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论文编号：	8541
作者编号：	2120142418
上传时间：	2016/6/17 15:46:34
中文题目：	投资者情绪与会计信息价值相关性
英文题目：	Investor Sentiment and Value Relevance of Accounting Information
指导老师：	陆宇建
中文关键字：	投资者情绪;会计信息价值相关性;行为金融
英文关键字：	Investor Sentiment;Value Relevance of Accounting Information;Behavior Finance
中文摘要：	传统财务金融理论认为市场参与者是完全理性的，投资者将在对可获得的信息进行理性分析的基础上作出投资决策。在实践中，对于不断发生的金融异象，传统财务金融理论无法给出有效的解释。基于这样的背景，行为金融理论引入了投资者情绪因素，认为投资者在作出投资行为时会受到自身的情绪影响。我国股市由于历史较短，尚处于不成熟的阶段，股市的参与者中易受情绪影响的个人投资者占比也较高，因此投资者情绪是研究我国股市时不可忽视的因素。投资者在进行投资决策时需要依靠各种渠道获得的信息，而会计信息就是其中重要的一类。投资者情绪可以通过改变投资者对会计信息及其重要性的认知来间接影响证券价格，并且，无论是整体市场中的投资者情绪还是针对个别股票的投资者情绪，都可以对投资者的认知及决策产生影响。因此，本文研究了投资者情绪对会计信息价值相关性的影响。本文借鉴国内外学者的研究方法，选取了换手率、市盈率、心理线、动量指标四个投资者情绪构造指标并对其进行主成分分析构造了复合的整体投资者情绪变量和个别股票投资者情绪变量，运用价格模型研究了它们对会计信息价值相关性的综合影响，得到以下几个结论：当整体投资者情绪高涨时，会计信息价值相关性与市场整体投资者情绪负相关；而当整体投资者情绪低落时，会计信息价值相关性与市场整体投资者情绪正相关。整体投资者情绪明显高涨时，会计信息价值相关性与个别股票投资者情绪负相关；整体投资者情绪明显低落时，会计信息价值相关性与个别股票投资者情绪正相关。
英文摘要：	Traditional financial theory deems market participants completely rational and holds that investors base their investment decisions on rational analysis of accessible information. However, in practice, traditional financial theory fails to provide effective explanations to the recurring financial anomalies. Based on such background, behavior finance theory introduces investor sentiment factor and holds that investors can be affected by their own sentiment when conducting investment behavior. Due to the relatively short history, Chinese stock market is still immature in which the proportion of individual investors who are susceptible to sentiment is high. As a result, investor sentiment should not be ignored in the research of Chinese stock market. When making investment decisions, investors rely on information from different sources among which accounting information is of high importance. Investor sentiment can indirectly affect stock price by affecting investors’ cognition of accounting information and its importance. Moreover, both market level investor sentiment and individual stock level investor sentiment play roles in affecting investors’ cognition and decision-making. So the theme of this paper is the influence of investor sentiment on value relevance of accounting information. According to former researcher, this paper selects market turnover, price earnings ratio, psychological line and momentum index in the principal component analysis to construct market level and individual stock level investor sentiment indexes, and uses price model to find out their synthetical influence on value relevance of accounting information. The conclusions are as follows: when market level investor sentiment is high, value relevance of accounting information is negatively correlated with market level investor sentiment, and when market level investor sentiment is low, value relevance of accounting information is positively correlated with market level investor sentiment. When market level investor sentiment is evidently high, value relevance of accounting information is negatively correlated with individual stock level investor sentiment, and when market level investor sentiment is evidently low, value relevance of accounting information is positively correlated with individual stock level investor sentiment.
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