商业研究

商业研究

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盈余平滑、投资者异质信念与资产误定价 ——基于我国沪深两市2000-2012年数据的分析

张静，王生年   

  1. 石河子大学 经济与管理学院，新疆 石河子 832000
  • 收稿日期:2017-03-23 出版日期:2017-09-22
  • 作者简介:张静（1983-），女，乌鲁木齐人，石河子大学经济与管理学院讲师，石河子大学经济与管理学院博士研究生，研究方向：会计信息与资本市场；王生年（1970-），男，甘肃武威人，石河子大学经济与管理学院教授，博士生导师，管理学博士，研究方向：公司财务与会计。
  • 基金资助:
    国家自然科学基金项目“基于行为金融与信息不对称视角的资产误定价研究”，项目编号：71562029；新疆普通高校人文社会科学重点研究基地项目“资产误定价对投资效率的影响研究”，项目编号：XJEDU020115C02；石河子大学人文社会科学中青年科研人才培育基金项目“投资者关注对资产误定价的影响研究”，项目编号：RWSK16-Y04。

Earning Smoothing，Investor Heterogeneous Beliefs and Asset Mispricing: An Analysis based on 2000-2012 Data of Shanghai and Shenzhen Stock Markets

ZHANG Jing, WANG Sheng-nian   

  1. School of Economics and Management, Shihezi University, Shihezi 832000,China
  • Received:2017-03-23 Online:2017-09-22

摘要： 我国证券市场长期存在股票价格偏离其内在价值而被错误定价的“异象”，导致证券市场资源配置功能得不到充分发挥。基于行为金融理论及信息不对称理论，本文分析盈余平滑、投资者异质信念与资产误定价的关系，剖析资产误定价的产生机理。结果表明，投资者异质信念对资产误定价产生正向影响，盈余平滑能够缓解投资者异质信念对资产误定价产生的正向影响；相比融资融券交易制度实施前，我国证券市场投资者异质信念对股价高估的正向影响显著增强，盈余平滑对异质信念与股价高估之间的负向调节作用显著存在于融资融券交易制度实施之后，这说明我国推出融资融券对提高股票定价效率的作用并不明显。因此，应客观公允地认识评价盈余平滑行为对降低资产误定价的积极作用，但也须对其加强管理，防止其过度运用而形成盈余操纵。

关键词: 盈余平滑, 投资者异质信念, 资产误定价

Abstract: In China′s stock market，stock price deviates from its intrinsic value for a long time，which leads to the securities market resource allocation function cannot fully play. Based on the behavioral finance theory and information asymmetry theory，this paper studies the relationship between earnings smoothing，investors heterogeneous beliefs and mispricing，and analyzes the generation mechanism of asset mispricing. The results show that investor heterogeneous beliefs has a positive impact on asset mispricing，and the improvement of earning smooth can significantly relieve the positive impact on investors heterogeneous beliefs to asset mispricing; compared with the implementation of margin trading system，the positive influence of investor heterogeneous beliefs on the overvalued share price is significantly enhanced, and the alleviating of earnings smoothing is more prominent after the implementation of margin trading system. This shows that the introduction of margin trading in China has little effect on improving the efficiency of stock pricing. Therefore, we should objectively and fairly recognize and evaluate the positive role of earnings smoothing behavior in reducing asset mispricing, but we must also strengthen management to prevent from forming earnings manipulation because of excessive use of earnings.

Key words: earning smoothing, investor heterogeneous beliefs, asset mispricing