【作者】 花贵如；

【导师】 刘志远；

【作者基本信息】 南开大学 ， 会计学， 2010， 博士

【摘要】 经济史实和理论逻辑都已经证明,资本市场上投资者高涨或低迷的情绪会导致股票价格系统性地偏离其基本价值,并且有可能对企业实体投资行为产生重大影响。承袭行为公司财务一般的分析逻辑,投资者情绪与企业投资行为的现有研究着重强调投资者情绪,将投资决策视为企业管理者对于资本市场错误定价的理性反应。然而,事实上,投资者和企业管理者的有限理性经常是共存的,政府控制的制度环境与机构持股的股权特征也可能干预和影响非理性的心理因素介入决策。为了接近更加真实的资本市场,延续Shleifer (2003)、Baker et al. (2004)和Montier(2007)等文献的分析逻辑及研究展望,文章更为彻底地抛弃“完全理性假说”,将投资者与企业管理者的有限理性纳入同一框架,借鉴社会影响理论、认知失调理论、情绪泛化假说以及情绪认知理论等社会心理学理论,结合中国资本市场政府控制的制度背景和机构持股的股权特征,通过理论分析和实证检验方法,深入探讨投资者情绪影响企业投资行为的作用机理和经济后果。文章共分七章。第一章导论,提出了文章所要研究的问题和意义,并对所涉及的主要概念进行界定的基础上,介绍了文章的研究思路、研究内容与方法以及创新之处。第二章文献述评,从决策心理学、经济学和财务学三个研究领域,勾勒情绪介入决策研究的演化路径；梳理了投资者情绪、管理者乐观主义与企业投资行为的研究现状与发展动态；结合中国资本市场的制度背景和现有研究的潜在假设,阐述了文章的研究视角。第三章结合中国资本市场政府控制的制度因素以及机构持股的股权特征,基于社会情绪影响个体心理和决策的理论视角,从作用机理和经济后果两个方面提出文章的研究假说。第四、第五和第六章对第三章所提出的研究假说进行实证检验和分析；最后,在第七章,总结了文章的主要研究成果,并提出文章的研究不足和未来研究方向。通过上述的理论分析和实证检验,文章得到如下主要研究发现：第一,投资者情绪对企业投资行为具有正向影响,确实是驱使企业投资行为的动力。在考虑和控制了“股权融资”和“理性迎合”等作用渠道之后,投资者情绪还可能通过塑造企业管理者的乐观或悲观情绪,间接影响企业投资行为。上述发现表明,在现实的资本市场中,存在投资者情绪影响企业投资行为的“第三条道路”,即“管理者乐观主义的中介效应渠道”。第二,相对于非政府控制的上市公司,在终极控制人性质为政府的企业中,投资者情绪对管理者乐观主义的影响较弱,并导致了投资者情绪对企业投资行为的影响也相应降低。这说明,在投资者情绪与管理者乐观主义等心理因素介入投资决策的过程中,政府控制的制度环境确实具有干预和调节作用。然而,文章没有找到稳健的证据支持机构持股的上述调节作用。第三,投资者情绪影响企业投资行为的经济后果具有两面性。投资者情绪对上市公司过度投资具有显著的“恶化效应”,而对投资不足则具有显著的“校正效应”。进一步的研究表明,相对于非政府控制的上市公司而言,在政府控制的上市公司中,投资者情绪与投资过度的正相关关系更弱,与投资不足之间的负相关关系亦更弱。而投资者情绪对上市公司绩效的影响则表现为“正向影响-负向影响--逐渐消退”的过程。这意味着投资者情绪对企业资本配置行为的影响往往引起短期积极反应,但企业可能由此面临长期价值被破坏的不利局面。文章的创新之处主要体现在如下方面：第一,为了更加接近真实的资本市场,文章将投资者与企业管理者的有限理性纳入同一分析框架,创造性地提出并证实了投资者情绪影响企业投资行为的“管理者乐观主义的中介渠道”。这拓展了行为公司财务理论的研究路径,丰富了投资者情绪影响企业投资行为作用机理的相关文献。第二,将制度因素与心理因素相结合,在投资者情绪与管理者乐观主义介入企业投资决策的过程中,文章证实了政府控制的制度因素具有调节和干预作用。这不仅有利于我们更加深入的理解制度因素如何干预和影响非理性心理因素介入决策的基本理论问题,更对拓展和整合现代金融理论的研究路径具有一定的参考价值。第三,通过理论分析和实证研究发现,投资者情绪对企业资源配置非效率具有“恶化效应”和“校正效应”的两面性,而其“总体效应”则表现为“正向影响--负向影响--逐渐消退”的过程。这率先在中国资本市场中证实了Baker et al. (2003)在其文末的警示：投资者情绪影响企业投资行为,未必一定带来资源配置的非效率。更多还原

【Abstract】 Economic literature and theoretical logic have proved that both over-optimistic and over-pessimistic sentiments of investors in the capital market would cause stock prices to significantly deviate from their true value and probably have a real effect on the company’s physical investment. However, following the general analysis logic of corporate finance, existing research on investor sentiment and corporate investment stresses on investor sentiment, view investment decisions as managers’rational response to mispricing in the capital market, and overlook the fact that managers with limited rational and the institutional environment may interfere with and influence the effect of irrational psychological factors on decision-making.To be close to the more real capital market and follow the analysis logic and research perspective of Shleifer (2003), Baker et al. (2004), and Montier (2007), this dissertation thoroughly abandons the "perfectly rational hypothesis" and incorporates limited rational investors and mangers into the same framework. With reference to social psychological theories, such as theories of social influence and cognitive dissonance, affective generalization hypothesis, and the cognitive evaluation theory of emotion, and in combination with the institutional background of government control in the Chinese capital market and the institutional equity holding characteristics, this dissertation theoretically and empirically explores the functioning mechanism and economic effects of investor sentiment on corporate investment.It falls into seven chapters. Chapter one is an introduction in which the author proposes the research issue and its significance and defines core concepts concerned, followed by a description of the research thought, content, and methods as well as the innovative points. Chapter two is concerned about a literature review based on which the author portrays the evolution path along which sentiment affects decision-making from the perspectives of decision-making psychology, economics, and finance. In this section, the author also reviews the status quo of and new developments in research on managerial optimism and corporate investment, and illustrates the research perspective in combination with the institutional background in the Chinese capital market and latent hypotheses of existing literature. Chapter three proposes the hypotheses in terms of functioning mechanism and economic effects from the perspective of social sentiment affecting individual psychology and decisions based on the institutional background of the Chinese capital market and latent hypotheses of existing literature. Chapters four, five, and six conduct a positive test and analysis of the hypotheses proposed in chapter three. Chapter seven concludes the major findings and points out the limitations and future research direction of this dissertation.This dissertation draws major findings as follows:(1) Investor sentiment has a positive effect on corporate investment and is a real driver for corporate investment. Taking into consideration equity financing channel and rational catering channel, investor sentiment may have an indirect effect on corporate investment by shaping managerial optimism or pessimism. Such finding shows that there exists a "third road" along which investor sentiment affects corporate investment in the real capital market, i.e., the "intermediate effect channel of managerial optimism".(2) Compared with that in non-government-controlled listed companies, investor sentiment has a weaker effect on managerial optimism in companies whose ultimate controller is the government, which results in a lower effect of investor sentiment on corporate investment. Such finding shows that during the process of psychological factors such as investor sentiment and managerial optimism affecting investment decisions, the government controlled institutional environment does, play an adjustment role. However, this dissertation fails to find out robust evidence able to support the above-mentioned adjustment role of institutional equity holding.(3) Investor sentiment has a two-sided economic effect on corporate investment. Over-optimistic investor sentiment has a significant "deterioration effect" on overinvestment of listed companies and a significant "correction effect" on underinvestment. Further study demonstrates that compared with that in non-government-controlled listed companies, investor sentiment has a weaker positive correlation to overinvestment and a weaker negative correlation to underinvestment in government controlled companies. The effect of investor sentiment on performance of listed companies is manifested in a process of "positive effect--negative effect--gradual decline", suggesting investor sentiment often has a short-term positive effect on capital allocation which makes the company faced with an unfavorable situation under which its long-term value may be destroyed.This dissertation is innovative in terms of the following aspects.(1) To be close to the more real capital market, this dissertation incorporates limited rational investors and mangers into the same framework. Through theoretical and empirical studies, it creatively proposes and has proved the "intermediate channel of managerial optimism" through which investor sentiment affects corporate investment. This expands the research paths of theories of behavioral corporate finance, enriches literature on the functioning mechanism of investor sentiment affecting corporate investment, and answers the basic theoretical question of how individual psychology and decisions (managerial optimism and the ensuing corporate investment) are affected by social influence (investor sentiment).(2) This dissertation embeds the government controlled institutional factor into the "intermediate channel of managerial optimism" through which investor sentiment affects corporate investment, an analysis paradigm consistent with that North studied economic performance through a combination of cognitive psychology factor with the institution. This is contributive for us to have a better understanding of how institutional factors interfere with and influence the effects of irrational psychology factors on decision-making and is of certain reference value for the research paths by which to expand and integrate modern finance theories.(3) It follows from theoretical analysis and empirical study that investor sentiment has both a "deterioration effect" and a" correction effect" on the resource allocation efficiency, and the effect of investor sentiment is manifested in the process of "positive effect--negative effect--gradual decline". This proves for the first time the warning of Baker et al. (2003) in the Chinese capital market:investor sentiment influences corporate investment but does not necessarily lead to inefficiency of resource allocation.更多还原