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以2007-2011年期间我国上市公司为研究样本,依据行为金融理论实证检验了投资者情绪对应计异象的影响。结果表明,在情绪高涨(低迷)期,会计应计错误定价的程度更高(低)。进一步研究表明,机构投资者整体持股对投资者情绪与应计异象之间关系的影响在不同窗口期存在差异,在短期内增强了投资者情绪对应计异象的正向影响,但在长期则减轻了投资者情绪对应计异象的正向影响。不同类型机构投资者持股对投资者情绪与应计异象之间关系的影响存在差异。
Taking the listed companies in our country for the period of 2007-2011 as the research sample, this paper examines the impact of investor sentiment on the accrual-based anomaly based on the behavioral finance theory. The results show that in the period of high emotion (downturn), accounting accrued wrong degree higher (lower). Further research shows that the impact of the overall ownership of institutional investors on the relationship between investor sentiment and accrued anomalies has a different window at different times, which enhances the positive effect of investor sentiment on accruals visions in the short term, but at In the long run, investor sentiment has been mitigated by the positive effect of accruals. The impact of different types of institutional investors’ holdings on the relationship between investor sentiment and accrued anomalies is different.