新产品公告与股票投资者反应——基于Bass模型的投资者行为模型
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摘要
上市公司发布的新产品公告往往被投资者看作是股票市场波动的重要信号,然而现有研究对于新产品公告的投资者反应的研究还较为匮乏,对投资者反应模型的研究更为少见。本文在深入研究新产品公告在股票市场中的扩散过程的基础上,分析了不同类型投资者对新产品公告的反应规律和行为特征,并且在Bass模型的基础上对这一反应过程进行了数学建模分析,构建了股票投资者对新产品公告反应的行为模型。在构建模型后,我们利用数值仿真实验探究了信息投资系数、模仿投资系数以及投资者情绪等模型关键变量对投资者反应的影响,并利用20家在2011年1月至2015年12月间发布新产品公告的公司为实证算例,检验了该模型对投资者反应的拟合效果。数值仿真实验以及实证算例分析证明该模型对新产品公告发布后的股票投资者反应具有较好地拟合与预测效果。本研究对更加深入、准确地探究股票投资者对新产品公告的反应机理和动态过程具有一定的推进意义,并可为股票投资者以及上市公司管理者提供决策参考。
New product announcement is frequently regarded by stock investors as a signal foretelling stock price swings. However,existing researches focus mainly on the product marketing and customers' reactions to new products,with little attention to the stock market reactions. By paying attention to the diffusion process of NPA on the stock market,this paper investigates the underlying characteristics of different kinds of investors' reaction to NPA. Based on the Bass model,this study builds a behavioral model of stock investors' reaction to new product announcements. Some numerical experimentations of the model are highlighted to test the relationship between some primary parameters and the investor reactions. In order to test the model,empirical tests are developed using daily time series data for 20 Chinese listed firms over the period from January 2011 to December 2015. The results illustrate that our model is in good agreement with the current economic data. In several ways,this paper contributes to the growing theoretical literature on the stock market reactions to new product announcements and gives some decision-making reference to the stock investors and the firm managers.
New product announcement is frequently regarded by stock investors as a signal foretelling stock price swings. However,existing researches focus mainly on the product marketing and customers' reactions to new products,with little attention to the stock market reactions. By paying attention to the diffusion process of NPA on the stock market,this paper investigates the underlying characteristics of different kinds of investors' reaction to NPA. Based on the Bass model,this study builds a behavioral model of stock investors' reaction to new product announcements. Some numerical experimentations of the model are highlighted to test the relationship between some primary parameters and the investor reactions. In order to test the model,empirical tests are developed using daily time series data for 20 Chinese listed firms over the period from January 2011 to December 2015. The results illustrate that our model is in good agreement with the current economic data. In several ways,this paper contributes to the growing theoretical literature on the stock market reactions to new product announcements and gives some decision-making reference to the stock investors and the firm managers.
引文
[1]Gu L.Product Market Competition,R&D Investment,and Stock Returns[J].Journal of Financial Economics,2016,119(2):441-455
[2]Raassens N.,Wuyts S.,Geyskens I.The Market Valuation of Outsourcing New Product Development[J].Journal of Marketing Research,2012,49(5):682-695
[3]Chang W.,Taylor S.A.The Effectiveness of Customer Participation in New Product Development:A Meta-Analysis[J].Journal of Marketing,2015,80(1):47-64
[4]纪雪洪,陈志祥,孙道银,等.供应商参与、专用性投资与新产品开发绩效关系研究[J].管理评论,2015,27(3):96-104
[5]Fang E.,Lee J.,Tang Z.The Timing of Codevelopment Alliances in New Product Development Processes:Returns for Upstream and Downstream Partners[J].Journal of Marketing,2015,79(1):64-82
[6]后锐,姬广玉,韩小花,等.考虑环保责任的双寡头厂商新产品推出时机与定价策略[J].系统工程理论与实践,2016,36(2):335-346
[7]Thorbjrnsen H.,Dahlén M.,Lee Y.H.The Effect of New Product Preannouncements on the Evaluation of Other Brand Products[J].Journal of Product Innovation Management,2016,33(3):342-355
[8]Popma W.T.,Waarts E.,Wierenga B.New Product Announcements as Market Signals:A Content Analysis in the Dram Chip Industry[J].Industrial Marketing Management,2006,35(2):225-235
[9]Su M.,Rao V.R.New Product Preannouncement as a Signaling Strategy:An Audience-Specific Review and Analysis[J].Journal of Product Innovation Management,2010,27(5):658-672
[10]伍青生,李湛.研发阶段新产品信息发布:时间与频率策略研究[J].管理工程学报,2014,28(4):95-105
[11]伍青生,李湛.研发阶段新产品预告策略研究[J].管理评论,2013,25(10):129-137
[12]李湛,伍青生.研发阶段新产品信息首次发布时机选择[J].科技进步与对策,2013,30(14):75-81
[13]李湛,伍青生.研发阶段新产品信息发布的频率策略[J].中国科技论坛,2013,1(2):115-121
[14]李湛,伍青生.研发阶段新产品信息的预告:详细程度研究[J].研究与发展管理,2013,25(6):4-15
[15]Lee R.P.,Chen Q.The Immediate Impact of New Product Introductions on Stock Price:The Role of Firm Resources and Size[J].Journal of Product Innovation Management,2009,26(1):97-107
[16]Wang C.F.,Chen L.Y.,Chang S.C.International Diversification and the Market Value of New Product Introduction[J].Journal of International Management,2011,17(4):333-347
[17]Chen L.Y.,Lai J.H.,Chang S.C.The Long-Term Performance of New Product Introductions[J].Finance Research Letters,2017,20:162-169
[18]Chen C.W.,Chiang M.H.,Yang C.L.New Product Preannouncements,Advertising Investments,and Stock Returns[J].Marketing Letters,2014,25(2):207-218
[19]Chaney P.K.,Devinney T.M.,Winer R.S.The Impact of New Product Introductions on the Market Value of Firms[J].Journal of Business,1991,64(4):573-610
[20]Schijven M.,Hitt M.A.The Vicarious Wisdom of Crowds:Toward a Behavioral Perspective on Investor Reactions to Acquisition Announcements[J].Strategic Management Journal,2012,33(11):1247-1268
[21]Duxbury D.Behavioral Finance:Insights from Experiments I:Theory and Financial Markets[J].Review of Behavioral Finance,2015,7(1):78-96
[22]Statman M.Behavioral Finance:Finance with Normal People[J].Borsa Istanbul Review,2014,14(2):65-73
[23]刘锋,叶强,李一军.媒体关注与投资者关注对股票收益的交互作用:基于中国金融股的实证研究[J].管理科学学报,2014,17(1):72-85
[24]Robertson T.S.,Eliashberg J.,Rymon T.New Product Announcement Signals and Incumbent Reactions[J].The Journal of Marketing,1995,59(3):1-15
[25]Spence M.Job Market Signaling[J].Quarterly Journal of Economics,1973,87(3):355-374
[26]Banerjee S.,Green B.Signal or Noise?Uncertainty and Learning About Whether Other Traders Are Informed[J].Journal of Financial Economics,2015,117(2):398-423
[27]Hong H.,Stein J.C.A Unified Theory of Underreaction,Momentum Trading and Overreaction in Asset Markets[J].The Journal of Finance,1999,54(6):2143-2184
[28]郭士祺,梁平汉.社会互动、信息渠道与家庭股市参与---基于2011年中国家庭金融调查的实证研究[J].经济研究,2014,49(1):116-131
[29]Pool V.K.,Stoffman N.,Yonker E.S.The People in Your Neighborhood:Social Interactions and Mutual Fund Portfolios[J].The Journal of Finance,2014,70(6):2679-2731
[30]Pompian M.Behavioral Finance and Investor Types[J].Private Wealth Management Feature Articles,2012,11(3):1-3
[31]Jourdan Jr L.F.The Relationship of Investor Decisions and Entrepreneurs’Dispositional and Interpersonal Factors[J].The Entrepreneurial Executive,2012,17(1):49-60
[32]张维,翟晓鹏,邹高峰,等.市场情绪、投资者关注与IPO破发[J].管理评论,2015,27(6):160-187
[33]Gong P.,Dai J.Monetary Policy,Exchange Rate Fluctuation,and Herding Behavior in the Stock Market[J].Journal of Business Research,2017,76(7):34-43
[34]徐巍,陈冬华.自媒体披露的信息作用---来自新浪微博的实证证据[J].金融研究,2016,(3):157-173
[35]Ivkovic'Z.,Weisbenner S.Information Diffusion Effects in Individual Investors’Common Stock Purchases:Covet Thy Neighbors’Investment Choices[J].Review of Financial Studies,2007,20(4):1327-1357
[36]Connelly B.L.,Certo S.T.,Ireland R.D.,et al.Signaling Theory:A Review and Assessment[J].Journal of Management,2011,37(1):39-67
[37]Heath R.W.,González-Prelcic N.,Rangan S.,et al.An Overview of Signal Processing Techniques for Millimeter Wave Mimo Systems[J].IEEE Journal of Selected Topics in Signal Processing,2015,10(3):436-453
[38]Bass F.M.A New Product Growth for Model Consumer Durables[J].Management Science,1969,15(5):215-227
[39]Bonaparte Y.,Kumar A.Political Activism,Information Costs,and Stock Market Participation[J].Journal of Financial Economics,2013,107(3):760-786
[40]徐贤浩,宋奇志.改进Bass模型应用于短生命周期产品需求预测[J].工业工程与管理,2007,12(5):27-31
[41]Baker M.,Wurgler J.Investor Sentiment and the Cross-Section of Stock Returns[J].The Journal of Finance,2006,61(4):1645-1680
[42]Baker M.,Wurgler J.,Yuan Y.Global,Local,and Contagious Investor Sentiment[J].Journal of Financial Economics,2012,104(2):272-287
[43]Lin W.C.,Chang S.C.Corporate Governance and the Stock Market Reaction to New Product Announcements[J].Review of Quantitative Finance and Accounting,2012,39(2):273-291
[44]陈晓,陈淑燕.股票交易量对年报信息的反应研究---来自上海、深圳股市的经验证据[J].金融研究,2001,(7):98-105
[45]杨敬辉,武春友.基于Bass模型的两种参数估算算法比较研究[J].数量经济技术经济研究,2005,22(12):125-132
[46]Venkatesan R.,Kumar V.A Genetic Algorithms Approach to Growth Phase Forecasting of Wireless Subscribers[J].International Journal of Forecasting,2002,18(4):625-646
[47]Lin W.,Chang S.Corporate Governance and the Stock Market Reaction to New Product Announcements[J].Review of Quantitative Finance and Accounting,2012,39(2):273-291
[48]Bayus B.L.,Jain S.,Rao A.G.Truth or Consequences:An Analysis of Vaporware and New Product Announcements[J].Journal of Marketing Research,2001,38(1):3-13
[49]宋顺林,王彦超.投资者情绪如何影响股票定价?---基于IPO公司的实证研究[J].管理科学学报,2016,19(5):41-55
[50]Mian G.M.,Sankaraguruswamy S.Investor Sentiment and Stock Market Response to Earnings News[J].Accounting Review,2012,87(4):1357-1384
[51]Chen S.S.,Ho K.W.,Ik K.H.,et al.How Does Strategic Competition Affect Firm Values?A Study of New Product Announcements[J].Financial Management,2002,31(2):67-84
[2]Raassens N.,Wuyts S.,Geyskens I.The Market Valuation of Outsourcing New Product Development[J].Journal of Marketing Research,2012,49(5):682-695
[3]Chang W.,Taylor S.A.The Effectiveness of Customer Participation in New Product Development:A Meta-Analysis[J].Journal of Marketing,2015,80(1):47-64
[4]纪雪洪,陈志祥,孙道银,等.供应商参与、专用性投资与新产品开发绩效关系研究[J].管理评论,2015,27(3):96-104
[5]Fang E.,Lee J.,Tang Z.The Timing of Codevelopment Alliances in New Product Development Processes:Returns for Upstream and Downstream Partners[J].Journal of Marketing,2015,79(1):64-82
[6]后锐,姬广玉,韩小花,等.考虑环保责任的双寡头厂商新产品推出时机与定价策略[J].系统工程理论与实践,2016,36(2):335-346
[7]Thorbjrnsen H.,Dahlén M.,Lee Y.H.The Effect of New Product Preannouncements on the Evaluation of Other Brand Products[J].Journal of Product Innovation Management,2016,33(3):342-355
[8]Popma W.T.,Waarts E.,Wierenga B.New Product Announcements as Market Signals:A Content Analysis in the Dram Chip Industry[J].Industrial Marketing Management,2006,35(2):225-235
[9]Su M.,Rao V.R.New Product Preannouncement as a Signaling Strategy:An Audience-Specific Review and Analysis[J].Journal of Product Innovation Management,2010,27(5):658-672
[10]伍青生,李湛.研发阶段新产品信息发布:时间与频率策略研究[J].管理工程学报,2014,28(4):95-105
[11]伍青生,李湛.研发阶段新产品预告策略研究[J].管理评论,2013,25(10):129-137
[12]李湛,伍青生.研发阶段新产品信息首次发布时机选择[J].科技进步与对策,2013,30(14):75-81
[13]李湛,伍青生.研发阶段新产品信息发布的频率策略[J].中国科技论坛,2013,1(2):115-121
[14]李湛,伍青生.研发阶段新产品信息的预告:详细程度研究[J].研究与发展管理,2013,25(6):4-15
[15]Lee R.P.,Chen Q.The Immediate Impact of New Product Introductions on Stock Price:The Role of Firm Resources and Size[J].Journal of Product Innovation Management,2009,26(1):97-107
[16]Wang C.F.,Chen L.Y.,Chang S.C.International Diversification and the Market Value of New Product Introduction[J].Journal of International Management,2011,17(4):333-347
[17]Chen L.Y.,Lai J.H.,Chang S.C.The Long-Term Performance of New Product Introductions[J].Finance Research Letters,2017,20:162-169
[18]Chen C.W.,Chiang M.H.,Yang C.L.New Product Preannouncements,Advertising Investments,and Stock Returns[J].Marketing Letters,2014,25(2):207-218
[19]Chaney P.K.,Devinney T.M.,Winer R.S.The Impact of New Product Introductions on the Market Value of Firms[J].Journal of Business,1991,64(4):573-610
[20]Schijven M.,Hitt M.A.The Vicarious Wisdom of Crowds:Toward a Behavioral Perspective on Investor Reactions to Acquisition Announcements[J].Strategic Management Journal,2012,33(11):1247-1268
[21]Duxbury D.Behavioral Finance:Insights from Experiments I:Theory and Financial Markets[J].Review of Behavioral Finance,2015,7(1):78-96
[22]Statman M.Behavioral Finance:Finance with Normal People[J].Borsa Istanbul Review,2014,14(2):65-73
[23]刘锋,叶强,李一军.媒体关注与投资者关注对股票收益的交互作用:基于中国金融股的实证研究[J].管理科学学报,2014,17(1):72-85
[24]Robertson T.S.,Eliashberg J.,Rymon T.New Product Announcement Signals and Incumbent Reactions[J].The Journal of Marketing,1995,59(3):1-15
[25]Spence M.Job Market Signaling[J].Quarterly Journal of Economics,1973,87(3):355-374
[26]Banerjee S.,Green B.Signal or Noise?Uncertainty and Learning About Whether Other Traders Are Informed[J].Journal of Financial Economics,2015,117(2):398-423
[27]Hong H.,Stein J.C.A Unified Theory of Underreaction,Momentum Trading and Overreaction in Asset Markets[J].The Journal of Finance,1999,54(6):2143-2184
[28]郭士祺,梁平汉.社会互动、信息渠道与家庭股市参与---基于2011年中国家庭金融调查的实证研究[J].经济研究,2014,49(1):116-131
[29]Pool V.K.,Stoffman N.,Yonker E.S.The People in Your Neighborhood:Social Interactions and Mutual Fund Portfolios[J].The Journal of Finance,2014,70(6):2679-2731
[30]Pompian M.Behavioral Finance and Investor Types[J].Private Wealth Management Feature Articles,2012,11(3):1-3
[31]Jourdan Jr L.F.The Relationship of Investor Decisions and Entrepreneurs’Dispositional and Interpersonal Factors[J].The Entrepreneurial Executive,2012,17(1):49-60
[32]张维,翟晓鹏,邹高峰,等.市场情绪、投资者关注与IPO破发[J].管理评论,2015,27(6):160-187
[33]Gong P.,Dai J.Monetary Policy,Exchange Rate Fluctuation,and Herding Behavior in the Stock Market[J].Journal of Business Research,2017,76(7):34-43
[34]徐巍,陈冬华.自媒体披露的信息作用---来自新浪微博的实证证据[J].金融研究,2016,(3):157-173
[35]Ivkovic'Z.,Weisbenner S.Information Diffusion Effects in Individual Investors’Common Stock Purchases:Covet Thy Neighbors’Investment Choices[J].Review of Financial Studies,2007,20(4):1327-1357
[36]Connelly B.L.,Certo S.T.,Ireland R.D.,et al.Signaling Theory:A Review and Assessment[J].Journal of Management,2011,37(1):39-67
[37]Heath R.W.,González-Prelcic N.,Rangan S.,et al.An Overview of Signal Processing Techniques for Millimeter Wave Mimo Systems[J].IEEE Journal of Selected Topics in Signal Processing,2015,10(3):436-453
[38]Bass F.M.A New Product Growth for Model Consumer Durables[J].Management Science,1969,15(5):215-227
[39]Bonaparte Y.,Kumar A.Political Activism,Information Costs,and Stock Market Participation[J].Journal of Financial Economics,2013,107(3):760-786
[40]徐贤浩,宋奇志.改进Bass模型应用于短生命周期产品需求预测[J].工业工程与管理,2007,12(5):27-31
[41]Baker M.,Wurgler J.Investor Sentiment and the Cross-Section of Stock Returns[J].The Journal of Finance,2006,61(4):1645-1680
[42]Baker M.,Wurgler J.,Yuan Y.Global,Local,and Contagious Investor Sentiment[J].Journal of Financial Economics,2012,104(2):272-287
[43]Lin W.C.,Chang S.C.Corporate Governance and the Stock Market Reaction to New Product Announcements[J].Review of Quantitative Finance and Accounting,2012,39(2):273-291
[44]陈晓,陈淑燕.股票交易量对年报信息的反应研究---来自上海、深圳股市的经验证据[J].金融研究,2001,(7):98-105
[45]杨敬辉,武春友.基于Bass模型的两种参数估算算法比较研究[J].数量经济技术经济研究,2005,22(12):125-132
[46]Venkatesan R.,Kumar V.A Genetic Algorithms Approach to Growth Phase Forecasting of Wireless Subscribers[J].International Journal of Forecasting,2002,18(4):625-646
[47]Lin W.,Chang S.Corporate Governance and the Stock Market Reaction to New Product Announcements[J].Review of Quantitative Finance and Accounting,2012,39(2):273-291
[48]Bayus B.L.,Jain S.,Rao A.G.Truth or Consequences:An Analysis of Vaporware and New Product Announcements[J].Journal of Marketing Research,2001,38(1):3-13
[49]宋顺林,王彦超.投资者情绪如何影响股票定价?---基于IPO公司的实证研究[J].管理科学学报,2016,19(5):41-55
[50]Mian G.M.,Sankaraguruswamy S.Investor Sentiment and Stock Market Response to Earnings News[J].Accounting Review,2012,87(4):1357-1384
[51]Chen S.S.,Ho K.W.,Ik K.H.,et al.How Does Strategic Competition Affect Firm Values?A Study of New Product Announcements[J].Financial Management,2002,31(2):67-84
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