的信息发布平台,股吧评论本质上是一种模糊信息。为探明股吧评论的信息含量,本文以2012—2017年A股上市公司为研究样本,研究股吧评论对股价崩溃风险的影响,以及同样属于模糊信息的分析师跟踪在这一过程中可能产生的作用。实证结果表明,股吧评论分歧越小,股价崩溃风险越大,并且分析师跟踪人数和研报数量在上述影响过程中发挥中介作用。研究结果有助于厘清股吧评论影响股价崩溃风险的路径和机理,既丰富了股价崩溃风险成因的研究,也揭示了股吧评论、分析师跟踪等模糊信息的信息含量。     

Is the Market Portfolio a Dynamic Factor? Evidence from Individual Stock Returns

This paper uses a factor model to test whether the market portfolio is a dynamic factor in the sense that individual stock returns contain a premium linked to the conditional risk of the market portfolio. The market conditional risk is based on a decomposition of the market variance into a time-varying trend component and a transitory component. The evidence shows that the conditional market premium is rising when the permanent trend rises relative to the conditional variance. The evidence for individual stock returns supports the notion that the market portfolio is a dynamic factor. Individual stock return autocorrelations are fully explained by the time variation in the market premium. The risk premia attributed to static factors are statistically insignificant.     

所有权结构、产品市场竞争与股价信息含量

股价信息含量的决定因素研究是目前资本市场领域实证研究的热点问题,本文以2001—2007年间深沪证券交易所上市的制造业公司为研究样本,实证分析了产品市场竞争、所有权结构对股价信息含量的影响。结果表明,有效的产品市场竞争和合理的所有权结构能够提升公司的股价信息含量。而在不同的所有权结构下,产品市场竞争对公司股价信息含量的影响无显著差异。这一研究结论意味着,在中国资本市场公司治理整体上存在着诸多问题,在相应改革进展缓慢这一既定的前提下,虽然市场竞争和所有权结构之间存在互补的关系,市场竞争可以在一定程度上起到约束大股东和管理层的作用,但所有权结构对市场竞争发挥作用的强有力的补充作用没有发挥出来。     

Differences in Information and Common Stock Returns: Estimation Risk or Unequal Distribution of Information?

Information can be differential or “incomplete” in two different ways: as a result of the quality of information itself or as a result of the manner in which information is distributed to investors. The effect on capital market equilibrium under either scenario is that higher returns will be required for low information securities. Prior empirical studies documenting a relationship between low information firms and positive abnormal returns have generally attributed such results to the quality of information; the current research tests the possibility that these results are instead due to the manner in which information is distributed to investors.     

中国股票市场限价指令簿的信息含量研究

金融市场微观结构是当前金融研究中发展迅速的研究领域。随着电子撮合交易制度的发展,从限价指令簿的角度揭示金融资产的价格行为,对市场规则和交易机制的完善有重要的意义。本文选取2009年9月上证180指数所包含的180只个股的高频交易数据为研究对象,实证检验了限价指令簿的信息含量。研究发现限价指令簿是富含信息的,即使是最优买卖报价外的指令信息对于价格发现的贡献也高达53%。我们还实证研究了限价指令簿与股票未来短期回报之间的关系,得到限价指令簿信息能够帮助投资者预测股票未来短期回报和有助于提高投资者福利的结论。     

The Information Content Of Calls Of Debt: Evidence From Long-Run Stock Returns

We examine the long‐run performance of the common stock of firms following calls of both straight and convertible debt from 1945 to 1995. Using a sample of 718 calls of straight debt, we find an average abnormal return in the five years following the call of between 0.16% and 0.34% per month, which compounds to an economically and statistically significant 11% to 22% over the five‐year period. This evidence of overperformance following calls shows a distinct symmetry between the straight debt and equity markets. Issues of debt and equity are both followed by long‐term underperformance, whereas stock repurchases and debt calls are both followed by long‐run overperformance. For our sample of 713 calls of convertible debt, we find little systematic evidence of abnormal performance following the call. Some researchers suggest that calls of convertible debt provide negative signals to the market. Our results provide no support for this claim. In contrast, our evidence of marginal positive long‐run returns provides weak support for the model that calls of convertible debt signal the realization of profitable investment options, and for the price pressure hypothesis.     

The Information Content of Cash Flows and the Random Walk: Evidence from the Helsinki Stock Exchange

Using a sample from the Helsinki Stock Exchange, this paper examines whether observed market reactions to unexpected cash flows are sensitive to the random walk assumption of cash flow behaviour. We consider the random walk (with drift) model commonly used in related literature, and we consider cash flow expectations generated with individually estimated parsimonious univariate time series models and an index model. Market reactions to unexpected cash flows are indiscernible under the random walk assumption, while significant market reactions are found when expectations of cash flows are measured with models which better capture their time series properties. Prior studies that rely on the random walk assumption have probably been biased against finding a significant market reaction to cash flow information.     

个体投资者自尊与羊群行为:特质愤怒和他人评价的作用

以个体投资者为研究对象,本研究基于个体内部异质性和外部决策情境相整合的视角,构建了一个被调节的中介作用,以探讨自尊与羊群行为的关系以及特质愤怒和他人评价在其中的作用。研究结果表明,自尊对特质愤怒、羊群行为均有显著负向影响;特质愤怒在自尊与羊群行为间起中介作用;他人评价对特质愤怒与羊群行为间关系以及对自尊通过特质愤怒影响羊群行为的间接效应均具有调节作用,无他人评价时特质愤怒在自尊对羊群行为负向影响中具有完全中介效应,该中介作用在存在他人评价时变得不显著。这些结论对于我国建设理性投资者队伍、开展投资者教育实践具有启示作用。     

Effects of Preferred Stock Re-rating on Common Stock Prices: Further Evidence

This study examines the price reactions of common stocks to changes in preferred stock ratings, with focuses on firms with less information available in the market as well as on firms with a relatively larger proportion of preferred stock financing. Emphasis on differential information and the relative size of preferred stocks across firms provide a more powerful test of the effect of rating changes on stock prices. Contrary to previous studies that report no price effect on common stocks due to preferred stock re-ratings, these results show that for low-information firms and for firms with a larger proportion of preferred stocks in their capital structure, a preferred stock rating downgrade exerts significant negative price effect on common stocks during the two-day announcement period. Our findings also have implications for future studies of other firm-specific events such as security offerings, stock repurchases, and convertible calls.     

Investment Opportunities,Free Cash Flow and Stock Valuation Effects of Corporate Investments: The Case of Taiwanese Investments in China

This paper examines the importance of investment opportunities and free cash flow in assessing the stock market reaction to announcements of cross-border investments in China by Taiwanese firms. Our results support the investment opportunities hypothesis that Taiwanese firms with favorable investment opportunities have significantly positive response to the announcements of their investments in China whereas firms with poor investment opportunities have negative response to such announcements. In contrast, we find no support for the free cash flow hypothesis. Our findings add to the understanding of the determinants of the wealth effect of cross-border investment decisions in the Asia-Pacific region.     

中国股市不涨不行

资本市场就是一个心理预期的市场,心理的恐惧直接会导致股市的大跌     

股价与中国上市公司投资——盈余管理与投资者情绪的交叉研究

本文考虑到中国证券市场代理问题及信息不对称严重和投资者非理性状况共存的特征,将盈余管理与投资者情绪结合起来分析两者对股价的影响,进而分析两者与中国上市公司投资的关系。通过划分平静时期和动荡时期,本文发现在不同的时期里,盈余管理与投资者情绪导致的错误定价关系两者趋势并不总是一致;盈余管理和投资者情绪在不同时期里分别主导着股价与公司投资的关系;而且在不同时期里,融资约束和换手率对所研究问题的影响也是不同的。     

中国股市的共同趋势和共同周期研究

运用共同趋势和共同周期计量模型考察上海、深圳和香港的股票市场综合指数月收盘价序列的动态轨迹,以此来研究中国股市的共同趋势和共同周期.实证结果表明,上证指数、深圳成指和恒生指数在长期存在一个共同趋势,在短期存在两个共同周期.