股市投资者对盈余公告的反应——基于博彩偏好的视角

doi:10.16381/j.cnki.issn1003-207x.2019.2000

中国管理科学 ›› 2021, Vol. 29 ›› Issue (9): 1-11.doi: 10.16381/j.cnki.issn1003-207x.2019.2000

• 论文 • 下一篇

股市投资者对盈余公告的反应——基于博彩偏好的视角

陈文博^1,2, 陈浪南³

1. 北京大学经济学院, 北京 100871;
2. 中国农业银行博士后科研工作站, 北京 100005;
3. 中山大学岭南(大学)学院, 广东广州 510275

收稿日期:2019-12-03 修回日期:2020-03-17 出版日期:2021-09-20 发布日期:2021-09-20
通讯作者: 陈浪南(1958-),男(汉族),福建福州人,中山大学岭南(大学)学院,教授,博士生导师,研究方向:金融经济学、货币经济学,E-mail:lnscln@mail.sysu.edu.cn. E-mail:lnscln@mail.sysu.edu.cn
基金资助:
教育部人文社会科学研究规划基金资助项目（17YJA790011）；广东省自然科学基金资助项目（2017A030311038）

Reactions of Stock Investors to Earnings Announcements——A Perspective from Gambling Preference

CHEN Wen-bo^1,2, CHEN Lang-nan³

1. School of Economics, Peking University, Beijing 100871, China;
2. Postdoctoral Research Station of Agricultural Bank of China, Beijing 100005, China;
3. Lingnan (University) College, Sun Yat-sen University, Guangzhou 510275, China

Received:2019-12-03 Revised:2020-03-17 Online:2021-09-20 Published:2021-09-20

摘要/Abstract

摘要： 本文以中国股市2003年第一季度至2018年第一季度的数据为样本，通过构造三种股票博彩指数和使用事件研究法探究了股市投资者对盈余公告的反应。研究发现，博彩偏好会同时从方向相反的两个方向影响股市投资者对盈余公告的反应，即投资者对博彩型股票的青睐虽然提高了投资者对正未预期盈余信息的敏感性，但却减缓了负未预期盈余信息反映到股价中的速度。这种影响对处于亏损状态的投资者、情绪高涨的投资者或散户投资者更为显著。

关键词: 对盈余公告的反应, 博彩偏好, 投资者情绪, 盈亏状态, 机构持股率

Abstract: How the gambling preference influences the reactions of investors to earnings announcements is investigated by employing Chinese stock market's data from the first quarter of 2003 to the first quarter of 2018.
For each stock, three kinds of gambling index are constructed to measure the gambling characteristics. The buy-and-hold abnormal returns are used to measure the reactions of investors to earnings announcement.Conventionally, SUE (standardized unexpected earnings) are constructed for each earnings announcement.
The event study is utilized to explore the role of gambling preference in affecting the investors' reactions to earnings announcements. The regressions results reveal that the interaction of gambling index and positive SUE is significant and positve, while the interaction of gambling index and negative SUE is significant and negative. The empirical results prove that gambling preference has two opposite effects at the same time. That is, gambling preference increases the sensitivity of investors to positive unexpected earnings while it slows down the speed at which negative unexpected earnings information is incorporated into the stock price.
Subgroup regressions are performed after the total sample is divided into two subsamples according to theprofit/loss condition of investors, median of investor sentiment index and institutional ownership respectively. The interaction of gambling index and positive/negative SUE is not significant any more when investors are at the profit condition. Besides, the interaction of gambling index and positive/negative SUE is no longer significant during the pessimistic period. In addition, the interaction of gambling index and positive SUE is not significant when a firm has more retail investors. This phenomenon suggests that profit/loss condition, investor sentiment and institutional ownership indirectly influence the reactions of investors to earnings announcements by affecting the asymmetric V-shaped disposition effect.
Finally, several robust checks are conducted. When the profit/loss condition is constructed by past five-year data, or when the investor sentiment is measured by other indicators, or when the event window is extended, our conclusions remain the same and robust.

Key words: reactions to earnings announcement, gambling preference, investor sentiment, profit/loss condition, institutional ownership

中图分类号:

F830.91

陈文博, 陈浪南. 股市投资者对盈余公告的反应——基于博彩偏好的视角[J]. 中国管理科学, 2021, 29(9): 1-11.

CHEN Wen-bo, CHEN Lang-nan. Reactions of Stock Investors to Earnings Announcements——A Perspective from Gambling Preference[J]. Chinese Journal of Management Science, 2021, 29(9): 1-11.

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股市投资者对盈余公告的反应——基于博彩偏好的视角

Reactions of Stock Investors to Earnings Announcements——A Perspective from Gambling Preference

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