公司层面的投资者情绪和公司公告效应：来自中国的证据

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-06-01 DOI:10.1016/j.ribaf.2025.103026

Xiao Li, Ming Chen

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引用次数: 0

摘要

现有文献主要将公司公告效应与市场层面的投资者情绪联系起来，忽略了投资者情绪的横断面变化。本文研究了企业和市场层面的投资者情绪对中国股票市场公司公告效应的影响。我们发现公司层面的投资者情绪与公司公告收益和营业额呈正相关。另一方面，公司层面的投资者情绪与公告后的长期回报之间存在负相关关系。实证还表明，企业层面的投资者情绪对公司公告效应的解释能力比市场层面的投资者情绪更微弱。我们的研究为未来探索投资者情绪对公司层面问题的影响的研究中选择适当的投资者情绪指标提供了理论指导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Firm-level investor sentiment and corporate announcement Effect: evidence from China

Existing literature primarily associates corporate announcement effect with market-level investor sentiment, overlooking the cross-sectional variation in investor sentiment. This paper investigates the impact of firm- and market-level investor sentiment on corporate announcement effect in Chinese stock market. We find that firm-level investor sentiment is positively related to corporate announcement returns and turnover. On the other hand, there is a negative relationship between firm-level investor sentiment and the long-run post-announcement returns. We also empirically illustrate that firm-level investor sentiment has marginal explanatory power beyond market-level investor sentiment for corporate announcement effect. Our research offers theoretical guidance for the selection of appropriate investor sentiment metrics in future studies exploring the impact of investor sentiment on firm-level issues.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance