投資者異質信念與盈餘宣告後股價高估現象-以上證50為例

Abstract

本研究以上證50成分股為研究標的，提供盈餘宣告前投資者異質信念較高的股票會有股價高估的現象之證據，在盈餘宣告後60天期間，股票累積異常報酬將顯著低於投資者異質信念較低的股票，應證Miller (1977)之異質信念理論。此外，本研究同時使用股票論壇和分析師盈餘預測變異做為異質信念代理變數，發現比使用單一變數更能代表更多投資人意見，使建立之異質信念指標對於股價報酬能有更長久的負向影響。

This paper provides evidences that stocks with higher disagreement before quarterly earnings announcement tend to be overvalued by researching on Shanghai Stock Exchange 50 (SSE50). The cumulative abnormal returns (CAR) of stocks with higher investor disagreement are significantly lower than stocks with lower investor disagreement within 60 days after earnings announcement, supporting Miller (1977)’s heterogeneous expectation theory. In addition, by using both online stock message boards and the divergence of stock analysts’ earnings forecasts as the proxies of investor disagreement, this paper finds these proxies could represent greater parts of investors’ opinion and have more profound influence on the negative relationship between investors’ disagreement and stock returns compared with using only single proxy.