投资者情绪对企业投资行为的影响研究
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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。
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.
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。
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.
引文
①安德瑞·史莱佛.并非有效的市场——行为金融学导论.赵英军译.北京：中国人民大学出版社,2003.170-185
②刘志远,花贵如.投资者情绪与企业投资行为研究述评及展望.外国经济与管理,2009.6(31)：54-51
①吴晓求.实体经济与资产价格变动的相关性分析.中国社会科学,2006.6：55-63
①安德瑞·史莱佛.并非有效的市场——行为金融学导论.赵英军译.北京：中国人民大学出版社,2003.170-185
②上世纪80-90年代的日本泡沫经济的崩溃给日本经济带来了惨重的代价,GDP增长率迅速下降,在1993年、1994年GDP增长率接近于零。整个20世纪90年代日本经济始终没有走出资产价格泡沫崩溃带来的经济萧条,被称之为“失去的十年”。
③20世纪90年代,墨西哥金融危机对实体经济造成的损害是,原本稳定增长的墨西哥经济陷入了衰退,危机前的墨西哥GDP年均增长率在4%到5%之间,而在1995年GDP增长率为-10%。
④ John R. Nofsinger. Social Mood and Financial Economics. The Journal of Behavioral Finance.2005,6:144-160
①张戈,王美今.投资者情绪与中国上市公司实际投资.南方经济.2007.3：3-13
②行为公司金融沿着两条路径独立展开研究：一条路径强调投资者的有限理性,将管理者投融资决策视为证券市场错误定价的理性反应；而另一条路径则强调管理者的非理性,着重研究管理者心理偏差(非标准偏好和判断偏差)对其自身的管理决策带来的影响(Baker et al.,2004)。但从现有文献的搜索来看,将这两条研究路径结合起来展开理论与实证的研究并不多见。
③刘志远,花贵如.投资者情绪与企业投资行为研究述评及展望.外国经济与管理,2009.6(31)：54-51
①John R.Nofsinger.Social Mood and Financial Economics.The Journal of Behavioral Finance.2005,6:144-160
②在本部分的问题提出以及后文的理论分析过程中,后两个研究问题遵循“谁的情绪对谁而言”的逻辑线索展开,将政府控制的制度背景与机构持股的股权特征嵌入到前两个问题的分析框架中,以期更为深入地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。
①将经济均衡和社会均衡联系起来,Pareto(1963)认为,经济系统的状态应该被看作社会系统一般状态的一个特例。
①韦森.再评诺思的制度变迁理论.经济学季刊.2009.2(8)：743-767
②从20世纪80年代开始,现代金融分两条线索进行了广泛的新探索：一方面,在过去的金融理论模型中嵌入制度等因素,着重研究金融契约的性质和边界、金融契约选择与产品设计、金融契约的治理与金融系统演化、法律和习俗等制度因素对金融活动的影响等;另一方面,一些金融学家基于D.Kahneman等人发展的非线性效用理论,开始引入心理学关于人的行为的一些观点,来解释金融产品交易的异常现象,并逐渐形成了现代金融理论中的行为学派(周亚安,唐寿宁和马学亮,2003)。目前,这两条线索分别独立展开研究,并构成了现代金融理论发展过程的主旋律。但从现有文献的搜索来看,将制度与心理这两条线索结合起来展开理论与实证的研究并不多见。
③李捷瑜,王美今.上市公司的真实投资与股票市场的投机泡沫.世界经济.2006.1：87-95
①姚颐,刘志远.震荡市场、机构投资者与市场稳定.管理世界.2008.8：22-32
②杜丽虹,朱武祥.股票市场投机、公司资本配置行为及资本配置绩效：万科与新黄浦置业比较.管理世界.2003.8：109-117
①按照孟昭兰教授(2005)对情绪、情感和感情的概念分析,把区别于认识活动、有特定主观体验和外显表现,并同人的特定需要相联系的感性反应统称为感情(affect)。感情是标示这一感情性状态和反应的普遍的概念,它一般地包容着情绪和情感的综合过程,既有情绪的含义,也有情感的含义。情绪(emotion)代表着感情性反应的过程。也就是说,感情性反应作为心理活动的过程,用情绪这一术语来标示。情感(feelings)经常被用来描述社会性高级感情。一般认为,具有稳定而深刻社会含义的感情性反映叫做情感,它标示感情的内容(所谓感情的内容并不是指这一反映的语义内容或思维内容,而是指那种带有享乐色调的体验)。因此,无论情绪、情感或感情,指的是同一过程和同一现象；在不同的场合使用情绪或情感术语时,指的是这同一过程、同一现象所侧重的不同方面。在本文中,我们未作严格区分,为便于分析感情性反应的过程,统称为情绪。
②罗峥,郭德俊.当代情绪发展理论述评.心理科学.2002.3：112-113
①罗峥,郭德俊.当代情绪发展理论述评.心理科学.2002.3：112-113
②情绪成分包括内在体验、外显表情和生理激活三种成分;Wundt(1896)认为感情过程是由三对感情元素构成的,即愉快-不愉快、兴奋-沉静、紧张-松弛；情绪是生理和心理多水平整合的产物(从生理角度,丘脑系统、脑干系统及边缘系统等都是整合情绪的中枢：从心理角度,情绪可以在从感觉到意识,从情绪状态到人格特质的多级水平并存。)
③皮力.具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
①易志高,茅宁.中国股市投资者情绪测量研究：CICSI的构建.金融研究.2009.11
②叶蓓.管理者过度自信、投资现金流敏感度与投资效率.[博士论文].武汉：华中科技大学.2008：3-7
③对自身能力过度自信的人对自己的判断总是高于实际,对自身知识面过度自信的人总是觉得自己明白很多东西,而实际上并非如此。这种过度的自信并不意味着这些人无知或无能,只是表明他们眼中的自己比实际中的自己更加优秀、更有头脑。
①“校准”是指信心与准确度的匹配程度。在给定的信心水平上,并且当所有判断中准确判断的比例与判断正确的期望概率相一致时,决策者就获得了最佳的校准。Scott Plous(2004)在其专著《决策与判断》中,借鉴Murphy and Winkler(1984)有关天气预报员的数据以及Chrestensen and Bushyhead(1981)有关内科医生的数据,绘制了两条校准曲线,一条反映天气预报员关于降雨量的预测校准曲线,另一条反映医生对于肺炎的诊断的校准曲线。从其绘制的曲线,我们可以看出,天气预报员几乎完美地实现了校准,平均看来他们的预测非常接近实际的天气；而内科医生的校准程度则很糟糕,他们的大多数预测都在对角线以下,预测概率远远大于实际概率,表现出了很明显的过度自信现象(毫无根据地认为病人得了肺炎)。
②叶蓓.管理者过度自信、投资现金流敏感度与投资效率.[博士论文].武汉：华中科技大学.2008：3-7
①皮力.具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
①皮力具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
②斯考特·普劳斯.决策与判断.施俊琦译.北京：人民邮电出版社,2004：70-73
①转引自：斯考特·普劳斯.决策与判断.施俊琦译.北京：人民邮电出版社,2004：70-73
①该理论的模型如下：假设某人需要在具有结果A、B和具有结果C、D的两个赌博间作出选择,首先要对两个赌博的总体情绪进行评估。评估第一个赌博总体情绪的公式如下：PAEA+PBEB,在这里PA、PB分别是决策者对结果A、B的主观概率,EA、EB是根据情感判定理论计算出的决策者对A、B两种结果的情绪预测值。同理,评估第二个赌博总体情绪的公式如下：PCEC+PDED,这里PC、PD分别是对结果C、D的主观概率,EC、ED是对结果C、D的情绪预测值。在决策过程中,决策者会根据预期愉悦情绪最大化原则选择赌博。
②庄锦英.情绪与决策的关系.心理科学进展.2003.11(4)：423-431
③皮力.具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
①卿志琼.情绪介入经济决策研究的演变路径.财经研究.2009.9：59-69
①这篇文章直到1960年才被译为英文,但从中可以看到现代西方财务理论早期的思想萌芽(沈艺峰,2002)。
②见伊特维尔(J.Eatwell)、米尔盖特(M.Milgate)和纽曼(P.Newman):“财务学”,《新帕尔格雷夫大辞典》,第xii页。
①这些数据由世界著名的咨询机构Standish Group公司在其研究报告《问题报告》中给出。
②转引自：斯考特·普劳斯.决策与判断.施俊琦译.北京：人民邮电出版社,2004：70-73.
③本部分我们重点综述管理者乐观主义对企业融资决策及债务期限结构的影响,在后面我们将详细介绍管理者乐观主义对企业投资行为的影响。
①杜丽虹,朱武祥.股票市场投机、公司资本配置行为及资本配置绩效：万科与新黄浦置业比较.管理世界.2003.8：109-117
①叶蓓.管理者过度自信、投资现金流敏感度与投资效率.武汉：华中科技大学博士论文,2008：30-35
① Weinberg, B.A.A Model of overconfidence.Working paper, Ohio State University.available at http:www.econ.ohio-state.edu.weinberg/conf.pdf2006.
② Goel.Anand M.and Thakor, AnjanV.Rationality, overconfidence and Leadership.Available at SSRN:http://ssm.eoln/abstract=244999 or DOl:10.2139/ssm.244999.2000.
③值得说明的是,学者们经常将“过度自信”和“乐观主义”混淆使用——尽管大量研究集中在乐观主义这一认知偏误上(叶蓓,2008)。例如,Malmendier & Tate(2005a,2005b)使用"overconfidence"即过度自信一词对Heaton(2002)的管理者乐观假说进行实证检验,其关于"overconfidence"的解释是管理者系统性地高估投资回报或高估本企业证券价值,这实际是心理学和Heaton(2002)使用的"optimism"概念。本部分回顾的文献包括了诸如Malmendier & Tate(2005a,2005b)之类的虽然使用"overconfidence",但内涵上是"optimism"的文献。
④具体来说,Malmendier & Tate(2005a)构建了三个管理者乐观主义的度量指标：计算出在行权期内CEO应当行权的最小溢价百分数(67%)的标准,如果CEO较标准的行权时间推迟行权,或CEO对公司未来的业绩乐观会一直持有期权至期满(典型上为10年),或CEO习惯性增加公司股票的持有量,满足其中一条,将CEO划分为乐观主义的管理者。
①例如,乐观的CFO其所在企业往往进行更多投资,投资—现金流敏感度较高,较少发放现金股利,喜欢持有长期债务。
①陈舒予.过度自信与公司治理.[博士论文].厦门：厦门大学2008：46-57
①(美)舍夫林.行为公司金融--创造价值的决策.郑晓蕾译.北京：中国人民大学出版社,2007年.
①吴世农,汪强.迎合投资者情绪?过度保守?还是两者并存?—关于公司投资行为的实证研究.厦门：厦门大学管理学院.工作论文,2007年.
①支晓强,童盼.管理层业绩报酬敏感度、内部现金流与企业投资行为.会计研究,2007.10：73-81
①这与姜付秀等(2009)的样本期间相同。
②吴世农,汪强.迎合投资者情绪?过度保守?还是两者并存?—关于公司投资行为的实证研究.厦门：厦门大学管理学院.工作论文,2007年.
①在考察管理者乐观主义的中介效应过程中,中介效应模型考虑了其他渠道的影响。
①托宾Q值=公司市场价格/公司重置成本=(流通股份数额×每股价格+非流通股份数额×每股净资产+负债合计)/期末总资产。
②不可否认,采取分解Tobin'Q的方法度量投资者情绪也有不足之处：残差项不仅是股票错误定价的度量,可能也包含没有被公司基本面变量所捕捉到的部分。
①温忠麟,张雷,侯杰泰.有中介的调节变量和有调节的中介变量.心理学报,2006.3：448-452
①这与辛清泉等(2007)估算投资不足和投资过度的研究设计相同。
①辛清泉等(2007)的研究中,依据Richardson (2006)模型也估算出中国上市公司投资不足的有效观察值多于投资过度。
①正如Baker et al. (2006)所指出的,投资者情绪对企业投资行为影响的研究面临的严峻挑战仍然是投资者情绪的计量方面,现有研究虽然采取多种操控性指标衡量投资者情绪,但没有一个是非常完美的。
②辛清泉,林斌,王彦超.政府控制、经理薪酬与资本投资.经济研究,2007.8：110-121
③限于篇幅和重要性,本文仅报告第一个方面的稳健性测试结果。
①因此,本节没有报告Sen和Roe的VAR(4)模型的单个参数估计的结果。
① Djankov, Simeon, Edward Glaeser. Rafael La Porta, Florencio Lopez-de-Silanes, and Andrei Shleifer.. The new comparative economics. Journal of Comparative Economics,2003.31(1):595-619
①易志高,茅宁.中国股市投资者情绪测量研究：CICSI的构建.金融研究.2009.]]
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①吴晓求.实体经济与资产价格变动的相关性分析.中国社会科学,2006.6：55-63
①安德瑞·史莱佛.并非有效的市场——行为金融学导论.赵英军译.北京：中国人民大学出版社,2003.170-185
②上世纪80-90年代的日本泡沫经济的崩溃给日本经济带来了惨重的代价,GDP增长率迅速下降,在1993年、1994年GDP增长率接近于零。整个20世纪90年代日本经济始终没有走出资产价格泡沫崩溃带来的经济萧条,被称之为“失去的十年”。
③20世纪90年代,墨西哥金融危机对实体经济造成的损害是,原本稳定增长的墨西哥经济陷入了衰退,危机前的墨西哥GDP年均增长率在4%到5%之间,而在1995年GDP增长率为-10%。
④ John R. Nofsinger. Social Mood and Financial Economics. The Journal of Behavioral Finance.2005,6:144-160
①张戈,王美今.投资者情绪与中国上市公司实际投资.南方经济.2007.3：3-13
②行为公司金融沿着两条路径独立展开研究：一条路径强调投资者的有限理性,将管理者投融资决策视为证券市场错误定价的理性反应；而另一条路径则强调管理者的非理性,着重研究管理者心理偏差(非标准偏好和判断偏差)对其自身的管理决策带来的影响(Baker et al.,2004)。但从现有文献的搜索来看,将这两条研究路径结合起来展开理论与实证的研究并不多见。
③刘志远,花贵如.投资者情绪与企业投资行为研究述评及展望.外国经济与管理,2009.6(31)：54-51
①John R.Nofsinger.Social Mood and Financial Economics.The Journal of Behavioral Finance.2005,6:144-160
②在本部分的问题提出以及后文的理论分析过程中,后两个研究问题遵循“谁的情绪对谁而言”的逻辑线索展开,将政府控制的制度背景与机构持股的股权特征嵌入到前两个问题的分析框架中,以期更为深入地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。
①将经济均衡和社会均衡联系起来,Pareto(1963)认为,经济系统的状态应该被看作社会系统一般状态的一个特例。
①韦森.再评诺思的制度变迁理论.经济学季刊.2009.2(8)：743-767
②从20世纪80年代开始,现代金融分两条线索进行了广泛的新探索：一方面,在过去的金融理论模型中嵌入制度等因素,着重研究金融契约的性质和边界、金融契约选择与产品设计、金融契约的治理与金融系统演化、法律和习俗等制度因素对金融活动的影响等;另一方面,一些金融学家基于D.Kahneman等人发展的非线性效用理论,开始引入心理学关于人的行为的一些观点,来解释金融产品交易的异常现象,并逐渐形成了现代金融理论中的行为学派(周亚安,唐寿宁和马学亮,2003)。目前,这两条线索分别独立展开研究,并构成了现代金融理论发展过程的主旋律。但从现有文献的搜索来看,将制度与心理这两条线索结合起来展开理论与实证的研究并不多见。
③李捷瑜,王美今.上市公司的真实投资与股票市场的投机泡沫.世界经济.2006.1：87-95
①姚颐,刘志远.震荡市场、机构投资者与市场稳定.管理世界.2008.8：22-32
②杜丽虹,朱武祥.股票市场投机、公司资本配置行为及资本配置绩效：万科与新黄浦置业比较.管理世界.2003.8：109-117
①按照孟昭兰教授(2005)对情绪、情感和感情的概念分析,把区别于认识活动、有特定主观体验和外显表现,并同人的特定需要相联系的感性反应统称为感情(affect)。感情是标示这一感情性状态和反应的普遍的概念,它一般地包容着情绪和情感的综合过程,既有情绪的含义,也有情感的含义。情绪(emotion)代表着感情性反应的过程。也就是说,感情性反应作为心理活动的过程,用情绪这一术语来标示。情感(feelings)经常被用来描述社会性高级感情。一般认为,具有稳定而深刻社会含义的感情性反映叫做情感,它标示感情的内容(所谓感情的内容并不是指这一反映的语义内容或思维内容,而是指那种带有享乐色调的体验)。因此,无论情绪、情感或感情,指的是同一过程和同一现象；在不同的场合使用情绪或情感术语时,指的是这同一过程、同一现象所侧重的不同方面。在本文中,我们未作严格区分,为便于分析感情性反应的过程,统称为情绪。
②罗峥,郭德俊.当代情绪发展理论述评.心理科学.2002.3：112-113
①罗峥,郭德俊.当代情绪发展理论述评.心理科学.2002.3：112-113
②情绪成分包括内在体验、外显表情和生理激活三种成分;Wundt(1896)认为感情过程是由三对感情元素构成的,即愉快-不愉快、兴奋-沉静、紧张-松弛；情绪是生理和心理多水平整合的产物(从生理角度,丘脑系统、脑干系统及边缘系统等都是整合情绪的中枢：从心理角度,情绪可以在从感觉到意识,从情绪状态到人格特质的多级水平并存。)
③皮力.具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
①易志高,茅宁.中国股市投资者情绪测量研究：CICSI的构建.金融研究.2009.11
②叶蓓.管理者过度自信、投资现金流敏感度与投资效率.[博士论文].武汉：华中科技大学.2008：3-7
③对自身能力过度自信的人对自己的判断总是高于实际,对自身知识面过度自信的人总是觉得自己明白很多东西,而实际上并非如此。这种过度的自信并不意味着这些人无知或无能,只是表明他们眼中的自己比实际中的自己更加优秀、更有头脑。
①“校准”是指信心与准确度的匹配程度。在给定的信心水平上,并且当所有判断中准确判断的比例与判断正确的期望概率相一致时,决策者就获得了最佳的校准。Scott Plous(2004)在其专著《决策与判断》中,借鉴Murphy and Winkler(1984)有关天气预报员的数据以及Chrestensen and Bushyhead(1981)有关内科医生的数据,绘制了两条校准曲线,一条反映天气预报员关于降雨量的预测校准曲线,另一条反映医生对于肺炎的诊断的校准曲线。从其绘制的曲线,我们可以看出,天气预报员几乎完美地实现了校准,平均看来他们的预测非常接近实际的天气；而内科医生的校准程度则很糟糕,他们的大多数预测都在对角线以下,预测概率远远大于实际概率,表现出了很明显的过度自信现象(毫无根据地认为病人得了肺炎)。
②叶蓓.管理者过度自信、投资现金流敏感度与投资效率.[博士论文].武汉：华中科技大学.2008：3-7
①皮力.具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
①皮力具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
②斯考特·普劳斯.决策与判断.施俊琦译.北京：人民邮电出版社,2004：70-73
①转引自：斯考特·普劳斯.决策与判断.施俊琦译.北京：人民邮电出版社,2004：70-73
①该理论的模型如下：假设某人需要在具有结果A、B和具有结果C、D的两个赌博间作出选择,首先要对两个赌博的总体情绪进行评估。评估第一个赌博总体情绪的公式如下：PAEA+PBEB,在这里PA、PB分别是决策者对结果A、B的主观概率,EA、EB是根据情感判定理论计算出的决策者对A、B两种结果的情绪预测值。同理,评估第二个赌博总体情绪的公式如下：PCEC+PDED,这里PC、PD分别是对结果C、D的主观概率,EC、ED是对结果C、D的情绪预测值。在决策过程中,决策者会根据预期愉悦情绪最大化原则选择赌博。
②庄锦英.情绪与决策的关系.心理科学进展.2003.11(4)：423-431
③皮力.具体情绪对决策影响的实验研究.[硕士论文].上海：华东师范大学.2009：3-6
①卿志琼.情绪介入经济决策研究的演变路径.财经研究.2009.9：59-69
①这篇文章直到1960年才被译为英文,但从中可以看到现代西方财务理论早期的思想萌芽(沈艺峰,2002)。
②见伊特维尔(J.Eatwell)、米尔盖特(M.Milgate)和纽曼(P.Newman):“财务学”,《新帕尔格雷夫大辞典》,第xii页。
①这些数据由世界著名的咨询机构Standish Group公司在其研究报告《问题报告》中给出。
②转引自：斯考特·普劳斯.决策与判断.施俊琦译.北京：人民邮电出版社,2004：70-73.
③本部分我们重点综述管理者乐观主义对企业融资决策及债务期限结构的影响,在后面我们将详细介绍管理者乐观主义对企业投资行为的影响。
①杜丽虹,朱武祥.股票市场投机、公司资本配置行为及资本配置绩效：万科与新黄浦置业比较.管理世界.2003.8：109-117
①叶蓓.管理者过度自信、投资现金流敏感度与投资效率.武汉：华中科技大学博士论文,2008：30-35
① Weinberg, B.A.A Model of overconfidence.Working paper, Ohio State University.available at http:www.econ.ohio-state.edu.weinberg/conf.pdf2006.
② Goel.Anand M.and Thakor, AnjanV.Rationality, overconfidence and Leadership.Available at SSRN:http://ssm.eoln/abstract=244999 or DOl:10.2139/ssm.244999.2000.
③值得说明的是,学者们经常将“过度自信”和“乐观主义”混淆使用——尽管大量研究集中在乐观主义这一认知偏误上(叶蓓,2008)。例如,Malmendier & Tate(2005a,2005b)使用"overconfidence"即过度自信一词对Heaton(2002)的管理者乐观假说进行实证检验,其关于"overconfidence"的解释是管理者系统性地高估投资回报或高估本企业证券价值,这实际是心理学和Heaton(2002)使用的"optimism"概念。本部分回顾的文献包括了诸如Malmendier & Tate(2005a,2005b)之类的虽然使用"overconfidence",但内涵上是"optimism"的文献。
④具体来说,Malmendier & Tate(2005a)构建了三个管理者乐观主义的度量指标：计算出在行权期内CEO应当行权的最小溢价百分数(67%)的标准,如果CEO较标准的行权时间推迟行权,或CEO对公司未来的业绩乐观会一直持有期权至期满(典型上为10年),或CEO习惯性增加公司股票的持有量,满足其中一条,将CEO划分为乐观主义的管理者。
①例如,乐观的CFO其所在企业往往进行更多投资,投资—现金流敏感度较高,较少发放现金股利,喜欢持有长期债务。
①陈舒予.过度自信与公司治理.[博士论文].厦门：厦门大学2008：46-57
①(美)舍夫林.行为公司金融--创造价值的决策.郑晓蕾译.北京：中国人民大学出版社,2007年.
①吴世农,汪强.迎合投资者情绪?过度保守?还是两者并存?—关于公司投资行为的实证研究.厦门：厦门大学管理学院.工作论文,2007年.
①支晓强,童盼.管理层业绩报酬敏感度、内部现金流与企业投资行为.会计研究,2007.10：73-81
①这与姜付秀等(2009)的样本期间相同。
②吴世农,汪强.迎合投资者情绪?过度保守?还是两者并存?—关于公司投资行为的实证研究.厦门：厦门大学管理学院.工作论文,2007年.
①在考察管理者乐观主义的中介效应过程中,中介效应模型考虑了其他渠道的影响。
①托宾Q值=公司市场价格/公司重置成本=(流通股份数额×每股价格+非流通股份数额×每股净资产+负债合计)/期末总资产。
②不可否认,采取分解Tobin'Q的方法度量投资者情绪也有不足之处：残差项不仅是股票错误定价的度量,可能也包含没有被公司基本面变量所捕捉到的部分。
①温忠麟,张雷,侯杰泰.有中介的调节变量和有调节的中介变量.心理学报,2006.3：448-452
①这与辛清泉等(2007)估算投资不足和投资过度的研究设计相同。
①辛清泉等(2007)的研究中,依据Richardson (2006)模型也估算出中国上市公司投资不足的有效观察值多于投资过度。
①正如Baker et al. (2006)所指出的,投资者情绪对企业投资行为影响的研究面临的严峻挑战仍然是投资者情绪的计量方面,现有研究虽然采取多种操控性指标衡量投资者情绪,但没有一个是非常完美的。
②辛清泉,林斌,王彦超.政府控制、经理薪酬与资本投资.经济研究,2007.8：110-121
③限于篇幅和重要性,本文仅报告第一个方面的稳健性测试结果。
①因此,本节没有报告Sen和Roe的VAR(4)模型的单个参数估计的结果。
① Djankov, Simeon, Edward Glaeser. Rafael La Porta, Florencio Lopez-de-Silanes, and Andrei Shleifer.. The new comparative economics. Journal of Comparative Economics,2003.31(1):595-619
①易志高,茅宁.中国股市投资者情绪测量研究：CICSI的构建.金融研究.2009.]]
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